Results 51 to 60 of about 14,906 (246)

Optimal Time-Consistent Investment Strategy for a Random Household Expenditure with Default Risk under Relative Performance

Complexity, 2021
Considering the mind of rivalry between families, each family focuses not only on its own wealth but also on other families, especially neighbors. In this paper, we investigate the non-zero-sum mean-variance game between two families with a random ...
Wenjin Guan, Wei Yuan, Sheng Li
doaj   +1 more source

A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM [PDF]

The ANZIAM Journal, 2013
We propose and analyse a method based on the Riccati transformation for solving the evolutionary Hamilton–Jacobi–Bellman equation arising from the dynamic stochastic optimal allocation problem.
Sona Kilianová, D. Ševčovič
semanticscholar   +1 more source

Optimal dividends for a NatCat insurer in the presence of a climate tipping point

Canadian Journal of Statistics, EarlyView.
Abstract We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks deteriorates irreversibly.
Hansjörg Albrecher, Pablo Azcue, Nora Muler   +2 more
wiley   +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., Li Z., Mertz L., Wylie J., Zuo S.   +4 more
doaj   +1 more source

Playing with fire? A mean‐field game analysis of fire sales and systemic risk under regulatory capital constraints

Canadian Journal of Statistics, EarlyView.
Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley   +1 more source

Application of Asymptotic Analysis of a High-Dimensional HJB Equation to Portfolio Optimization

Journal of Mathematics, 2023
In this paper, we consider a portfolio optimization problem where the wealth consists of investing into a risky asset with a slow mean-reverting volatility and receiving an uncontrollable stochastic cash flow under the exponential utility.
Lei Hu
doaj   +1 more source

Dynamic Programming Principle and Associated Hamilton-Jacobi-Bellman Equation for Stochastic Recursive Control Problem with Non-Lipschitz Aggregator [PDF]

, 2015
In this work we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the running cost is continuous but not necessarily Lipschitz with respect to the ...
Jiang Pu, Qi S. Zhang
semanticscholar   +1 more source

Direct Numerical Simulation of Magnetohydrodynamic Slip‐Flow Past a Stretching Surface Using Physics‐Informed Neural Network

Heat Transfer, EarlyView.
ABSTRACT Traditional numerical methods, such as finite difference methods (FDM), finite element methods (FEM), and spectral methods, often face meshing challenges and high computational cost for solving nonlinear coupled differential equations. Machine learning techniques, specifically Physics‐informed machine learning, address these obstacles by ...
Ahmad, Feroz Soomro, Husna Zafar
wiley   +1 more source

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

The Journal of Finance, EarlyView.
ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT, HAO XING, ANNE G. BALTER   +2 more
wiley   +1 more source

Threshold dynamics and optimal control on an age-structured SIRS epidemic model with vaccination

Mathematical Biosciences and Engineering, 2021
We consider a vaccination control into a age-structured susceptible-infective-recovered-susceptible (SIRS) model and study the global stability of the endemic equilibrium by the iterative method. The basic reproduction number $ R_0 $ is obtained.
Han Ma, Qimin Zhang
doaj   +1 more source