Stochastic-fractional optimal control problems and application in portfolio management [PDF]
Mathematics and Modeling in FinanceThe aim of this paper is to propose a new method for solving a calss of stochasticfractional optimal control problems. To this end, we introduce an equivalent form for the presented stochastic-fractional optimal control problem and prove that these ...
Saba Yaghobipour, Majid Yarahmadi
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Representation of Weak Solutions of Convex Hamilton–Jacobi–Bellman Equations on Infinite Horizon [PDF]
, 2020 Vincenzo Basco
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Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty
Discrete Dynamics in Nature and Society, 2016 In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset ...
Xiangbo Meng +3 more
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Hamilton-Jacobi-Bellman Equations for Q-Learning in Continuous Time [PDF]
, 2019 Jeongho Kim, Insoon Yang
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Finite element approximation of Hamilton–Jacobi–Bellman equations with nonlinear mixed boundary conditions [PDF]
, 2023 Bartosz Jaroszkowski, Max Jensen
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A review from the PDE viewpoint of Hamilton-Jacobi-Bellman Equations Arising in Optimal Control with Vectorial Cost [PDF]
, 2014 Nikos Katzourakis, Tristan Pryer
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Application of maximal monotone operator method for solving\n Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection\n problem [PDF]
, 2021 Daniel Ševčovič +1 more
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Correction: a comparison principle for semilinear Hamilton–Jacobi–Bellman equations in the Wasserstein space [PDF]
Samuel Daudin, Benjamin Seeger
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The Optimal Robust Investment Problem in the Foreign Stock Market of an Ambiguity-Averse Insurer
AxiomsTo address the need for robust investment strategies in an increasingly uncertain global market, this study focuses on an ambiguity-averse insurer facing exchange rate uncertainty while investing in a foreign stock market.
Linlin Tian, Yixuan Tian, Xiaoyi Zhang
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Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations [PDF]
, 2007 Zhen Wu, Zhiyong Yu
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