Results 51 to 60 of about 590 (137)

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

Market Making With Fads, Informed, and Uninformed Traders

Mathematical Finance, EarlyView.
ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci, Adrien Mathieu, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Dam Management in the Era of Climate Change

Mathematical Finance, EarlyView.
ABSTRACT Climate change has a dramatic impact, particularly by concentrating rainfall into a few short periods, interspersed with long dry spells. In this context, the role of dams is crucial. We consider the optimal control of a dam, where the water level must neither exceed a designated safety threshold nor fall below a minimum level to ensure ...
Cristina Di Girolami, M'hamed Gaïgi, Vathana Ly Vath, Simone Scotti   +3 more
wiley   +1 more source

Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model

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

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

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

International Journal for Numerical Methods in Fluids, Volume 98, Issue 8, Page 969-979, August 2026.
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

Advancements in Quadrotor UAVs: Trajectory Tracking and Energy Optimal Control Using PINN and HJ Formalism for Quadrotor UAV Dynamics

Guidance, Navigation and Control
This 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, Benaly Ayoub, Abdelkader Mezouari, Abdelkader Hadjoudja, Laamari Hlou, Rachid El Gouri   +5 more
doaj   +1 more source

Cooperative and Non‐Cooperative Solutions in a Dynamic Model of Forest Management

Natural Resource Modeling, Volume 39, Issue 3, August 2026.
ABSTRACT This study develops a deterministic finite‐horizon bioeconomic control model linking forest biomass, biodiversity, cumulative harvesting pressure, and disturbance‐motivated expected biodiversity losses. Biodiversity is modeled as a productive state variable that feeds back into biomass growth, while cumulative harvesting pressure records the ...
Seyedalireza Seyedi, Elettra Agliardi, Anastasios Xepapadeas   +2 more
wiley   +1 more source

Synthesizing Interacting Model‐Based Optimal Control and Model‐Free Learning Approaches for Nonlinear Systems

International Journal of Robust and Nonlinear Control, Volume 36, Issue 10, Page 5619-5634, 10 July 2026.
ABSTRACT In this paper, we consider the optimal control problem for an unknown continuous‐time nonlinear system, and present a framework that integrates model‐based and model‐free methods to solve it. Each approach offers distinct advantages: model‐based techniques provide offline synthesis and data efficiency, while model‐free procedures excel at ...
Surabhi Athalye, Kyriakos G. Vamvoudakis, Panos J. Antsaklis   +2 more
wiley   +1 more source

“It Is Much Safer to Be Sparse than Connected”: Safe Control of Robotic Swarm Density Dynamics with PDE Optimization with State Constraints

Advanced Intelligent Systems, Volume 8, Issue 7, July 2026.
This paper proposes a novel control framework to ensure safety of a robotic swarm. A feedback optimization controller is capable of driving the swarm toward a target density while keeping risk‐zone exposure below a safety threshold. Theory and experiments show how safety is more effectively achieved for sparsely connected swarms.
Longchen Niu, Gennaro Notomista
wiley   +1 more source