Results 71 to 80 of about 11,373 (144)
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
doaj +1 more source
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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Existence of a non‐stationary equilibrium in search‐and‐matching models: TU and NTU
Theoretical Economics, Volume 20, Issue 4, Page 1411-1460, November 2025.This paper proves the existence of a non‐stationary equilibrium in the canonical search‐and‐matching model with heterogeneous agents. Non‐stationarity entails that the number and characteristics of unmatched agents evolve endogenously over time.
Christopher Sandmann, Nicolas Bonneton
wiley +1 more source
"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view [PDF]
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables ...
Sennewald, Ken, Wälde, Klaus
core
Theoretical Economics, Volume 20, Issue 4, Page 1181-1211, November 2025.We study project selection and development by a principal, interacting with two agents, each of whom wants his respective project selected. When the best choice is uncertain, keeping both projects alive gives the principal the ability to adapt her choice in the future, but implies an efficiency loss of effort being spent on the project finally not ...
Joyee Deb +2 more
wiley +1 more source
"Itô's Lemma" and the Bellman equation: An applied view [PDF]
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables ...
Sennewald, Ken, Wälde, Klaus
core
, 2012 We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation of the game turns out to be a double-obstacle quasi-
Cosso, Andrea
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CAAI Transactions on Intelligence Technology, Volume 10, Issue 5, Page 1337-1349, October 2025.ABSTRACT Recently, learning‐based control for multi‐robot systems (MRS) with obstacle avoidance has received increasing attention. The goals of formation control and obstacle avoidance could be intrinsically tied. As a result, developing a safe and near‐optimal control policy with the actor‐critic structure is challenging.
Yaoqian Peng +3 more
wiley +1 more source
“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View [PDF]
Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income.
Ken Sennewald, Klaus Waelde
core
Optimal retirement with long‐run income risk
Journal of Risk and Insurance, Volume 92, Issue 3, Page 581-626, September 2025.Abstract We examine an optimal portfolio problem where an individual receives nontraded labor income and must decide how to allocate her wealth between a stock and a risk‐free asset, while also determining the optimal time to retire. Specifically, we explore how incorporating long‐run income risk by assuming that labor income and stock prices are ...
Shan Huang, Seyoung Park, Jane Yoo
wiley +1 more source