Results 31 to 40 of about 10,247 (176)

Equilibrium Reward for Liquidity Providers in Automated Market Makers

Mathematical Finance, EarlyView.
ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha, Philippe Bergault, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, EarlyView.
ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source

A Model of Strategic Sustainable Investment

Mathematical Finance, EarlyView.
ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis, Caio César Graciani Rodrigues, Peter Tankov   +2 more
wiley   +1 more source

Hamilton-Jacobi-Bellman equation

, 2023
Hamilton-Jacobi-Bellmanova jednadžba je temeljna parcijalna diferencijalna jednadžba u teoriji optimalnog upravljanja. Teoriju dinamičkog programiranja uveli su Richard Bellman i suradnici sredinom prošlog stoljeća.
Miškić, Tomislav
core  

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

Safe Stabilization Using Non‐Smooth Control Lyapunov Barrier Function

International Journal of Robust and Nonlinear Control, Volume 36, Issue 11, Page 5823-5835, 25 July 2026.
ABSTRACT This paper addresses the challenge of safe stabilization, ensuring the system state reaches the origin while avoiding unsafe state regions. Existing approaches that rely on smooth Lyapunov barrier functions often fail to guarantee a feasible controller. To overcome this limitation, we introduce the non‐smooth control Lyapunov barrier function (
Jianglin Lan, Eldert van Henten, Peter Groot Koerkamp, Congcong Sun   +3 more
wiley   +1 more source

The Hamilton-Jacobi equation revisited

, 1975
A new analysis of the nature of the solutions of the Hamilton-Jacobi equation of classical dynamics is presented based on Caratheodory's theorem concerning canonical transformations.
Mukunda, N., Babu Joseph, K.
core   +2 more sources

Synthesizing Interacting Model‐Based Optimal Control and Model‐Free Learning Approaches for Nonlinear Systems

International Journal of Robust and Nonlinear Control, Volume 36, Issue 10, Page 5619-5634, 10 July 2026.
ABSTRACT In this paper, we consider the optimal control problem for an unknown continuous‐time nonlinear system, and present a framework that integrates model‐based and model‐free methods to solve it. Each approach offers distinct advantages: model‐based techniques provide offline synthesis and data efficiency, while model‐free procedures excel at ...
Surabhi Athalye, Kyriakos G. Vamvoudakis, Panos J. Antsaklis   +2 more
wiley   +1 more source

Constant-angle surfaces in liquid crystals [PDF]

, 2007
We discuss some properties of surfaces in R3 whose unit normal has constant angle with an assigned direction field. The constant angle condition can be rewritten as an Hamilton-Jacobi equation correlating the surface and the direction field.
Cermelli, Paolo, CERMELLI P., Di Scala, Antonio Jose', Cermelli, P., Di Scala, Antonio J.   +4 more
core   +1 more source

Second‐Order Optimality Conditions in a New Lagrangian Formulation for Optimal Control Problems

Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 2, June 2026.
ABSTRACT It has been shown recently that optimal control problems with the dynamical constraint given by second‐order system admit a regular Lagrangian formulation. This implies that the optimality conditions can be obtained in a new form based on the variational approach.
Michael Konopik, Sigrid Leyendecker, Sofya Maslovskaya, Sina Ober‐Blöbaum, Rodrigo T. Sato Martin de Almagro   +4 more
wiley   +1 more source