May 26, 2015 · I am trying to solve a HJB equation with terminal condition under mean reverting process (Ornstein-Uhlenbeck process). I am pretty confused on how to account for the …

Dec 31, 2019 · I am studying optimal control and I was wondering about boundary conditions for a stationary Hamilton-Jacobi-Bellman equation arising from an infinite horizon regulation. …

I believe it would be helpful if you could include in the question's title the full name, prior to use the initials HJB. "Hamilton-Jacobi-Bellman" may not come immediately to mind, to those browsing …

Sep 29, 2016 · The following is one version of the Hamilton–Jacobi–Bellman (HJB) equation: Suppose we have a Brownian motion W W and a counting process N N with a stochastic …

Jul 21, 2020 · I am trying to solve a Hamiltonian-Jacobi-Bellman equation with additional constraints on the state and control variables, but I am a bit confused on how to do that. In …

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Dec 24, 2022 · On deterministic versus stochastic: The above verification/HJB classical solution issue is for both the deterministic and the stochastic case. For example, see Ch. 4, Sec. 2 of 1, …

Dec 23, 2022 · Understanding HJB equation for the infinite horizon consumption control problem Ask Question Asked 2 years, 6 months ago Modified 2 years, 6 months ago

Apr 20, 2021 · I found a lecture note and book describing Hamilton-Jacobi-Bellman (HJB) equation. In the references, the sufficient condition of HJB for optimality seems C1 condition of …

Sep 12, 2021 · As per Avellaneda and Stoikov market-making model, the HJB equation is defined as where function u u is the value function. The question is how do derive the 1st HJB …