Results 51 to 60 of about 1,220,533 (174)
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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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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Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Controlled superprocesses and HJB equation in the space of finite measures [PDF]
This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system.
Ocello, Antonio
core +4 more sources
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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Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
Dynamic Programming and Hamilton–Jacobi–Bellman Equations on Time Scales
Complexity, 2020 Bellman optimality principle for the stochastic dynamic system on time scales is derived, which includes the continuous time and discrete time as special cases.
Yingjun Zhu, Guangyan Jia
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Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
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Regular and exploratory resource extraction models considering sustainability
Results in Applied MathematicsWe formulate an optimal control problem of resource extraction, where a decision maker with sustainability concern dynamically controls the extraction rate. We assume harvesting to increase profit and incur a risk of resource depletion and aim to resolve
Hidekazu Yoshioka
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Market Making With Fads, Informed, and Uninformed Traders
Mathematical Finance, EarlyView.ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci +2 more
wiley +1 more source