Results 91 to 100 of about 11,373 (144)

Stochastic-fractional optimal control problems and application in portfolio management [PDF]

Mathematics and Modeling in Finance
The aim of this paper is to propose a new method for solving a calss of stochasticfractional optimal control problems. To this end, we introduce an equivalent form for the presented stochastic-fractional optimal control problem and prove that these ...
Saba Yaghobipour, Majid Yarahmadi
doaj   +1 more source

Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty

Discrete Dynamics in Nature and Society, 2016
In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset ...
Xiangbo Meng, Ximin Rong, Lidong Zhang, Ziping Du   +3 more
doaj   +1 more source

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

Image Restoration via the Integration of Optimal Control Techniques and the Hamilton–Jacobi–Bellman Equation

Mathematics
In this paper, we propose a novel image restoration framework that integrates optimal control techniques with the Hamilton–Jacobi–Bellman (HJB) equation.
Dragos-Patru Covei
doaj   +1 more source

Stochastic Optimal Control Modeling of Debt Crises [PDF]

What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt.
Jerome L. Stein
core  

The Optimal Robust Investment Problem in the Foreign Stock Market of an Ambiguity-Averse Insurer

Axioms
To address the need for robust investment strategies in an increasingly uncertain global market, this study focuses on an ambiguity-averse insurer facing exchange rate uncertainty while investing in a foreign stock market.
Linlin Tian, Yixuan Tian, Xiaoyi Zhang
doaj   +1 more source

A stochastic HJB equation for optimal control of forward-backward SDEs

, 2016
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic partial ...
Sulem, Agnès, Zhang, Tusheng, Øksendal, Bernt   +2 more
core   +1 more source

Optimal control by deep learning techniques and its applications on epidemic models. [PDF]

J Math Biol, 2023
Yin S, Wu J, Song P.
europepmc   +1 more source

Mean Field Games for Diel Vertical Migration with Diffusion. [PDF]

Bull Math Biol, 2023
Mazuryn M, Thygesen UH.
europepmc   +1 more source

Forward-Backward Sweep Method for the System of HJB-FP Equations in Memory-Limited Partially Observable Stochastic Control. [PDF]

Entropy (Basel), 2023
Tottori T, Kobayashi TJ.
europepmc   +1 more source