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Showing 1 to 6 of 6 for “"dynamic programming principle"”.
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Robust Control for Hybrid, Nonlinear Systems
… switching-control problem, we establish the Dynamic Programming Principle (DPP) for the lower value function of the associated game and employ it to derive the appropriate system of quasivariational inequalities (SQVI) for the lower value vector function. Moreover we formulate the problem in …
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Superreplication method for multi-asset barrier options.
… applied to barrier options. First, we prove the dynamic programming principle (DPP) for the control problem. Next, using rather standard arguments we derive the Hamilton-Jacobi-Bellman equation for the value function. We show that the value function is a unique viscosity solution of the …
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Optimal control of quantum systems using dynamic programming
… themes 1. The theoretical underpinnings of the dynamic programming method for quantum spin systems. 2. The efficient numerical implementation of algorithms to generate optimal control laws. The use of the dynamic programming principle from optimal control theory for the control of quantum …
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Optimal control of quantum systems using dynamic programming
… themes 1. The theoretical underpinnings of the dynamic programming method for quantum spin systems. 2. The efficient numerical implementation of algorithms to generate optimal control laws. The use of the dynamic programming principle from optimal control theory for the control of quantum …
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On some Two-Dimensional Singular Stochastic Control Problems and their Free-Boundary Analysis
… of a firm is assumed to follow a stochastic dynamic, and due to the finite time horizon, the time itself becomes a state variable. In Section 3, we study a control problem regarding the inventory of a firm. We assume that the demand of a good follows some stochastic dynamics. In addition, we …
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ADVANCES IN MEAN-FIELD OPTIMAL CONTROL VIA DYNAMIC PROGRAMMING EQUATIONS
In questa tesi di dottorato ci proponiamo di analizzare varie classi di problemi di controllo ottimo di tipo McKean-Vlasov con un approccio analitico, che consiste nella caratterizzazione della funzione valore di ciascun problema mediante un'opportuna equazione alle derivate parziali, detta …