Results 31 to 40 of about 1,725 (192)
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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A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation [PDF]
, 2018 In this paper, we investigate a class of infinite-horizon optimal control problems for stochastic differential equations with delays for which the associated second order Hamilton−Jacobi−Bellman (HJB) equation is a nonlinear partial differential equation
Jianjun Zhou, Zhou, Jianjun
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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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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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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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An analytical solution for the HJB equation arising from the Merton problem
, 2018 In this paper, an analytical solution for the well-known Hamilton-Jacobi-Bellman (HJB) equation that arises from the Merton problem subject to general utility functions is presented for the first time.
Guiyuan Ma (20118780) +1 more
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Journal of Applied Mathematics, 2013 This paper studies a continuous-time dynamic mean-variance portfolio selection problem with the constraint of a higher borrowing rate, in which stock price is governed by a constant elasticity of variance (CEV) process. Firstly, we apply Lagrange duality
Hao Chang, Xi-min Rong
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Mathematics, 2023 This research focuses on designing a min–max robust control based on a neural dynamic programming approach using a class of continuous differential neural networks (DNNs). The proposed controller solves the robust optimization of a proposed cost function
Alexander Poznyak +4 more
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HJB-POD Feedback Control for Navier-Stokes Equations [PDF]
, 2016 In this report we present the approximation of an infinite horizon optimal control problem for the evolutive Navier-Stokes system. The method is based on a model reduction technique, using a POD approximation, coupled with a Hamilton-Jacobi equation which characterizes the value function of the corresponding control problem for the reduced system ...
Alla, Alessandro, Hinze, Michael
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A stochastic HJB equation for optimal control of forward-backward SDEs
, 2013 We study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the It^o-Ventzell formula the system is transformed to a controlled backward stochastic partial di eren-
Øksendal, Bernt +2 more
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