Results 91 to 100 of about 11,494 (215)

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

"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  

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

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

“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  

Fostering collaboration

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, Aditya V. Kuvalear, Elliot Lipnowski   +2 more
wiley   +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  

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