Results 71 to 80 of about 1,562,881 (169)
On the Hamilton-Jacobi-Bellman equations
, 1983 We consider general problems of optimal stochastic control and the associated Hamilton-Jacobi-Bellman equations. We recall first the usual derivation of the Hamilton-Jacobi-Bellman equations from the Dynamic Programming Principle.
Lions, Pierre-Louis
core +1 more source
Three reasons to price carbon under uncertainty: Accuracy of simple rules
Quantitative Economics, Volume 17, Issue 3, Page 858-894, July 2026.An easy‐to‐interpret rule for the optimal risk‐adjusted social cost of carbon is derived using perturbation analysis. This rule internalizes the adverse effects of global warming on the risk of recurring climate‐related disasters, the risk of irreversible cascading climate tipping points, and the usual effect on total factor productivity.
Ton van den Bremer +2 more
wiley +1 more source
Two-dimensional particle solution of the extended Hamilton-Jacobi equation [PDF]
, 2008 In classical mechanics the Hamilton-Jacobi equation for a free particle has the property of reducing a perturbation of spatially uniform solution into a point.
Strunin, D. V.
core +1 more source
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, Volume 81, Issue 3, Page 1741-1795, June 2026.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 +2 more
wiley +1 more source
Optimal investment models with vintage capital: Dynamic Programming approach [PDF]
The Dynamic Programming approach for a family of optimal investment models with vintage capital is here developed. The problem falls into the class of infinite horizon optimal control problems of PDE's with age structure that have been studied in various
Silvia Faggian, Fausto Gozzi
core
Gradient Descent Approaches to Neural-Net-Based Solutions of the Hamilton-Jacobi-Bellman Equation
, 2018 We investigate new approaches to dynamic-programming-based optimal control of continuous time-and-space systems. We use neural networks to approximate the solution to the Hamilton-Jacobi-Bellman (HJB) equation which is a first-order, nonlinear, partial ...
Andrew W Moore (5401907) +2 more
core +1 more source
Optimal control of the propagation of a graph in inhomogeneous media [PDF]
, 2009 We study an optimal control problem for viscosity solutions of a Hamilton–Jacobi equation describing the propagation of a one-dimensional graph with the control being the speed function.
Deckelnick, Klaus +5 more
core +1 more source
Journal of Applied Mathematics, 2013 This paper studies a continuous-time dynamic mean-variance portfolio selection problem with the constraint of a higher borrowing rate, in which stock price is governed by a constant elasticity of variance (CEV) process. Firstly, we apply Lagrange duality
Hao Chang, Xi-min Rong
doaj +1 more source
Portfolio Optimization with Asset-Liability Ratio Regulation Constraints
Complexity, 2020 This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment ...
De-Lei Sheng, Peilong Shen
doaj +1 more source
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 +3 more
doaj +1 more source