Year: 2025
Type: preprint
Abstract: We study the solution theory of the whole-space static (elliptic) Hamilton-Jacobi-Bellman (HJB) equation in spectral Barron spaces. We prove that under the assumption that the coefficients involved are spectral Barron functions and the discount factor is sufficiently large, there exists a sequence of uniformly bounded spectral Barron functions that converges locally uniformly to the solution. As a consequence, the solution of the HJB equation can be approximated by two-layer neural networks without curse of dimensionality.
Source: arXiv (Cornell University)
Authors: Feng, Ye, Lu, Jianfeng
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6979230209
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