Results 71 to 80 of about 617 (186)

Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions

Mathematical Finance, Volume 36, Issue 1, Page 67-98, January 2026.
ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley   +1 more source

Legendre Transform Dual Asymptotic Solution for Insurers Under the Heston Local‐Stochastic Volatility Model: A Comparison of Variance Premium and Expected Value Principles

Journal of Mathematics, Volume 2026, Issue 1, 2026.
This study examines optimal investment and reinsurance strategies for two competing insurers who are concerned with their relative performance. Each insurer can purchase reinsurance and invest in a financial market consisting of one risk‐free asset and one risky asset, with the risky asset’s price modeled using the Heston local‐stochastic volatility ...
Winfrida Felix Mwigilwa, Nian-Sheng Tang
wiley   +1 more source

Dynamic Mean-Variance Model with Borrowing Constraint under the Constant Elasticity of Variance Process

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

Strategic exits in stochastic partnerships: The curse of profitability

Theoretical Economics, Volume 21, Issue 1, Page 167-203, January 2026.
We study dynamic partnerships where the output evolves stochastically, each player can exit at any time, and players who have exited continue to accrue some benefits if the remaining players keep contributing to the partnership. Players can strategically exit to free‐ride on their partners' contributions, knowing that it may trigger subsequent exits of
Boli Xu
wiley   +1 more source

Intraday renewable electricity trading: advanced modeling and numerical optimal control

Journal of Mathematics in Industry, 2020
As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475, 2019), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation.
Silke Glas, Rüdiger Kiesel, Sven Kolkmann, Marcel Kremer, Nikolaus Graf von Luckner, Lars Ostmeier, Karsten Urban, Christoph Weber   +7 more
doaj   +1 more source

AI Applications in the Environmental Control of Controlled Environment Agriculture in the Digital Age

Modern Agriculture, Volume 3, Issue 2, December 2025.
Artificial intelligence (AI) is reshaping controlled environment agriculture (CEA) by powering climate prediction, yield forecasting, pest and disease detection, and intelligent control systems. These innovations enhance efficiency, resilience, and sustainability while enabling multiscale integration with renewable energy and existing infrastructures ...
Wei‐Han Chen, Benjamin Decardi‐Nelson, Chieri Kubota, Fengqi You   +3 more
wiley   +1 more source

Composite Learning-Based Inverse Optimal Fault-Tolerant Control for Hierarchy-Structured Unmanned Helicopters

Drones
This article investigates the inverse optimal fault-tolerant formation-containment control problem for a group of unmanned helicopters, where the leaders form a desired formation pattern under the guidance of a virtual leader while the followers move ...
Qingyi Liu, Ke Zhang, Bin Jiang, Yushun Tan   +3 more
doaj   +1 more source

Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate

Journal of Function Spaces, 2020
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company taking into account the time value of ruin. We assume the preference of the insurer is of the CRRA form.
Yuzhen Wen, Chuancun Yin
doaj   +1 more source

Hamilton-Jacobi-Bellman equations for Rydberg-blockade processes

Physical Review Research
We discuss time-optimal control problems for two setups involving globally driven Rydberg atoms in the blockade limit by deriving the associated Hamilton-Jacobi-Bellman equations. From these equations, we extract the globally optimal trajectories and the corresponding controls for several target processes of the atomic system, using a generalized ...
Fromonteil, Charles, Tricarico, Roberto, Cesa, Francesco, Pichler, Hannes   +3 more
openaire   +3 more sources