Results 51 to 60 of about 638 (183)
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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Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley +1 more source
Market Making With Fads, Informed, and Uninformed Traders
Mathematical Finance, EarlyView.ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci +2 more
wiley +1 more source
Hamilton-Jacobi-Bellman equations with fast gradient-dependence [PDF]
Indiana University Mathematics Journal, 2000 The authors deal with the existence, uniqueness, and regularity properties for a class of Hamilton-Jacobi-Bellman equations, when the Hamiltonians are superlinear in the adjoint variable, but possibly not uniformly with respect to the state variable. Such a class of equations arises in nonlinear control problems with unbounded controls.
RAMPAZZO, FRANCO, SARTORI, CATERINA
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Fast Calculation for the Flow and Heat Transfer of Tempered Fractional Maxwell Viscoelastic Fluid
International Journal for Numerical Methods in Fluids, Volume 98, Issue 8, Page 969-979, August 2026.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
Discrete Dynamics in Nature and Society, 2013 We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model) and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond,
Chubing Zhang, Ximing Rong
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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
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Cooperative and Non‐Cooperative Solutions in a Dynamic Model of Forest Management
Natural Resource Modeling, Volume 39, Issue 3, August 2026.ABSTRACT This study develops a deterministic finite‐horizon bioeconomic control model linking forest biomass, biodiversity, cumulative harvesting pressure, and disturbance‐motivated expected biodiversity losses. Biodiversity is modeled as a productive state variable that feeds back into biomass growth, while cumulative harvesting pressure records the ...
Seyedalireza Seyedi +2 more
wiley +1 more source
Guidance, Navigation and ControlThis paper presents a comprehensive dynamic analysis of Quadrotor unmanned aerial vehicles (UAVs) using the Hamilton–Jacobi (HJ) formalism for energy-efficient trajectory tracking and stabilization of quadrotor UAVs by unifying Hamilton–Jacobi–Bellman ...
Benaly Mohamed +5 more
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International Journal of Robust and Nonlinear Control, Volume 36, Issue 10, Page 5619-5634, 10 July 2026.ABSTRACT In this paper, we consider the optimal control problem for an unknown continuous‐time nonlinear system, and present a framework that integrates model‐based and model‐free methods to solve it. Each approach offers distinct advantages: model‐based techniques provide offline synthesis and data efficiency, while model‐free procedures excel at ...
Surabhi Athalye +2 more
wiley +1 more source