Results 91 to 100 of about 1,220,533 (174)

Dynamic Credit Decision-Making with Continuous Risk Preference: A Unified Framework of Entropy-Regularized HJB and Soft Actor-Critic

Mathematics
Traditional credit scoring treats lending as static classification and lacks the ability to adjust risk preferences dynamically. This paper develops a dynamic credit decision framework based on the entropy-regularized Hamilton–Jacobi–Bellman (ER-HJB ...
Lei Jin, Runchi Zhang
doaj   +1 more source

HJB equations and stochastic control on half-spaces of Hilbert spaces

, 2022
In this paper we study a first extension of the theory of mild solutions for HJB equations in Hilbert spaces to the case when the domain is not the whole space. More precisely, we consider a half-space as domain, and a semilinear Hamilton-Jacobi-Bellman (
Gozzi, Fausto, Cappa, Gianluca, Priola, Enrico, Calvia, Alessandro   +3 more
core  

Fault-Tolerant Optimized Consensus Control for a Class of Second-Order Nonlinear Multi-Agent Systems Subjected to Actuator Failures

Guidance, Navigation and Control
The work intends to study the optimized leader-following consensus control with fault-tolerant ability for a class of second-ordernonlinear multi-agent systems (MASs) subjected to actuator failures.
Lu Zhang, Weihao Cui, Dengxiu Yu, Guoxing Wen   +3 more
doaj   +1 more source

WHEN ARE HJB-EQUATIONS FOR CONTROL PROBLEMS WITH STOCHASTIC DELAY EQUATIONS FINITE DIMENSIONAL? [PDF]

, 2001
We consider optimal control problems where the state X(t) at time t of the system is given by a stochastic differential delay equation. The growth at time t not only depends on the present value X(t), but also on X(t-d) and some sliding average of ...
Risebro, Nils Henrik, Larssen, Bjørnar
core  

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, Aden Ahmed, Suares Clovis Oukouomi Noutchie   +2 more
doaj   +1 more source

Transience and non-explosion of certain stochastic Newtonian systems [PDF]

, 2002
We give sufficient conditions for non-explosion and transience of the solution (xt,pt) (in dimensions >= 3) to a stochastic Newtonian system of the form { dxdt = ptdt dpt = -δV(xt)/δx dt - δc(xt)/δx dξt where {ξt}t>=0 is a d-dimensional Lévy process,
Kolokoltsov, V. N. (Vasiliĭ Nikitich), Tyukov, Alexei E., Schilling, René L.   +2 more
core  

A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance

Fractal and Fractional
To 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, Xin-Xin Gong, Youfa Sun, Siu-Long Lei   +3 more
doaj   +1 more source

Viscosity Solutions and Mean Field Equilibria for Nonlocal Stochastic Control Under Catastrophe and Replacement-Cost Risk

Mathematics
We develop a stochastic-control and mean field game framework for catastrophe insurance under stochastic replacement-cost risk. Insurer surplus follows a controlled jump diffusion in which catastrophe losses are scaled by an exogenous mean-reverting ...
Paramahansa Pramanik, Michael Bowdin
doaj   +1 more source

Optimal control of nonlinear systems using Multi-Layer Perceptron Neural Network and adaptive extended Kalman Filter

Majlesi Journal of Electrical Engineering
In this paper we present a nonlinear optimal control method based on approximating the solution of Hamilton-Jacobi-Bellman (HJB) equation. Value function is approximated as the output of Multilayer Perceptron Neural Network (MLPNN).
Esmat Sadat Alaviyan Shahri, Saeed Balochian   +1 more
doaj  

Ergodic control for constrained diffusions: characterization using HJB equations

, 2005
Recently in [A. Budhiraja, SIAM J. Control Optim., 42 (2003), pp. 532--558] an ergodic control problem for a class of diffusion processes, constrained to take values in a polyhedral cone, was considered.
Budhiraja, Amarjit, Borkar, Vivek
core   +1 more source