Results 61 to 70 of about 1,473,150 (249)

Lagrangian submanifolds and the Hamilton–Jacobi equation [PDF]

Monatshefte für Mathematik, 2013
The authors present a generalized version of the geometric Hamilton-Jacobi theory in terms of certain Lagrangian submanifolds of a symplectic manifold. This allows them to give a unified presentation of Hamilton-Jacobi equations for systems with both holonomic and linear nonholonomic constraints. The formulation treats both the time-independent and the
María Barbero-Liñán, Manuel León, David Martín Diego   +2 more
openaire   +2 more sources

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

Externality and Hamilton-Jacobi equations

, 2004
The relationship between optimal control problems and Hamilton-Jacobi-Bellman equations is well known [9]. In fact the value function, defined as the infimum of the cost functional, satisfies in the viscosity sense an appropriate Hamilton-Jacobi-Bellman ...
LORETI, Paola, VERGARA CAFFARELLI, Giorgio   +1 more
core   +1 more source

Hamilton-Jacobi equations constrained on networks [PDF]

, 2013
The previous versions of this preprint had the different title Hamilton-Jacobi equation on networks. The link for these old versions is hal-00503910 - version 4International audienceWe consider continuous-state and continuous-time control problems where ...
Yves Achdou, Camilli, F, Cutri, Alessandra, Achdou, Y, Tchou, N., Camilli, Fabio, Achdou, Yves, Tchou, Nicoletta, Nicoletta Tchou, CUTRI', ALESSANDRA, Alessandra Cutri'   +10 more
core   +1 more source

Spinning black holes with a separable Hamilton–Jacobi equation from a modified Newman–Janis algorithm

European Physical Journal C: Particles and Fields, 2020
Obtaining solutions of the Einstein field equations describing spinning compact bodies is typically challenging. The Newman–Janis algorithm provides a procedure to obtain rotating spacetimes from a static, spherically symmetric, seed metric.
Haroldo C. D. Lima Junior, Luís C. B. Crispino, Pedro V. P. Cunha, Carlos A. R. Herdeiro   +3 more
doaj   +1 more source

Market Making With Fads, Informed, and Uninformed Traders

Mathematical Finance, EarlyView.
ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci, Adrien Mathieu, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, Volume 36, Issue 4, Page 804-825, October 2026.
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

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

A Model of Strategic Sustainable Investment

Mathematical Finance, Volume 36, Issue 4, Page 771-803, October 2026.
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

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