Results 101 to 110 of about 9,027 (185)

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

Precise error bounds for numerical approximations of fractional HJB equations

IMA Journal of Numerical Analysis
Abstract We prove precise rates of convergence for monotone approximation schemes of fractional and nonlocal Hamilton–Jacobi–Bellman equations. We consider diffusion-corrected difference-quadrature schemes from the literature and new approximations based on powers of discrete Laplacians, approximations that are (formally) fractional ...
Chowdhury, Indranil, Jakobsen, Espen R.
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Verification Theorems for HJB equations [PDF]

Proceedings of Control Systems: Theory, Numerics and Applications — PoS(CSTNA2005), 2006
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Viscosity Solutions to First Order Path-Dependent HJB Equations

, 2020
25 ...
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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  

The defined contribution pension plan after retirement under the criterion of a revised loss considering the economic situation

AIMS Mathematics
Considering the economic situation, we investigate the optimal asset allocation of defined contribution pension funds with random payouts after retirement under a modified criterion of quadratic loss.
Zongqi Sun, Peng Yang , Jing Wu, Yunpeng Fan   +3 more
doaj   +1 more source

Robust investment and reinsurance strategies under inflation risk and CEV model

AIMS Mathematics
This paper innovatively investigated the optimal investment and reinsurance problem with the objective of minimizing the probability of insolvency in a framework that simultaneously considers the ambiguity aversion perspective and inflation risk ...
Chen Wang, Hongmin Xiao
doaj   +1 more source

Optimal dividends in a discrete-time dual risk model with stochastic expenses

AIMS Mathematics
Dividend policies play a pivotal role in financial management by aiming to maximize shareholders' interest and effectively managing risk. In this paper, we explore the optimal dividend strategy in a discrete-time compound binomial dual risk framework ...
Li Deng, Zhichao Chen
doaj   +1 more source

Viscosity Solutions to Path-Dependent HJB Equation and Applications

, 2016
There is a error in the proof of ...
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Tractable Representations for Convergent Approximation of Distributional HJB Equations

In 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.
Alhosh, Julie, Wiltzer, Harley, Meger, David   +2 more
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