4 papers · 1 filter
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…
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…
Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space
Erhan Bayraktar, Hang Cheung, Ibrahim Ekren +3
In this paper, we show that the value functions of mean field control problems with common noise are the unique viscosity solutions to fully second-order Hamilton-Jacobi-Bellman eq…
Viscosity Solutions of a class of Second Order Hamilton-Jacobi-Bellman Equations in the Wasserstein Space
Hang Cheung, Ho Man Tai, Jinniao Qiu
This paper is devoted to solving a class of second order Hamilton-Jacobi-Bellman (HJB) equations in the Wasserstein space, associated with mean field control problems involving com…