Results 101 to 110 of about 11,494 (215)

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
openaire   +3 more sources

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

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  

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
openaire   +2 more sources

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

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  

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  

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

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

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, Ximin Rong, Lidong Zhang, Ziping Du   +3 more
doaj   +1 more source