Results 81 to 90 of about 11,494 (215)
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
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
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
Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility [PDF]
, 2005 The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes.
Sennewald, Ken
core
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 +3 more
wiley +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
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A Physics‐Informed Learning Framework to Solve the Infinite‐Horizon Optimal Control Problem
International Journal of Robust and Nonlinear Control, Volume 35, Issue 16, Page 6932-6944, 10 November 2025.ABSTRACT We propose a physics‐informed neural networks (PINNs) framework to solve the infinite‐horizon optimal control problem of nonlinear systems. In particular, since PINNs are generally able to solve a class of partial differential equations (PDEs), they can be employed to learn the value function of the infinite‐horizon optimal control problem via
Filippos Fotiadis +1 more
wiley +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
"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view [PDF]
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables ...
Sennewald, Ken, Wälde, Klaus
core
Fisheries Management With Many Small Firms: A Mean Field Games Approach
Natural Resource Modeling, Volume 38, Issue 4, November 2025.ABSTRACT A challenge associated with fisheries management is when there are many potential participants, and each participant has virtually zero effect (small agents), but their collective action may be significant. Individual quotas or effort restrictions may not be well suited in such cases.
Roman Kozlov, Stein Ivar Steinshamn
wiley +1 more source