A Policy Iteration Scheme for Semilinear Stochastic Hamilton-Jacobi-Bellman Equations with Exponential Convergence

2026/07/31 by Hasib Uddin Molla, Jinniao Qiu
Mathematics · Economics, Econometrics and Finance · #math.OC #q-fin.MF

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arxiv created 2026/07/31 · arxiv updated 2026/08/03

Abstract

This paper is concerned with the non-Markovian stochastic optimal control problems in which the value function is a random field characterized by a stochastic Hamilton-Jacobi-Bellman (SHJB) equation. When the stochastic integration coefficients are not controlled, the SHJB equation takes a semilinear form, which is subject to computational challenges compared to the Markovian case due to the measurable randomness. We introduce a policy-iteration algorithm based on successive linearization that reduces the nonlinear SHJB equation to a sequence of linear ones. Furthermore, we prove that the resulting approximation sequence converges monotonically to the value function in the mean-square sense with an exponential rate.

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