Results 31 to 40 of about 1,288 (181)

Stochastic differential equations harvesting optimization with stochastic prices: Formulation and numerical solution

Results in Applied Mathematics
This work aims to achieve optimal harvesting in a random setting with a stochastic price structure. We use a general growth function to model the harvested population, a geometric Brownian motion to model price change, and add fluctuations in the ...
Miguel Reis, Nuno M. Brites
doaj   +1 more source

The Optimal Strategy to Research Pension Funds in China Based on the Loss Function

Data Science Journal, 2007
Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function.
Jian-wei Gao, Hong-zhen Guo, Yan-cheng Ye   +2 more
doaj   +1 more source

Optimal Time-Consistent Investment Strategy for a Random Household Expenditure with Default Risk under Relative Performance

Complexity, 2021
Considering the mind of rivalry between families, each family focuses not only on its own wealth but also on other families, especially neighbors. In this paper, we investigate the non-zero-sum mean-variance game between two families with a random ...
Wenjin Guan, Wei Yuan, Sheng Li
doaj   +1 more source

Fast Calculation for the Flow and Heat Transfer of Tempered Fractional Maxwell Viscoelastic Fluid

International Journal for Numerical Methods in Fluids, EarlyView.
This study develops a tempered fractional Maxwell model to simulate unsteady thermal flow in viscoelastic fluids, capturing key rheological behaviors. A fast SOE‐based algorithm is proposed to improve the computational efficiency of the numerical scheme. Results reveal how key parameters influence fluid motion and heat transfer, demonstrating the model'
Yi Liu, Mochen Jiang, Libo Feng
wiley   +1 more source

Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach

Entropy, 2020
This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
doaj   +1 more source

Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators [PDF]

ESAIM: Proceedings and Surveys, 2019
We consider the optimal stopping and optimal control problems related to stochastic variational inequalities modeling elasto-plastic oscillators subject to random forcing.
Lauriere M., Li Z., Mertz L., Wylie J., Zuo S.   +4 more
doaj   +1 more source

Direct Numerical Simulation of Magnetohydrodynamic Slip‐Flow Past a Stretching Surface Using Physics‐Informed Neural Network

Heat Transfer, EarlyView.
ABSTRACT Traditional numerical methods, such as finite difference methods (FDM), finite element methods (FEM), and spectral methods, often face meshing challenges and high computational cost for solving nonlinear coupled differential equations. Machine learning techniques, specifically Physics‐informed machine learning, address these obstacles by ...
Ahmad, Feroz Soomro, Husna Zafar
wiley   +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

Application of Asymptotic Analysis of a High-Dimensional HJB Equation to Portfolio Optimization

Journal of Mathematics, 2023
In this paper, we consider a portfolio optimization problem where the wealth consists of investing into a risky asset with a slow mean-reverting volatility and receiving an uncontrollable stochastic cash flow under the exponential utility.
Lei Hu
doaj   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source