Results 81 to 90 of about 617 (186)

Hamilton-Jacobi-Bellman equations on graphs

Here, we study Hamilton-Jacobi-Bellman equations on graphs. These are meant to be the analog of any of the following types of equations in the continuum setting of partial differential and nonlocal integro-differential equations: Hamilton-Jacobi (typically first order and local), Hamilton-Jacobi-Bellmann-Isaacs (first, second, or fractional order), and
Forcillo, Nicolò, Kitagawa, Jun, Schwab, Russell W.   +2 more
openaire   +2 more sources

Foundations of the Preisach Operator in Real Options Problems with Subscription Cost and Heterogeneous Population of Consumers

Axioms
This paper considers the pricing of a subscription service in a heterogeneous market with consumers having different discount rates. We show that in the case of a non-zero enrollment/cancellation cost, solutions of the Hamilton–Jacobi–Bellman equation ...
Dmitrii Rachinskii, Lev Rachinskiy, Alejandro Rivera   +2 more
doaj   +1 more source

Hamilton-Jacobi-Bellman Equations Associated to Symmetric Stable Processes [PDF]

Annals of the Alexandru Ioan Cuza University - Mathematics, 2011
Summary: We are concerned with an optimal stochastic control and stopping problem of a jump diffusion process. The main interest of this paper lies in the case where the dynamics has infinite variance, especially in the case of solutions of SDEs driven by symmetric stable processes.
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Transmission conditions on interfaces for Hamilton–Jacobi–Bellman equations

Journal of Differential Equations, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rao, Zhiping, Siconolfi, Antonio, Zidani, Hasnaa   +2 more
openaire   +5 more sources

Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint

Journal of Function Spaces, 2019
This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg ...
Yuzhen Wen, Chuancun Yin
doaj   +1 more source

Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty

Discrete Dynamics in Nature and Society, 2016
In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset ...
Xiangbo Meng, Ximin Rong, Lidong Zhang, Ziping Du   +3 more
doaj   +1 more source

On the Unitarity of the Stueckelberg Wave Equation and Measurement as Bayesian Update from Maximum Entropy Prior Distribution

Quantum Reports
The Stueckelberg wave equation is transformed into a quantum telegraph equation and a set of stationary states is obtained as unitary solutions. As it has been shown previously that this PDE relates to the Dirac operator, and on the other hand it is a ...
Jussi Lindgren
doaj   +1 more source

Image Restoration via the Integration of Optimal Control Techniques and the Hamilton–Jacobi–Bellman Equation

Mathematics
In this paper, we propose a novel image restoration framework that integrates optimal control techniques with the Hamilton–Jacobi–Bellman (HJB) equation.
Dragos-Patru Covei
doaj   +1 more source

Ergodic problem for the Hamilton–Jacobi–Bellman equation. II

Annales de l'Institut Henri Poincaré C, Analyse non linéaire, 1998
We study the ergodic problem for the first-order Hamilton–Jacobi–Equations (HJBs), from the view point of controllabilities of underlying controlled deterministic systems. We shall give sufficient conditions for the ergodicity by the estimates of controllabilities.
openaire   +1 more source

Optimal control by deep learning techniques and its applications on epidemic models. [PDF]

J Math Biol, 2023
Yin S, Wu J, Song P.
europepmc   +1 more source