Results 81 to 90 of about 11,588 (163)

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

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, Rüdiger Kiesel, Sven Kolkmann, Marcel Kremer, Nikolaus Graf von Luckner, Lars Ostmeier, Karsten Urban, Christoph Weber   +7 more
doaj   +1 more source

Dynamic Multiagent Incentive Contracts: Existence, Uniqueness, and Implementation

Mathematics, 2020
Multiagent incentive contracts are advanced techniques for solving decentralized decision-making problems with asymmetric information. The principal designs contracts aiming to incentivize non-cooperating agents to act in his or her interest.
Qi Luo, Romesh Saigal
doaj   +1 more source

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  

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  

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  

Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities

, 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
core   +1 more source

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

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

Stochastic Optimal Control Modeling of Debt Crises [PDF]

What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt.
Jerome L. Stein
core