arXiv research

The Hamilton-Jacobi equation for a Hamiltonian section on a Lie affgebroid is introduced and some examples are discussed.

This paper studies Hamilton-Jacobi equations for magnetic systems with constraints.

Study solves optimal portfolio selection using HJB equation.

Reduction theory has played a major role in the study of Hamiltonian systems. On the other hand, the Hamilton-Jacobi theory is one of the main tools to integrate the dynamics of certain Hamiltonian problems and a topic of research on its own. Moreover, the construction of several symplectic integrators rely on approxim…

Survey reviews Hamilton-Jacobi theory in various geometric settings, focusing on Jacobi and Leibniz identities.

Study magnetic Hamiltonian systems with constraints, deriving Hamilton-Jacobi equations.

Diffieties formalize geometrically the concept of differential equations. We introduce and study Hamilton-Jacobi diffieties. They are finite dimensional subdiffieties of a given diffiety and appear to play a special role in the field theoretic version of the geometric Hamilton-Jacobi theory.

Deep neural nets approximate high-dimensional HJB equations efficiently.

We establish some perturbed minimization principles, and we develop a theory of subdifferential calculus, for functions defined on Riemannian manifolds. Then we apply these results to show existence and uniqueness of viscosity solutions to Hamilton-Jacobi equations defined on Riemannian manifolds.

Study on Tukey depth in machine learning using Hamilton-Jacobi equations.

Minimax solutions are weak solutions to Cauchy problems involving Hamilton--Jacobi equations, constructed from generating families quadratic at infinity of their geometric solutions. We give a complete description of minimax solutions and we classify their generic singularities of codimension not greater than 2.

Model quantifies uncertainty's impact on European option prices.

The concept of subdifferentiability is studied in the context of $C^1$ Finsler manifolds (modeled on a Banach space with a Lipschitz $C^1$ bump function). A class of Hamilton-Jacobi equations defined on $C^1$ Finsler manifolds is studied and several results related to the existence and uniqueness of viscosity solutions…

Paper solves investment strategy optimization with deep learning.

The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal response function. We construct…

Paper introduces stochastic HJB on Jacobi structures.

In this paper, we give precisely the geometric constraint conditions of canonical symplectic form and regular reduced symplectic forms for the dynamical vector fields of a regular controlled Hamiltonian (RCH) system and its regular reduced systems, which are called the Type I and Type II of Hamilton-Jacobi equations. A…

We consider a semilinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity which is related to a stochastic control problem with fuel constraint. The fuel constraint translates into a singular initial condition for the HJB equation. We first propose a transformation based on a change of vari…

In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem. We show how the fully nonlinear Hamilton-Jacobi-Bellman equation can be transformed into a quasi-linear paraboli…

This paper studies nonholonomic constraints in Hamiltonian systems, deriving equations and theorems.

A Hamilton-Jacobi theory for general dynamical systems, defined on fibered phase spaces, has been recently developed. In this paper we shall apply such a theory to contact Hamiltonian systems, as those appearing in thermodynamics and on geodesic flows in fluid mechanics. We first study the partial and complete solution…

We extend the geometric Hamilton-Jacobi formalism for hamiltonian mechanics to higher order field theories with regular lagrangian density. We also investigate the dependence of the formalism on the lagrangian density in the class of those yelding the same Euler-Lagrange equations.

The paper solves a complex financial optimization problem using a novel mathematical technique.

Nonholonomic mechanical systems have been attracting more interest in recent years because of their rich geometric properties and their applications in Engineering. In all generality, we discuss the reduction of a Hamilton-Jacobi theory for systems subject to nonholonomic constraints and that are invariant under the ac…

Deep learning method proves convergence for solving HJI equations.

Develops Hamilton-Jacobi theory for non-conservative field theories in k-contact geometry.

A hyperkähler 4-metric with a triholomorphic SU(2) action gives rise to a family of confocal quadrics in Euclidean 3-space when cast in the canonical form of a hyperkähler 4-metric metric with a triholomorphic circle action. Moreover, at least in the case of geodesics orthogonal to the U(1) fibres, both the covariant S…

Optimal contracts are found for agents with quadratic effort costs.

We solve continuous-time reinforcement learning using distributional Hamilton-Jacobi-Bellman equations.

We show that classical thermodynamics has a formulation in terms of Hamilton-Jacobi theory, analogous to mechanics. Even though the thermodynamic variables come in conjugate pairs such as pressure/volume or temperature/entropy, the phase space is odd-dimensional. For a system with n thermodynamic degrees of freedom it …

Geometric structures help in understanding thermodynamics.

Deep learning for HJB PDEs using synthetic data and residual minimization.

In this paper, we first give the regular point reduction and the two types of Hamilton-Jacobi equation for a regular controlled Hamiltonian (RCH) system with symmetry and momentum map on the generalization of a semidirect product Lie group. Next, as an application of the theoretical results, we consider the underwater …

Symplectic groupoids create Poisson integrators for complex systems.

We study the singular locus of solutions to Hamilton-Jacobi equations with a Hamiltonian independent of $u$. In a previous paper, we proved that the singular locus is what we call a balanced split locus. In this paper, we find and classify all balanced split sets, identifying the cases where the only balanced split loc…

New method uses TT approximations to solve HJB equations for efficient sampling.

If $U:[0,+\infty[\times M$ is a uniformly continuous viscosity solution of the evolution Hamilton-Jacobi equation $\partial_tU+ H(x,\partial_xU)=0,$ where $M$ is a not necessarily compact manifold, and $H$ is a Tonelli Hamiltonian, we prove the set $Σ(U)$, of points where $U$ is not differentiable, is locally contrac…

Optimizes control of infectious disease spread using stochastic methods.

Paper uses second-order differential geometry to study stochastic mechanics.

A close relationship between the classical Hamilton-Jacobi theory and the kinematic reduction of control systems by decoupling vector fields is shown in this paper. The geometric interpretation of this relationship relies on new mathematical techniques for mechanics defined on a skew-symmetric algebroid. This geometric…

In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constrai…

In this paper, for a variety of nonholonomic (reducible) Hamiltonian systems, we first give to various distributional Hamiltonian systems, by analyzing carefully the dynamics and structures of the nonholonomic Hamiltonian systems. Secondly, we derive precisely the geometric constraint conditions of the induced distribu…

A new option pricing model handles non-constant risk aversion and transaction costs.

A neural network approach solves optimal decumulation problems for pension plans.

A model optimizes carbon emission reduction and allowance purchasing for companies.

The Noether theorem is extended to stochastic control problems using contact symmetries.

Study of Hamilton-Jacobi Theory with symmetries and integrability by quadratures.

We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random trading times. To overcome the difficulties of the problem we use the dual appro…