Results 41 to 50 of about 1,288 (181)
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, Volume 36, Issue 2, Page 374-396, April 2026.ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci +4 more
wiley +1 more source
Macroscopic Market Making Games
Mathematical Finance, Volume 36, Issue 2, Page 352-373, April 2026.ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
wiley +1 more source
Discrete Dynamics in Nature and Society, 2013 We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond,
Chubing Zhang, Ximing Rong
doaj +1 more source
Optimal dividends for a NatCat insurer in the presence of a climate tipping point
Canadian Journal of Statistics, Volume 54, Issue 1, March 2026.Abstract We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks deteriorates irreversibly.
Hansjörg Albrecher +2 more
wiley +1 more source
Canadian Journal of Statistics, Volume 54, Issue 1, March 2026.Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley +1 more source
Ural Mathematical Journal, 2016 The properties of a minimax piecewise smooth solution of the Hamilton–Jacobi–Bellman equation are studied. It is known the Rankine–Hugoniot conditions are necessary and sufficient conditions for the points of nondifferentiability (singularity) of the ...
Aleksei S. Rodin
doaj +1 more source
A General Dynamic Programming Approach to the Optimal Water Storage Management for Irrigation
Mathematical Methods in the Applied Sciences, Volume 49, Issue 3, Page 1987-1997, February 2026.ABSTRACT This paper proposes a dynamic programming approach targeted to solve a natural resource problem of water storage management for irrigation in an environmentally and socially sustainable way. The problem we address in our formulation, focusing on the control of water storage in tanks, is based on assumptions that are less restrictive than those
Abdelkader Belhenniche +3 more
wiley +1 more source
Hamilton-Jacobi-Bellman Equation Arising from Optimal Portfolio Selection Problem [PDF]
, 2023 Daniel Ševčovič +1 more
openalex +1 more source
Portfolio Optimization for Pension Purposes: Literature Review
Journal of Economic Surveys, Volume 40, Issue 1, Page 45-72, February 2026.ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira +2 more
wiley +1 more source
On the Provision of International Public Goods in Dynamic Open Economies
Review of International Economics, Volume 34, Issue 1, Page 198-218, February 2026.ABSTRACT This study develops a dynamic two‐country model with an international public good, the stock of which positively affects the productivity of the private‐goods sectors in each country, and the evolution of the stock is determined by each country's voluntary contribution in the form of public investment. Two scenarios are examined: A cooperative
Akihiko Yanase
wiley +1 more source