Results 51 to 60 of about 1,288 (181)
Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions
Mathematical Finance, Volume 36, Issue 1, Page 67-98, January 2026.ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
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Journal of Applied Sciences and Environmental Management, 2020 One of the major problems faced in the management of pension funds and plan is how to allocate and control the future flow of contribution likewise the proportion of portfolio value and investments in risky assets. In this work, optimal investment for a
T. Latunde +3 more
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Journal of Mathematics, Volume 2026, Issue 1, 2026.This study examines optimal investment and reinsurance strategies for two competing insurers who are concerned with their relative performance. Each insurer can purchase reinsurance and invest in a financial market consisting of one risk‐free asset and one risky asset, with the risky asset’s price modeled using the Heston local‐stochastic volatility ...
Winfrida Felix Mwigilwa, Nian-Sheng Tang
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MathematicsThis paper is devoted to the study of stochastic optimal control of averaged stochastic differential delay equations (SDDEs) with semi-Markov switchings and their applications in economics.
Mariya Svishchuk, Anatoliy V. Swishchuk
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Strategic exits in stochastic partnerships: The curse of profitability
Theoretical Economics, Volume 21, Issue 1, Page 167-203, January 2026.We study dynamic partnerships where the output evolves stochastically, each player can exit at any time, and players who have exited continue to accrue some benefits if the remaining players keep contributing to the partnership. Players can strategically exit to free‐ride on their partners' contributions, knowing that it may trigger subsequent exits of
Boli Xu
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Portfolio Optimization with Asset-Liability Ratio Regulation Constraints
Complexity, 2020 This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment ...
De-Lei Sheng, Peilong Shen
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Modern Agriculture, Volume 3, Issue 2, December 2025.Artificial intelligence (AI) is reshaping controlled environment agriculture (CEA) by powering climate prediction, yield forecasting, pest and disease detection, and intelligent control systems. These innovations enhance efficiency, resilience, and sustainability while enabling multiscale integration with renewable energy and existing infrastructures ...
Wei‐Han Chen +3 more
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Journal of Applied Mathematics, 2013 This paper studies a continuous-time dynamic mean-variance portfolio selection problem with the constraint of a higher borrowing rate, in which stock price is governed by a constant elasticity of variance (CEV) process. Firstly, we apply Lagrange duality
Hao Chang, Xi-min Rong
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A Physics‐Informed Learning Framework to Solve the Infinite‐Horizon Optimal Control Problem
International Journal of Robust and Nonlinear Control, Volume 35, Issue 16, Page 6932-6944, 10 November 2025.ABSTRACT We propose a physics‐informed neural networks (PINNs) framework to solve the infinite‐horizon optimal control problem of nonlinear systems. In particular, since PINNs are generally able to solve a class of partial differential equations (PDEs), they can be employed to learn the value function of the infinite‐horizon optimal control problem via
Filippos Fotiadis +1 more
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Intraday renewable electricity trading: advanced modeling and numerical optimal control
Journal of Mathematics in Industry, 2020 As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475, 2019), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation.
Silke Glas +7 more
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