Results 71 to 80 of about 48,662 (223)
"Itô's Lemma" and the Bellman equation: An applied view [PDF]
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables ...
Sennewald, Ken, Wälde, Klaus
core
, 2012 We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation of the game turns out to be a double-obstacle quasi-
Cosso, Andrea
core +1 more source
The Consequences of Soil Organic Carbon for Crop Yield, Farm Productivity and Profit
Australian Journal of Agricultural and Resource Economics, EarlyView.ABSTRACT Crop choices affect soil organic carbon (SOC) stocks, allowing farmers to manipulate the amount of carbon sequestered in the soil over time. This paper examines the private and public benefits of crop rotations that sequester additional carbon across the province of Saskatchewan, Canada using a novel field‐level dataset from the Saskatchewan ...
Devin Allen Serfas
wiley +1 more source
Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility [PDF]
The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes.
Sennewald, Ken
core
Cryptocurrency Bubbles and Costly Mining
International Economic Review, EarlyView.ABSTRACT This paper develops a model of a cryptocurrency by incorporating mining into the otherwise standard search‐theoretic monetary framework. As usual, multiple equilibria exist. To obtain a sharp prediction on whether a cryptocurrency' s value will last in the future, I propose a notion of equilibrium refinement based on the feature that mining ...
Kohei Iwasaki
wiley +1 more source
When Inaccuracies in Value Functions Do Not Propagate on Optima and Equilibria
Mathematics, 2020 We study general classes of discrete time dynamic optimization problems and dynamic games with feedback controls. In such problems, the solution is usually found by using the Bellman or Hamilton–Jacobi–Bellman equation for the value function in the case ...
Agnieszka Wiszniewska-Matyszkiel +1 more
doaj +1 more source
Ambiguity Aversion, Portfolio Choice, and Life Expectancy
International Economic Review, EarlyView.ABSTRACT This paper studies how wealth and aging affect portfolio choices in a life‐cycle model with ambiguity aversion. Ambiguity aversion implies wealthier and older agents are endogenously more optimistic about risky asset returns, relative to poorer/younger agents. As life expectancy grows, old agents become even more optimistic, while young agents
Alistair Macaulay, Chenchuan Shi
wiley +1 more source
Search and Inventory in Over‐the‐Counter Markets
International Economic Review, EarlyView.ABSTRACT We investigate the sources of the dealer centrality premium in the over‐the‐counter market for corporate bonds. We model dealer heterogeneity by allowing the dealer's status in the network to determine search effort and inventory costs when choosing to conduct riskless principal or principal trades.
Evan Dudley, Hongfei Sun, Chengjie Diao
wiley +1 more source
Journal of Function Spaces, 2018 Some new discrete Gronwall-Bellman type inequalities with three independent variables which generalize some existing results and can be used as handy tools in the study of qualitative and quantitative properties of solutions of certain classes of ...
Weihua Liu, Haisong Huang
doaj +1 more source
Optimization of Boiler Soot Blowing Based on Hamilton-Jacobi-Bellman Equation
IEEE Access, 2019 In this paper, the optimization of the boiler soot blowing is investigated based on the Hamilton-Jacobi-Bellman (HJB) equation and from the standpoint of the equipment health management.
Jie Wen +4 more
doaj +1 more source