Results 101 to 110 of about 9,123 (200)

An optimal reinsurance management and dividend payout strategy when the insurer’s reserve is an Ito–Levy process

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
doaj   +1 more source

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, Juma Kasozi, Dmitry Kuznetsov   +2 more
doaj   +1 more source

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 Solution of Mean-Variance Portfolio Selection of a Jump Markov Process with No-Shorting Constraints

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
doaj   +1 more source

Verification Theorems for HJB equations [PDF]

Proceedings of Control Systems: Theory, Numerics and Applications — PoS(CSTNA2005), 2006
openaire   +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  

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.
openaire   +3 more sources

Temporal Parallelization of the HJB Equation and Continuous-Time Linear Quadratic Control

IEEE Transactions on Automatic Control
This paper presents a mathematical formulation to perform temporal parallelisation of continuous-time optimal control problems, which can be solved via the Hamilton--Jacobi--Bellman (HJB) equation. We divide the time interval of the control problem into sub-intervals, and define a control problem in each sub-interval, conditioned on the start and end ...
Simo Särkkä, Ángel F. García-Fernández   +1 more
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Viscosity Solutions for HJB Equations on the Process Space

In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second order path dependent HJB equation on the process space, which is by nature infinite dimensional.
Zhou, Jianjun, Touzi, Nizar, Zhang, Jianfeng   +2 more
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Optimal tracking control of the coal mining face fluid supply system via adaptive dynamic programming. [PDF]

Sci Rep, 2023
Zeng X, Wang D.
europepmc   +1 more source