Results 41 to 50 of about 11,373 (144)
Optimal dividends for a NatCat insurer in the presence of a climate tipping point
Canadian Journal of Statistics, EarlyView.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
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. +4 more
doaj +1 more source
A Deterministic Affine-Quadratic Optimal Control Problem [PDF]
, 2013 A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions.
Wang, Yuanchang, Yong, Jiongmin
core +1 more source
Canadian Journal of Statistics, EarlyView.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
On the Hamilton-Jacobi-Bellman Equation by the Homotopy Perturbation Method
Abstract and Applied Analysis, 2014 Our concern in this paper is to use the homotopy decomposition method to solve the Hamilton-Jacobi-Bellman equation (HJB). The approach is obviously extremely well organized and is an influential procedure in obtaining the solutions of the equations.
Abdon Atangana +2 more
doaj +1 more source
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
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
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
, 2015 We aim to provide a Feynman-Kac type representation for Hamilton-Jacobi-Bellman equation, in terms of forward backward stochastic differential equation (FBSDE) with a simulatable forward process.
Kharroubi, Idris, Pham, Huyên
core +2 more sources
Large time behavior for some nonlinear degenerate parabolic equations [PDF]
, 2013 We study the asymptotic behavior of Lipschitz continuous solutions of nonlinear degenerate parabolic equations in the periodic setting. Our results apply to a large class of Hamilton-Jacobi-Bellman equations.
Ley, Olivier, Nguyen, Vinh Duc
core +2 more sources
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 +2 more
wiley +1 more source