Results 91 to 100 of about 11,588 (163)

Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint

Journal of Function Spaces, 2019
This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg ...
Yuzhen Wen, Chuancun Yin
doaj   +1 more source

Time-Inconsistent Optimal Control Problems and the Equilibrium HJB Equation

, 2012
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value function of ...
Yong, Jiongmin
core  

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

On the Unitarity of the Stueckelberg Wave Equation and Measurement as Bayesian Update from Maximum Entropy Prior Distribution

Quantum Reports
The Stueckelberg wave equation is transformed into a quantum telegraph equation and a set of stationary states is obtained as unitary solutions. As it has been shown previously that this PDE relates to the Dirac operator, and on the other hand it is a ...
Jussi Lindgren
doaj   +1 more source

Optimal investment models with vintage capital: Dynamic Programming approach [PDF]

The Dynamic Programming approach for a family of optimal investment models with vintage capital is here developed. The problem falls into the class of infinite horizon optimal control problems of PDE's with age structure that have been studied in various
Fausto Gozzi, Silvia Faggian
core  

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

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

A Bertrand model with Brownian motion and behavioral errors. [PDF]

Sci Rep
Gao B, Gao X, He S.
europepmc   +1 more source