Results 81 to 90 of about 48,662 (223)

“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View [PDF]

Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income.
Ken Sennewald, Klaus Waelde
core  

Medical Knowledge Integration Into Reinforcement Learning Algorithms for Dynamic Treatment Regimes

International Statistical Review, EarlyView.
Summary The goal of precision medicine is to provide individualised treatment at each stage of chronic diseases, a concept formalised by dynamic treatment regimes (DTR). These regimes adapt treatment strategies based on decision rules learned from clinical data to enhance therapeutic effectiveness.
Sophia Yazzourh, Nicolas Savy, Philippe Saint‐Pierre, Michael R. Kosorok   +3 more
wiley   +1 more source

Some Results on Bellman Equations of Optimal Production Control in a Stochastic Manufacturing System

Journal of Probability and Statistics, 2009
The paper studies the production inventory problem of minimizing the expected discounted present value of production cost control in a manufacturing system with degenerate stochastic demand. We establish the existence of a unique solution of the Hamilton-
Azizul Baten, Anton Abdulbasah Kamil
doaj   +1 more source

Monetary Policy When Preferences Are Quasi‐Hyperbolic

Journal of Money, Credit and Banking, EarlyView.
Abstract We study discretionary monetary policy in an economy where economic agents have quasi‐hyperbolic discounting. We demonstrate that a benevolent central bank is able to keep inflation under control for a wide range of discount factors. If the central bank, however, does not adopt the household's time preferences and tries to discourage early ...
RICHARD DENNIS, OLEG KIRSANOV
wiley   +1 more source

Some Nonlinear Gronwall-Bellman-Gamidov Integral Inequalities and Their Weakly Singular Analogues with Applications

Abstract and Applied Analysis, 2014
Some Gronwall-Bellman-Gamidov type integral inequalities with power nonlinearity and their weakly singular analogues are established, which can give the explicit bound on solution of a class of nonlinear fractional integral equations.
Kelong Cheng, Chunxiang Guo, Min Tang
doaj   +1 more source

Policy Biases in a Model with Labor‐Market Frictions

Journal of Money, Credit and Banking, EarlyView.
Abstract We develop a model with labor‐market matching frictions that is subject to a range of shocks, including shocks to matching efficiency and bargaining power, and use the model to examine how monetary policy should respond to such shocks. We show that optimal monetary policy responds effectively to these shocks, producing economic outcomes that ...
RICHARD DENNIS, TATIANA KIRSANOVA
wiley   +1 more source

The Kolmogorov equation with time-measurable coefficients

Electronic Journal of Differential Equations, 2003
Using both probabilistic and classical analytic techniques, we investigate the parabolic Kolmogorov equation $$ L_t v +frac {partial v}{partial t}equiv frac 12 a^{ij}(t)v_{x^ix^j} +b^i(t) v_{x^i} -c(t) v+ f(t) +frac {partial v}{partial t}=0 $$ in $H_T ...
Jay Kovats
doaj  

A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity

Journal of Biological Dynamics, 2019
A simplified stochastic control model for optimization of logistic dynamics with the control-dependent carrying capacity, which is motivated by a recent algae population management problem in the river environment, is presented.
Hidekazu Yoshioka
doaj   +1 more source

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

The Journal of Finance, EarlyView.
ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT, HAO XING, ANNE G. BALTER   +2 more
wiley   +1 more source

Model-Free Gradient-Based Adaptive Learning Controller for an Unmanned Flexible Wing Aircraft

Robotics, 2018
Classical gradient-based approximate dynamic programming approaches provide reliable and fast solution platforms for various optimal control problems. However, their dependence on accurate modeling approaches poses a major concern, where the efficiency ...
Mohammed Abouheaf, Wail Gueaieb, Frank Lewis   +2 more
doaj   +1 more source