Results 91 to 100 of about 9,027 (185)
Optimal Consumption and Investment with Income Adjustment and Borrowing Constraints
MathematicsIn this paper, we address the utility maximization problem of an infinitely lived agent who has the option to increase their income. The agent can increase their income at any time, but doing so incurs a wealth cost proportional to the amount of the ...
Geonwoo Kim, Junkee Jeon
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Robust Exponential Hedging in a Brownian Setting [PDF]
This paper studies the robust exponential hedging in a Brownian factor model, giving a solvable example using a PDE argument. The dual problem is reduced to a standard stochastic control problem, of which the HJB equation admits a classical solution ...
Keita Owari
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The Optimal Strategy to Research Pension Funds in China Based on the Loss Function
Data Science Journal, 2007 Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function.
Jian-wei Gao +2 more
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A stochastic HJB equation for optimal control of forward-backward SDEs
, 2016 We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic partial ...
Sulem, Agnès +2 more
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POD-based feedback control of the burgers equation by solving the evolutionary HJB equation
Computers & Mathematics with Applications, 2005 A numerical method is proposed for solving finite-time horizon suboptimal feedback control problems of distributed parameter systems. The method is based on model reduction by proper orthogonal decomposition (POD), and a local Lax-Friedrichs scheme is used to solve the resulting evolutionary Hamilton-Jacobi-Bellman (HJB) equation. The latter scheme for
Kunisch, K., Xie, L.
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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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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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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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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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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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