Results 61 to 70 of about 11,373 (144)

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
wiley   +1 more source

Legendre Transform Dual Asymptotic Solution for Insurers Under the Heston Local‐Stochastic Volatility Model: A Comparison of Variance Premium and Expected Value Principles

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
wiley   +1 more source

On the Stochastic Optimal Control Model of the Investments of Defined Contribution (DC) Pension Funds

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, O.O. Esan, J.O. Richard, D.D. Dare   +3 more
doaj   +1 more source

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
wiley   +1 more source

AI Applications in the Environmental Control of Controlled Environment Agriculture in the Digital Age

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, Benjamin Decardi‐Nelson, Chieri Kubota, Fengqi You   +3 more
wiley   +1 more source

Stochastic Optimal Control of Averaged SDDE with Semi-Markov Switching and with Application in Economics

Mathematics
This 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
doaj   +1 more source

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, Kyriakos G. Vamvoudakis   +1 more
wiley   +1 more source

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
doaj   +1 more source

Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility [PDF]

, 2005
The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes.
Sennewald, Ken
core  

Fisheries Management With Many Small Firms: A Mean Field Games Approach

Natural Resource Modeling, Volume 38, Issue 4, November 2025.
ABSTRACT A challenge associated with fisheries management is when there are many potential participants, and each participant has virtually zero effect (small agents), but their collective action may be significant. Individual quotas or effort restrictions may not be well suited in such cases.
Roman Kozlov, Stein Ivar Steinshamn
wiley   +1 more source