Results 91 to 100 of about 14,906 (246)

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

Remarks on the vanishing discount problem for infinite systems of Hamilton-Jacobi-Bellman equations [PDF]

, 2020
Kengo Terai
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Hamilton-Jacobi-Bellman equations for Rydberg-blockade processes

Physical Review Research
We discuss time-optimal control problems for two setups involving globally driven Rydberg atoms in the blockade limit by deriving the associated Hamilton-Jacobi-Bellman equations. From these equations, we extract the globally optimal trajectories and the corresponding controls for several target processes of the atomic system, using a generalized ...
Fromonteil, Charles, Tricarico, Roberto, Cesa, Francesco, Pichler, Hannes   +3 more
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Comparison Principle for Hamilton-Jacobi-Bellman Equations via a Bootstrapping Procedure [PDF]

, 2021
Richard C. Kraaij, Mikola C. Schlottke
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Hamilton-Jacobi-Bellman equations on graphs

Here, we study Hamilton-Jacobi-Bellman equations on graphs. These are meant to be the analog of any of the following types of equations in the continuum setting of partial differential and nonlocal integro-differential equations: Hamilton-Jacobi (typically first order and local), Hamilton-Jacobi-Bellmann-Isaacs (first, second, or fractional order), and
Forcillo, Nicolò, Kitagawa, Jun, Schwab, Russell W.   +2 more
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Hamilton-Jacobi-Bellman Equations Associated to Symmetric Stable Processes [PDF]

Annals of the Alexandru Ioan Cuza University - Mathematics, 2011
Summary: We are concerned with an optimal stochastic control and stopping problem of a jump diffusion process. The main interest of this paper lies in the case where the dynamics has infinite variance, especially in the case of solutions of SDEs driven by symmetric stable processes.
openaire   +2 more sources

STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION

, 2023
Sibiri Narcisse Dolemweogo
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Optimal controls of stochastic differential equations with jumps and random coefficients: Stochastic Hamilton-Jacobi-Bellman equations with jumps [PDF]

, 2020
Qingxin Meng, Yuchao Dong, Yang Shen, Shanjian Tang   +3 more
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Transmission conditions on interfaces for Hamilton–Jacobi–Bellman equations

Journal of Differential Equations, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rao, Zhiping, Siconolfi, Antonio, Zidani, Hasnaa   +2 more
openaire   +5 more sources