Results 41 to 50 of about 1,725 (192)
Optimal Reinsurance-Investment Problem under Mean-Variance Criterion with n Risky Assets
Discrete Dynamics in Nature and Society, 2020 Based on the mean-variance criterion, this paper investigates the continuous-time reinsurance and investment problem. The insurer’s surplus process is assumed to follow Cramér–Lundberg model.
Peng Yang
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MathematicsThis paper is devoted to the study of stochastic optimal control of averaged stochastic differential delay equations (SDDEs) with semi-Markov switchings and their applications in economics.
Mariya Svishchuk, Anatoliy V. Swishchuk
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Online Optimal Control of Robotic Systems with Single Critic NN-Based Reinforcement Learning
Complexity, 2021 This paper suggests an online solution for the optimal tracking control of robotic systems based on a single critic neural network (NN)-based reinforcement learning (RL) method.
Xiaoyi Long, Zheng He, Zhongyuan Wang
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A fast algorithm for the two dimensional HJB equation of stochastic control [PDF]
, 2004 This paper analyses the implementation of the generalized finite differences method for the HJB equation of stochastic control, introduced by two of the authors in [Bonnans and Zidani, SIAM J. Numer. Anal. 41 (2003) 1008–1021].
J. Frédéric Bonnans +5 more
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Journal of Inequalities and Applications, 2018 This paper investigates optimal investment and reinsurance policies for an insurance company under a correlated risk model with common Poisson shocks. The goal of the insurance company is to minimize the ultimate ruin probability.
Lin Xu, Minghan Wang, Bin Zhang
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Collision Avoidance Problem of Ellipsoid Motion
Mathematics, 2022 This paper studies the problem of target control and how a virtual ellipsoid can avoid the static obstacle. During the motion to the target set, the virtual ellipsoid can achieve a motion under collision avoidance by keeping the distance between the ...
Shujun Guo +9 more
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Stats, 2021 We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method.
Sahar Albosaily +1 more
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Semismooth Newton and Newton iterative methods for HJB equation
Journal of Computational and Applied Mathematics, 2011 Some semismooth methods are considered to solve a nonsmooth equation which can arise from a discrete version of the well-known Hamilton-Jacobi-Bellman (HJB) equation, which is often encountered in optimal control and other applied areas. The authors first propose a semismooth Newton method and prove its monotone convergence by suitably choosing the ...
Jinping Zeng, Zhe Sun, Hongru Xu
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On Viscosity Solution of HJB Equations with State Constraints and Reflection Control [PDF]
SIAM Journal on Control and Optimization, 2017 Motivated by a control problem of a certain queueing network we consider a control problem where the dynamics is constrained in the nonnegative orthant $\mathbb{R}_+$ of the $d$-dimensional Euclidean space and controlled by the reflections at the faces/boundaries.
Anup Biswas +3 more
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Mathematics, 2020 In this paper, we consider a problem of the dynamic pricing and inventory control for non-instantaneous deteriorating items with uncertain demand, in which the demand is price-sensitive and governed by a diffusion process.
Xuxiang Luo, Zaiming Liu, Jinbiao Wu
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