Results 141 to 150 of about 3,173,574 (293)

Hamilton-Jacobi-Bellman Equations for Q-Learning in Continuous Time [PDF]

, 2019
Jeongho Kim, Insoon Yang
openalex   +1 more source

Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions

Mathematical Finance, Volume 36, Issue 1, Page 67-98, January 2026.
ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley   +1 more source

Correction: a comparison principle for semilinear Hamilton–Jacobi–Bellman equations in the Wasserstein space [PDF]

Samuel Daudin, Benjamin Seeger
openalex   +1 more source

Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem

, 2013
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.
Kilianova, Sona, Sevcovic, Daniel
core  

Estimating the gains from trade in frictional local labor markets

The Scandinavian Journal of Economics, Volume 128, Issue 1, Page 152-200, January 2026.
Abstract We develop a theory and an empirical strategy to estimate the welfare gains from trade in economies with frictional local labor markets. Our welfare formula nests standard market structures and adds an adjustment margin via the employment rate.
Germán Pupato, Ben Sand, Jeanne Tschopp
wiley   +1 more source

Legendre Transform Dual Asymptotic Solution for Insurers Under the Heston Local‐Stochastic Volatility Model: A Comparison of Variance Premium and Expected Value Principles

Journal of Mathematics, Volume 2026, Issue 1, 2026.
This study examines optimal investment and reinsurance strategies for two competing insurers who are concerned with their relative performance. Each insurer can purchase reinsurance and invest in a financial market consisting of one risk‐free asset and one risky asset, with the risky asset’s price modeled using the Heston local‐stochastic volatility ...
Winfrida Felix Mwigilwa, Nian-Sheng Tang
wiley   +1 more source

Using computational techniques of fixed point theory for studying the stationary infinite horizon problem from the financial field

AIMS Mathematics
In this article, we will solve optimization problems from the financial and economic field with constants, infinite-horizon iterative techniques and elements from fixed point theory.
Abdelkader Belhenniche , Amelia Bucur, Liliana Guran, Adrian Nicolae Branga   +3 more
doaj   +1 more source

Extended mean-field control problems with Poissonian common noise: Stochastic maximum principle and Hamiltonian-Jacobi-Bellman equation [PDF]

Lijun Bo, Jingfei Wang, Xiaoli Wei, Xiang Yu   +3 more
openalex   +1 more source

Representation of Weak Solutions of Convex Hamilton–Jacobi–Bellman Equations on Infinite Horizon [PDF]

, 2020
Vincenzo Basco
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On affine interest rate models

, 2010
Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. Knowledge of the symmetries of the Hamilton-Jacobi-Bellman equation associated with these processes allows one to obtain relations between stochastic processes ...
Lescot, Paul
core   +1 more source