Results 91 to 100 of about 9,123 (200)
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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Utility indifference pricing of ESO with reload terms
上海师范大学学报. 自然科学版, 2018 “Nontradable” is one of the important characters of the Executive Stock Option(ESO).Therefore,the ESO cannot be priced by hedging the corresponding underlying asset.In this paper,we study ESO with reload terms by utility indifference method,based on ...
Fu Yi, Zhang Jizhou, Ji Sulei
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A HJB-POD Approach to the Control of the Level Set Equation
, 2017 We consider an optimal control problem where the dynamics is given by the propagation of a one-dimensional graph controlled by its normal speed. A target corresponding to the final configuration of the front is given and we want to minimize the cost to reach the target.
Alla, Alessandro +2 more
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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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Tractable Representations for Convergent Approximation of Distributional HJB Equations
CoRRIn reinforcement learning (RL), the long-term behavior of decision-making policies is evaluated based on their average returns. Distributional RL has emerged, presenting techniques for learning return distributions, which provide additional statistics for evaluating policies, incorporating risk-sensitive considerations.
Julie Alhosh +2 more
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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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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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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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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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