2 papers
math.PR2025
Non-local Hamilton-Jacobi-Bellman equations for the stochastic optimal control of path-dependent piecewise deterministic processes
Elena Bandini, Christian Keller
We study the optimal control of path-dependent piecewise deterministic processes. An appropriate dynamic programming principle is established. We prove that the associated value fu…
math.AP2025
Path-dependent Hamilton-Jacobi equations with u-dependence and time-measurable Hamiltonians
Elena Bandini, Christian Keller
We establish existence and uniqueness of minimax solutions for a fairly general class of path-dependent Hamilton-Jacobi equations. In particular, the relevant Hamiltonians can cont…