Economics, Econometrics and Finance
2 years ago

New method unlocks optimal control solutions for complex stochastic systems!

1 view
arXiv (Cornell University)
Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
Mingshang Hu, Shaolin Ji, Xiaojuan Li

Paper Summary

The article explores a way to solve a complex problem in optimal control using a new mathematical approach. By studying a specific type of equation, the researchers found a method to determine the best course of action in a dynamic system. They also showed that this method leads to a unique solution for the problem.

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