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math.OC2026
Optimal Resource Extraction under Distribution Learning and Infinite-Horizon Stochastic Hamilton--Jacobi Equations
Ulrich Horst, Jinniao Qiu, Yang Yang
We study an infinite-horizon stochastic control problem for the optimal exploitation of an exhaustible resource with unknown total reserves. Information is generated both endogenou…
math.OC2026
A Policy Iteration Scheme for Semilinear Stochastic Hamilton-Jacobi-Bellman Equations with Exponential Convergence
Hasib Uddin Molla, Jinniao Qiu
This paper is concerned with the non-Markovian stochastic optimal control problems in which the value function is a random field characterized by a stochastic Hamilton-Jacobi-Bellm…
math.OC2026
Stochastic Control Methods for Optimization
Jinniao Qiu
In this work, we investigate a stochastic control framework for global optimization over both Euclidean spaces and the Wasserstein space of probability measures, where the objectiv…