Results 91 to 100 of about 8,699 (152)
Semismooth Newton and Newton iterative methods for HJB equation
Journal of Computational and Applied Mathematics, 2011 Some semismooth methods are considered to solve a nonsmooth equation which can arise from a discrete version of the well-known Hamilton-Jacobi-Bellman (HJB) equation, which is often encountered in optimal control and other applied areas. The authors first propose a semismooth Newton method and prove its monotone convergence by suitably choosing the ...
Zeng, Jinping, Sun, Zhe, Xu, Hongru
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AutomatikaThis paper proposes a deep learning algorithm for solving the infinite-horizon optimal feedback control problem of a quadrotor unmanned aerial vehicle (UAV).
Yuhuan Yue
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Time-inconsistent optimal control problems and the equilibrium HJB equation
Mathematical Control & Related Fields, 2012 A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value function of the problem.
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On the Hamilton-Jacobi-Bellman Equation by the Homotopy Perturbation Method
Abstract and Applied Analysis, 2014 Our concern in this paper is to use the homotopy decomposition method to solve the Hamilton-Jacobi-Bellman equation (HJB). The approach is obviously extremely well organized and is an influential procedure in obtaining the solutions of the equations.
Abdon Atangana +2 more
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Cogent Economics & Finance, 2019 We solve the problem of an insurer who decides to optimally allocate a proportion (1—a(t)) of premiums to a re-insurance company (thereby retaining a proportion a(t) of premiums) and who also has to optimally pay dividends c(t) at any time t to ...
Sure Mataramvura
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Non-constant discounting in finite horizon: The free terminal time case [PDF]
This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach.
Jesus Marin Solano, Jorge Navas Rodenes
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On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance
Journal of Applied Mathematics, 2018 We consider an insurance company whose reserves dynamics follow a diffusion-perturbed risk model. To reduce its risk, the company chooses to reinsure using proportional or excess-of-loss reinsurance.
Christian Kasumo +2 more
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Journal of Applied Mathematics, 2016 We consider the so-called mean-variance portfolio selection problem in continuous time under the constraint that the short-selling of stocks is prohibited where all the market coefficients are random processes.
Moussa Kounta
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Finite dimensional projections of HJB equations in the Wasserstein space
The Annals of Applied ProbabilityThis paper continues the study of controlled interacting particle systems with common noise started in [W. Gangbo, S. Mayorga and A. Święch, SIAM J. Math. Anal. 53 (2021), no. 2, 1320--1356] and [S. Mayorga and A. Święch, SIAM J. Control Optim. 61 (2023), no. 2, 820--851].
Święch, Andrzej, Wessels, Lukas
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Fractal and FractionalTo better simulate the prices of underlying assets and improve the accuracy of pricing financial derivatives, an increasing number of new models are being proposed.
Xu Chen +3 more
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