Results 61 to 70 of about 14,906 (246)
Hamilton–Jacobi–Bellman Equation under States Constraints
Journal of Mathematical Analysis and Applications, 2000 This paper is concerned with the uniqueness of discontinuous solutions of the Hamilton-Jacobi-Bellman equation \[ \begin{cases} -{\partial V\over\partial t} (t,x)+ H(t,x,{\partial V\over\partial x}(t, x))= 0,\\ V(t,x)= \psi(x)\text{ when }g(T,x)\leq 0,\end{cases} \] where \(H(t,x,p)= \sup_{v\in F(t,x)}\langle p,v\rangle\), arising in Mayer's problem ...
openaire +2 more sources
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, EarlyView.ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci +4 more
wiley +1 more source
, 2014 In the article we study a controlled Continuous Time Random Walk and their position-dependent extensions. We heuristically derive the optimal payoff function equa- tions for their scaling limits.
V. Kolokoltsov, M. Veretennikova
semanticscholar +1 more source
Macroscopic Market Making Games
Mathematical Finance, EarlyView.ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
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
doaj +1 more source
A General Dynamic Programming Approach to the Optimal Water Storage Management for Irrigation
Mathematical Methods in the Applied Sciences, Volume 49, Issue 3, Page 1987-1997, February 2026.ABSTRACT This paper proposes a dynamic programming approach targeted to solve a natural resource problem of water storage management for irrigation in an environmentally and socially sustainable way. The problem we address in our formulation, focusing on the control of water storage in tanks, is based on assumptions that are less restrictive than those
Abdelkader Belhenniche +3 more
wiley +1 more source
Portfolio Optimization for Pension Purposes: Literature Review
Journal of Economic Surveys, Volume 40, Issue 1, Page 45-72, February 2026.ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira +2 more
wiley +1 more source
Ural Mathematical Journal, 2016 The properties of a minimax piecewise smooth solution of the Hamilton–Jacobi–Bellman equation are studied. It is known the Rankine–Hugoniot conditions are necessary and sufficient conditions for the points of nondifferentiability (singularity) of the ...
Aleksei S. Rodin
doaj +1 more source
Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
, 2005 We determine the solutions of a nonlinear Hamilton-Jacobi-Bellman equation which arises in the modelling of mean-variance hedging subject to a terminal condition.
V. Naicker, K. Andriopoulos, P. Leach
semanticscholar +1 more source
Can Local Single-Pass Methods Solve Any Stationary Hamilton-Jacobi-Bellman Equation? [PDF]
SIAM Journal on Scientific Computing, 2013 The use of local single-pass methods (like, e.g., the fast marching method) has become popular in the solution of some Hamilton--Jacobi equations. The prototype of these equations is the eikonal equation, for which the methods can be applied saving CPU ...
S. Cacace, E. Cristiani, M. Falcone
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