The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the issuer is liable for the net loss. In this article, the mathematical foundation for ...The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the issuer is liable for the net loss. In this article, the mathematical foundation for pricing the European passport option is established. The pricing equation which is a fully nonlinear equation is derived using the dynamic programming principle. The comparison principle, uniqueness and convexity preserving of the viscosity solutions of related H J13 equation are proved. A relationship between the passport and lookback options is discussed.展开更多
In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the sch...In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.展开更多
In this paper, a new iterative method is proposed to solve the generalized Hamilton-Jacobi-Bellman (GHJB) equation through successively approximate it. Firstly, the GHJB equation is converted to an algebraic equation ...In this paper, a new iterative method is proposed to solve the generalized Hamilton-Jacobi-Bellman (GHJB) equation through successively approximate it. Firstly, the GHJB equation is converted to an algebraic equation with the vector norm, which is essentially a set of simultaneous nonlinear equations in the case of dynamic systems. Then, the proposed algorithm solves GHJB equation numerically for points near the origin by considering the linearization of the non-linear equations under a good initial control guess. Finally, the procedure is proved to converge to the optimal stabilizing solution with respect to the iteration variable. In addition, it is shown that the result is a closed-loop control based on this iterative approach. Illustrative examples show that the update control laws will converge to optimal control for nonlinear systems. Index Terms--Generalized Hamilton-Jacobi-Bellman (HJB) equation, iterative method, nonlinear dynamic system, optimal control.展开更多
Realizing optimal control performance for continuum robots(CRs) poses huge challenges on traditional modelbased optimal control approaches due to their high degrees of freedom,complex nonlinear dynamics and soft conti...Realizing optimal control performance for continuum robots(CRs) poses huge challenges on traditional modelbased optimal control approaches due to their high degrees of freedom,complex nonlinear dynamics and soft continuum morphologies which are difficult to explicitly model.This paper proposes a model-free adaptive optimal control algorithm(ADAPT)for CRs.In our strategy,we consider CRs as a class of nonlinear continuous-time dynamical systems in the state space,wherein the position of the end-effector is considered as the state and the input torque is mapped as the control input.Then,the optimized Hamilton-Jacobi-Bellman(HJB) equation is derived by optimal control principles,and subsequently solved by the proposed ADAPT algorithm without requiring knowledge of the original system dynamics.Under some mild assumptions,the global stability and convergence of the closed-loop control approach are guaranteed.Several simulation experiments are conducted on a magnetic CR(MCR) to demonstrate the practicality and effectiveness of the ADAPT algorithm.展开更多
基金supported in partby National Science Foundation of China (10371088,10671144)National Basic Research Program of China(2007CB814903)+3 种基金Development Funds of Shanghai Higher Education (05D210)the Special Funds for Major Specialties of Shanghai Education Committee (T0401)Supported by Special Fund for the Excellent Young Teachers of Shanghai Higher Learning Institutions (ssd08029)the Research Program of Shanghai Normal University (SK200812)
文摘The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the issuer is liable for the net loss. In this article, the mathematical foundation for pricing the European passport option is established. The pricing equation which is a fully nonlinear equation is derived using the dynamic programming principle. The comparison principle, uniqueness and convexity preserving of the viscosity solutions of related H J13 equation are proved. A relationship between the passport and lookback options is discussed.
文摘In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.
基金supported by the National Natural Science Foundation of China(U1601202,U1134004,91648108)the Natural Science Foundation of Guangdong Province(2015A030313497,2015A030312008)the Project of Science and Technology of Guangdong Province(2015B010102014,2015B010124001,2015B010104006,2018A030313505)
文摘In this paper, a new iterative method is proposed to solve the generalized Hamilton-Jacobi-Bellman (GHJB) equation through successively approximate it. Firstly, the GHJB equation is converted to an algebraic equation with the vector norm, which is essentially a set of simultaneous nonlinear equations in the case of dynamic systems. Then, the proposed algorithm solves GHJB equation numerically for points near the origin by considering the linearization of the non-linear equations under a good initial control guess. Finally, the procedure is proved to converge to the optimal stabilizing solution with respect to the iteration variable. In addition, it is shown that the result is a closed-loop control based on this iterative approach. Illustrative examples show that the update control laws will converge to optimal control for nonlinear systems. Index Terms--Generalized Hamilton-Jacobi-Bellman (HJB) equation, iterative method, nonlinear dynamic system, optimal control.
基金supported in part by the Innovation and Technology Commission of Hong Kong,China(ITS/136/20,ITS/234/21,MHP/096/22,ITS/235/22)Multi-Scale Medical Robotics Center,InnoHK,China(8312051)+1 种基金Research Grants Council(RGC) of Hong Kong,China(CUHK 14217822,CUHK14207823,AoE/E-407/24-N)The Chinese University of Hong Kong(CUHK) Direct Grant。
文摘Realizing optimal control performance for continuum robots(CRs) poses huge challenges on traditional modelbased optimal control approaches due to their high degrees of freedom,complex nonlinear dynamics and soft continuum morphologies which are difficult to explicitly model.This paper proposes a model-free adaptive optimal control algorithm(ADAPT)for CRs.In our strategy,we consider CRs as a class of nonlinear continuous-time dynamical systems in the state space,wherein the position of the end-effector is considered as the state and the input torque is mapped as the control input.Then,the optimized Hamilton-Jacobi-Bellman(HJB) equation is derived by optimal control principles,and subsequently solved by the proposed ADAPT algorithm without requiring knowledge of the original system dynamics.Under some mild assumptions,the global stability and convergence of the closed-loop control approach are guaranteed.Several simulation experiments are conducted on a magnetic CR(MCR) to demonstrate the practicality and effectiveness of the ADAPT algorithm.
