Results 51 to 60 of about 11,588 (163)
Optimal debt ratio and dividend payment strategies with reinsurance [PDF]
, 2015 This paper derives the optimal debt ratio and dividend payment strategies for an insurance company. Taking into account the impact of reinsurance policies and claims from the credit derivatives, the surplus process is stochastic that is jointly ...
Jin, Z, Yang, H, Yin, G
core +1 more source
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
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
Random Carbon Tax Policy and Investment Into Emission Abatement Technologies
Mathematical Finance, EarlyView.ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri +2 more
wiley +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
A Model of Strategic Sustainable Investment
Mathematical Finance, EarlyView.ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis +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
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, Volume 81, Issue 3, Page 1741-1795, June 2026.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
Guidance, Navigation and ControlThis paper presents a comprehensive dynamic analysis of Quadrotor unmanned aerial vehicles (UAVs) using the Hamilton–Jacobi (HJ) formalism for energy-efficient trajectory tracking and stabilization of quadrotor UAVs by unifying Hamilton–Jacobi–Bellman ...
Benaly Mohamed +5 more
doaj +1 more source
Heat Transfer, Volume 55, Issue 3, Page 1674-1682, May 2026.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