Results 51 to 60 of about 9,123 (200)

Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance

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
doaj   +1 more source

Dynamic Pricing and Optimal Control for a Stochastic Inventory System with Non-Instantaneous Deteriorating Items and Partial Backlogging

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
doaj   +1 more source

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
doaj   +1 more source

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
openaire   +1 more source

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, Hitoshi Ishii, Subhamay Saha, Lin Wang   +3 more
openaire   +3 more sources

Teachers' Pedagogical Reasoning and Students' Three‐Dimensional Learning

Science Education, EarlyView.
ABSTRACT This article reports analyses of data from a design‐based implementation project focused on middle‐ and high‐school science teaching. Drawing on teacher interviews and surveys as well as student learning evidence, we examined the relationships between teachers' pedagogical reasoning and their students' three‐dimensional learning. Most teachers
Christie Morrison Thomas, Beth A. Covitt, Qinyun Lin, Stefanie L. Marshall, James B. Hancock II, Charles W. Anderson   +5 more
wiley   +1 more source

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

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, Philippe Bergault, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Adaptive Actor–Critic Optimal Tracking Control for a Class of High-Order Nonlinear Systems with Partially Unknown Dynamics

Actuators
Optimal tracking control for high-order partially unknown nonlinear systems poses significant challenges, particularly in deriving tractable solutions without requiring persistent excitation (PE) conditions or precise system models.
Dengguo Xu, Xinsuo Li, Fapeng Li, Jingbei Tian   +3 more
doaj   +1 more source

On the Dividend Strategies with Non-Exponential Discounting [PDF]

, 2013
In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies.
Wang, Rongming, Wei, Jiaqin, Zhao, Qian
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