Results 111 to 120 of about 11,494 (215)

On affine interest rate models

, 2010
Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. Knowledge of the symmetries of the Hamilton-Jacobi-Bellman equation associated with these processes allows one to obtain relations between stochastic processes ...
Lescot, Paul
core   +1 more source

On the Unitarity of the Stueckelberg Wave Equation and Measurement as Bayesian Update from Maximum Entropy Prior Distribution

Quantum Reports
The Stueckelberg wave equation is transformed into a quantum telegraph equation and a set of stationary states is obtained as unitary solutions. As it has been shown previously that this PDE relates to the Dirac operator, and on the other hand it is a ...
Jussi Lindgren
doaj   +1 more source

A stochastic HJB equation for optimal control of forward-backward SDEs

, 2016
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic partial ...
Sulem, Agnès, Zhang, Tusheng, Øksendal, Bernt   +2 more
core   +1 more source

Image Restoration via the Integration of Optimal Control Techniques and the Hamilton–Jacobi–Bellman Equation

Mathematics
In this paper, we propose a novel image restoration framework that integrates optimal control techniques with the Hamilton–Jacobi–Bellman (HJB) equation.
Dragos-Patru Covei
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  

The Optimal Robust Investment Problem in the Foreign Stock Market of an Ambiguity-Averse Insurer

Axioms
To 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
doaj   +1 more source

Ergodic problem for the Hamilton–Jacobi–Bellman equation. II

Annales de l'Institut Henri Poincaré C, Analyse non linéaire, 1998
We study the ergodic problem for the first-order Hamilton–Jacobi–Equations (HJBs), from the view point of controllabilities of underlying controlled deterministic systems. We shall give sufficient conditions for the ergodicity by the estimates of controllabilities.
openaire   +1 more source

Optimal Stopping Under Ambiguity in Continuous Time [PDF]

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process.
Frank Riedel, Xue Cheng
core  

Optimal control by deep learning techniques and its applications on epidemic models. [PDF]

J Math Biol, 2023
Yin S, Wu J, Song P.
europepmc   +1 more source

Mean Field Games for Diel Vertical Migration with Diffusion. [PDF]

Bull Math Biol, 2023
Mazuryn M, Thygesen UH.
europepmc   +1 more source