Results 101 to 110 of about 1,220,533 (174)

Exploring the Utility Function in Merton's Portfolio Problem

reservedAll'interno di questa tesi si tratta il Problema del Portafoglio di Merton, e, mediante l'utilizzo della funzione di HJB si massimizza l'utilità attesa ipotizzando varie funzioni di utilità.
PELLEGRINO, DAVIDE
core  

Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations

, 2002
Recently in [8] an ergodic control problem for a class of di#usion processes, constrained to take values in a polyhedral cone, was considered. The main result of that paper was that under appropriate conditions on the model, there is a Markov control for
Amarjit Budhiraja, Vivek Borkar
core  

Iterative spectral methods for Hamilton-Jacobi-Bellman quasi-variational inequality in finance. [PDF]

PLoS One
Lei M, Lu Z.
europepmc   +1 more source

Convergence Analysis of Controlled Particle Systems Arising in Deep Learning: From Finite to Infinite Sample Size. [PDF]

Appl Math Optim
Liao H, Mészáros AR, Mou C, Zhou C.
europepmc   +1 more source

Convergence Analysis of Iterative Deep Learning Algorithms for Fully Nonlinear BSPDEs in Non-Markovian Utility Maximization. [PDF]

J Sci Comput
Ma J, Wu H, Zheng HH.
europepmc   +1 more source

Numerical solution of discretised HJB equations with applications in finance

, 2011
We consider the numerical solution of discretised Hamilton-Jacobi-Bellman (HJB) equations with applications in finance.For the discrete linear complementarity problem arising in American option pricing, we study a policy iteration method.
Witte, Jan Hendrik, Reisinger, Christoph
core  

HRL-Det: Hierarchical Reinforcement Learning for Sequential Object Detection in Aerial Imagery. [PDF]

Sensors (Basel)
Li M, Hu Y.
europepmc   +1 more source

Optimal control and the dynamics of ancestral lineages. [PDF]

Genetics
LaMont C.
europepmc   +1 more source

S-shaped Utility Maximization with VaR Constraint and Partial Information. [PDF]

J Optim Theory Appl
Zhu D, Davey A, Zheng H.
europepmc   +1 more source

A constructive approach to a class of ergodic HJB equations with nonsmooth cost

, 2011
We consider a class of ergodic Hamilton-Jacobi-Bellman (HJB) equations, related to large time asymptotics of non-smooth multiplicative functional of difusion processes.
Dai Pra, Paolo, Cattiaux, Patrick, Poelly, Sylvie   +2 more
core