Results 41 to 50 of about 11,494 (215)
Mathematics, 2021 The paper deals with a two-person zero-sum differential game for a dynamical system described by differential equations with the Caputo fractional derivatives of an order α∈(0,1) and a Bolza-type cost functional.
Mikhail I. Gomoyunov
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A Deterministic Affine-Quadratic Optimal Control Problem [PDF]
, 2013 A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions.
Wang, Yuanchang, Yong, Jiongmin
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Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations [PDF]
SIAM Journal on Control and Optimization, 2018 In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is introduced, and we prove that the value function of the optimal stochastic control problem is the maximal viscosity ...
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Adaptive spline interpolation for Hamilton–Jacobi–Bellman equations [PDF]
Applied Numerical Mathematics, 2006 We study the performace of adaptive spline interpolation in semi--Lagrangian discretization schemes for Hamilton--Jacobi--Bellman equations. We investigate the local approximation properties of cubic splines on locally refined grids by a theoretical analysis. Numerical examples show how this method performs in practice.
Bauer, Florian +2 more
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Path integrals and symmetry breaking for optimal control theory [PDF]
, 2005 This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a linear equation.
Bellman R +10 more
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Results in Applied MathematicsThis work aims to achieve optimal harvesting in a random setting with a stochastic price structure. We use a general growth function to model the harvested population, a geometric Brownian motion to model price change, and add fluctuations in the ...
Miguel Reis, Nuno M. Brites
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Utility indifference pricing of ESO with reload terms
上海师范大学学报. 自然科学版, 2018 “Nontradable” is one of the important characters of the Executive Stock Option(ESO).Therefore,the ESO cannot be priced by hedging the corresponding underlying asset.In this paper,we study ESO with reload terms by utility indifference method,based on ...
Fu Yi, Zhang Jizhou, Ji Sulei
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Optimal debt ratio and dividend payment strategies with reinsurance [PDF]
, 2015 This paper derives the optimal debt ratio and dividend payment strategies for an insurance company. Taking into account the impact of reinsurance policies and claims from the credit derivatives, the surplus process is stochastic that is jointly ...
Jin, Z, Yang, H, Yin, G
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Piecewise constant policy approximations to Hamilton–Jacobi–Bellman equations [PDF]
Applied Numerical Mathematics, 2016 An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for different control parameters. Standard convergence analysis suggests that monotone (i.e., linear) interpolation must
Reisinger, C, Forsyth, P
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The Optimal Strategy to Research Pension Funds in China Based on the Loss Function
Data Science Journal, 2007 Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function.
Jian-wei Gao +2 more
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