Results 41 to 50 of about 634 (183)
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
doaj +1 more source
Fast Calculation for the Flow and Heat Transfer of Tempered Fractional Maxwell Viscoelastic Fluid
International Journal for Numerical Methods in Fluids, EarlyView.This study develops a tempered fractional Maxwell model to simulate unsteady thermal flow in viscoelastic fluids, capturing key rheological behaviors. A fast SOE‐based algorithm is proposed to improve the computational efficiency of the numerical scheme. Results reveal how key parameters influence fluid motion and heat transfer, demonstrating the model'
Yi Liu, Mochen Jiang, Libo Feng
wiley +1 more source
On the basis of the Hamilton–Jacobi–Bellman equation in economic dynamics
Physica D: Nonlinear Phenomena, 2023 We consider the classical Ramsey-Cass-Koopmans capital accumulation model and present three examples in which the Hamilton-Jacobi-Bellman (HJB) equation is neither necessary nor sufficient for a function to be the value function. Next, we present assumptions under which the HJB equation becomes a necessary and sufficient condition for a function to be ...
openaire +2 more sources
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
doaj +1 more source
Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators [PDF]
ESAIM: Proceedings and Surveys, 2019 We consider the optimal stopping and optimal control problems related to stochastic variational inequalities modeling elasto-plastic oscillators subject to random forcing.
Lauriere M. +4 more
doaj +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
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 ...
openaire +3 more sources
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
openaire +2 more sources
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach
Entropy, 2020 This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
doaj +1 more source