Results 31 to 40 of about 9,027 (185)
AIMS Mathematics, 2023 We investigate a robust optimal reinsurance-investment problem for $ n $ insurers under multiple interactions, which arise from the insurance market, the financial market, the competition mechanism and the cooperation mechanism.
Peng Yang
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Numerical Solution of the Dynamic Programming Equation for the Optimal Control of Quantum Spin Systems [PDF]
, 2010 The purpose of this paper is to describe the numerical solution of the Hamilton-Jacobi-Bellman (HJB) for an optimal control problem for quantum spin systems.
Azagra +24 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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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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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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Optimal Navigation Functions for Nonlinear Stochastic Systems
, 2014 This paper presents a new methodology to craft navigation functions for nonlinear systems with stochastic uncertainty. The method relies on the transformation of the Hamilton-Jacobi-Bellman (HJB) equation into a linear partial differential equation. This
Burdick, Joel W., Horowitz, Matanya B.
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Journal of Biological Dynamics, 2019 A simplified stochastic control model for optimization of logistic dynamics with the control-dependent carrying capacity, which is motivated by a recent algae population management problem in the river environment, is presented.
Hidekazu Yoshioka
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Two semi-Lagrangian fast methods for Hamilton-Jacobi-Bellman equations
, 2013 In this paper we apply the Fast Iterative Method (FIM) for solving general Hamilton-Jacobi-Bellman (HJB) equations and we compare the results with an accelerated version of the Fast Sweeping Method (FSM).
CY Kao +11 more
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HJB equations for certain singularly controlled diffusions
The Annals of Applied Probability, 2007 Given a closed, bounded convex set $\mathcal{W}\subset{\mathbb {R}}^d$ with nonempty interior, we consider a control problem in which the state process $W$ and the control process $U$ satisfy \[W_t= w_0+\int_0^t\vartheta(W_s) ds+\int_0^t (W_s) dZ_s+GU_t\in \mathcal{W},\qquad t\ge0,\] where $Z$ is a standard, multi-dimensional Brownian motion ...
Atar, Rami +2 more
openaire +4 more sources