Results 61 to 70 of about 617 (186)

ON THE STRUCTURE OF THE SINGULAR SET OF A PIECEWISE SMOOTH MINIMAX SOLUTION OF THE HAMILTON–JACOBI–BELLMAN EQUATION

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

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

Canadian Journal of Statistics, Volume 54, Issue 1, March 2026.
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

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

Canadian Journal of Statistics, Volume 54, Issue 1, March 2026.
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

Policy Iteration for Exploratory Hamilton–Jacobi–Bellman Equations

Applied Mathematics & Optimization
25 ...
Hung Vinh Tran, Zhenhua Wang, Yuming Paul Zhang   +2 more
openaire   +2 more sources

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, Danilo Pena, A. Pedro Aguiar, Maria do Rosário de Pinho   +3 more
wiley   +1 more source

Stochastic Optimal Control of Averaged SDDE with Semi-Markov Switching and with Application in Economics

Mathematics
This paper is devoted to the study of stochastic optimal control of averaged stochastic differential delay equations (SDDEs) with semi-Markov switchings and their applications in economics.
Mariya Svishchuk, Anatoliy V. Swishchuk
doaj   +1 more source

On Nonuniqueness of Solutions of Hamilton–Jacobi–Bellman Equations [PDF]

Applied Mathematics & Optimization, 2016
An example of a nonunique solution of the Cauchy problem of Hamilton-Jacobi-Bellman (HJB) equation with surprisingly regular Hamiltonian is presented. The Hamiltonian H(t,x,p) is locally Lipschitz continuous with respect to all variables, convex in p and with linear growth with respect to p and x.
openaire   +3 more sources

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, Igor Leão dos Santos, Pedro Henrique Gonzalez   +2 more
wiley   +1 more source

On the Stochastic Optimal Control Model of the Investments of Defined Contribution (DC) Pension Funds

Journal of Applied Sciences and Environmental Management, 2020
One of the major problems faced in the management of pension funds and plan is how to allocate and control the future flow of contribution likewise the proportion of portfolio value and investments in risky assets. In this work, optimal investment for a
T. Latunde, O.O. Esan, J.O. Richard, D.D. Dare   +3 more
doaj   +1 more source

On the Provision of International Public Goods in Dynamic Open Economies

Review of International Economics, Volume 34, Issue 1, Page 198-218, February 2026.
ABSTRACT This study develops a dynamic two‐country model with an international public good, the stock of which positively affects the productivity of the private‐goods sectors in each country, and the evolution of the stock is determined by each country's voluntary contribution in the form of public investment. Two scenarios are examined: A cooperative
Akihiko Yanase
wiley   +1 more source