Results 81 to 90 of about 11,373 (144)

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

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  

Composite Learning-Based Inverse Optimal Fault-Tolerant Control for Hierarchy-Structured Unmanned Helicopters

Drones
This article investigates the inverse optimal fault-tolerant formation-containment control problem for a group of unmanned helicopters, where the leaders form a desired formation pattern under the guidance of a virtual leader while the followers move ...
Qingyi Liu, Ke Zhang, Bin Jiang, Yushun Tan   +3 more
doaj   +1 more source

Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate

Journal of Function Spaces, 2020
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin. We assume the preference of the insurer is of the CRRA form.
Yuzhen Wen, Chuancun Yin
doaj   +1 more source

Foundations of the Preisach Operator in Real Options Problems with Subscription Cost and Heterogeneous Population of Consumers

Axioms
This paper considers the pricing of a subscription service in a heterogeneous market with consumers having different discount rates. We show that in the case of a non-zero enrollment/cancellation cost, solutions of the Hamilton–Jacobi–Bellman equation ...
Dmitrii Rachinskii, Lev Rachinskiy, Alejandro Rivera   +2 more
doaj   +1 more source

Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem

, 2013
In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from the stochastic dynamic optimal allocation problem.
Kilianova, Sona, Sevcovic, Daniel
core  

Fractional Order Version of the HJB Equation

, 2018
We consider an extension of the well-known Hamilton-Jacobi-Bellman (HJB) equation for fractional order dynamical systems in which a generalized performance index is considered for the related optimal control problem.
AsadiZadehShiraz, Mehdi, Razminia, Abolhassan, Torres, Delfim F. M.   +2 more
core   +1 more source

Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System [PDF]

This paper gives a new method to characterize Markov Perfect Nash Equilibrium in stochastic differential games by means of a set of Generalized Euler Equations.
Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida   +1 more
core  

Weak Solution for a Class of Fully Nonlinear Stochastic Hamilton-Jacobi-Bellman Equations [PDF]

, 2015
This paper is concerned with the stochastic Hamilton-Jacobi-Bellman equation with controlled leading coefficients, which is a type of fully nonlinear backward stochastic partial differential equation (BSPDE for short).
Qiu, Jinniao
core  

Time-Inconsistent Optimal Control Problems and the Equilibrium HJB Equation

, 2012
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value function of ...
Yong, Jiongmin
core  

Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint

Journal of Function Spaces, 2019
This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg ...
Yuzhen Wen, Chuancun Yin
doaj   +1 more source