Results 61 to 70 of about 9,739 (169)

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

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

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

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

First order flow equations for nonextremal black holes in AdS (super)gravity

Journal of High Energy Physics, 2017
We consider electrically charged static nonextremal black holes in d-dimensional Einstein-Maxwell-(A)dS gravity, whose horizon is a generic Einstein space in d − 2 dimensions.
Dietmar Klemm, Marco Rabbiosi
doaj   +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

Complex variational calculus with mean of (min, +)-analysis

Trends in Computational and Applied Mathematics, 2018
One develops a new mathematical tool, the complex (min, +)-analysis which permits to define a new variational calculus analogous to the classical one (Euler-Lagrange and Hamilton Jacobi equations), but which is well-suited for functions defined from C^n
Michel Gondran, Abdelouahab Kenoufi, Alexandre Gondran   +2 more
doaj   +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, HAO XING, ANNE G. BALTER   +2 more
wiley   +1 more source

Optimal Control in Financial Markets for the Uncertain Volatility Model

Mathematics
This paper generalizes the well-known Black–Scholes model, specifically the uncertain volatility model. To calculate the fair price range of a payment obligation, Hamilton–Jacobi–Bellman equations are derived and transformed into nonlinear heat equations
Grigory Belyavski, Natalia Danilova, Irina Zemlyakova, Gennady Ougolnitsky   +3 more
doaj   +1 more source