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Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model
Risks, 2021 In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company’s surplus process is assumed to follow a Brownian
Julia Eisenberg +2 more
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Triangle Inequality for Inverse Optimal Control
IEEE Access, 2023 Inverse optimal control (IOC) is a problem of estimating a cost function based on the behaviors of an expert that behaves optimally with respect to the cost function.
Sho Mitsuhashi, Shin Ishii
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Optimal feedback control for undamped wave equations by solving a HJB equation [PDF]
ESAIM: Control, Optimisation and Calculus of Variations, 2015 In this paper, optimal feedback control for one-dimensional semi-linear wave equations is considered. The feedback law based on the dynamic programming principle requires to solve the evolutionary Hamilton-Jacobi-Bellman (HJB) equation. To avoid the so--called ``curse of dimensionality'', instead of classical discretization methods based on finite ...
Kröner, Axel +2 more
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Abstract and Applied Analysis, 2014 This paper investigates the excess-of-loss reinsurance and investment problem for a compound Poisson jump-diffusion risk process, with the risk asset price modeled by a constant elasticity of variance (CEV) model.
De-Lei Sheng, Ximin Rong, Hui Zhao
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Optimal Feedback Control of Cancer Chemotherapy Using Hamilton–Jacobi–Bellman Equation
Complexity, 2022 Cancer chemotherapy has been the most common cancer treatment. However, it has side effects that kill both tumor cells and immune cells, which can ravage the patient’s immune system. Chemotherapy should be administered depending on the patient’s immunity
Yong Dam Jeong +5 more
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Linear Hamilton Jacobi Bellman Equations in High Dimensions [PDF]
, 2014 The Hamilton Jacobi Bellman Equation (HJB) provides the globally optimal solution to large classes of control problems. Unfortunately, this generality comes at a price, the calculation of such solutions is typically intractible for systems with more than
Burdick, Joel W. +2 more
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A Review of Tipping Points and Precaution using HJB equations
Dynamic Games and Applications, 2023 AbstractThis paper analyzes three models in environmental economics with the property that tipping can occur in the ecological part of the model: the pollution control model where tipping suddenly shifts up the damage, the fishery model where tipping suddenly lowers the carrying capacity, and the Ramsey growth model where tipping suddenly decreases the
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Micromachines, 2021 This paper focuses on the flow and thermal characteristics of the lubricant film in the micro clearance of a hydrodynamic journal bearing (HJB) at high rotating speed.
Yulong Jiang +4 more
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Some Results on Bellman Equations of Optimal Production Control in a Stochastic Manufacturing System
Journal of Probability and Statistics, 2009 The paper studies the production inventory problem of minimizing the expected discounted present value of production cost control in a manufacturing system with degenerate stochastic demand. We establish the existence of a unique solution of the Hamilton-
Azizul Baten, Anton Abdulbasah Kamil
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Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate
Journal of Function Spaces, 2020 In order to tackle the problem of how investors in financial markets allocate wealth to stochastic interest rate governed by a nested stochastic differential equations (SDEs), this paper employs the Nash equilibrium theory of the subgame perfect ...
Shuang Li +4 more
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