Results 51 to 60 of about 9,027 (185)
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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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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Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation
SSRN Electronic Journal, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jia-Wen Gu, Shijing Si, Harry Zheng
openaire +3 more sources
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, EarlyView.ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT +2 more
wiley +1 more source
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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On nouniqueness of solutions of Hamilton-Jacobi-Bellman equations
, 2015 An example of a nonunique solution of the Cauchy problem of Hamilton-Jacobi-Bellman (HJB) equation with surprisingly regular Hamiltonian is introduced. The proposed Hamiltonian H(t,x,p) fulfills the local Lipschitz continuity with respect to the triple ...
Misztela, Arkadiusz
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Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, EarlyView.ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci +4 more
wiley +1 more source
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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Application of Asymptotic Analysis of a High-Dimensional HJB Equation to Portfolio Optimization
Journal of Mathematics, 2023 In this paper, we consider a portfolio optimization problem where the wealth consists of investing into a risky asset with a slow mean-reverting volatility and receiving an uncontrollable stochastic cash flow under the exponential utility.
Lei Hu
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Macroscopic Market Making Games
Mathematical Finance, EarlyView.ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
wiley +1 more source