Results 61 to 70 of about 1,725 (192)
Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
The Scientific World Journal, 2014 This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati
Chubing Zhang
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Numerical solution of discretised HJB equations with aplications in finance
, 2011 We consider the numerical solution of discretised Hamilton-Jacobi-Bellman (HJB) equations with applications in finance. For the discrete linear complementarity problem arising in American option pricing, we study a policy iteration method.
Witte, Jan Hendrik
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The Fréchet–Newton Scheme for SV-HJB: Stability Analysis via Fixed-Point Theory
AxiomsThis paper investigates the optimal portfolio control problem under a stochastic volatility model, whose dynamics are governed by a highly nonlinear Hamilton–Jacobi–Bellman equation.
Mehran Paziresh +2 more
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HJB equations for certain singularly controlled diffusions
The Annals of Applied Probability, 2007 Published in at http://dx.doi.org/10.1214/07-AAP443 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Atar, Rami +2 more
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HJB Equation for Maximization of Wealth Under Insider Trading
Mediterranean Journal of MathematicsAbstract In this paper, we combine the techniques of enlargement of filtrations and stochastic control theory to establish an extension of the verification theorem, where the coefficients of the stochastic controlled equation are adapted to the underlying filtration and the controls are adapted to a bigger filtration
León, Jorge A. +2 more
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Equilibrium Points for Optimal Investment with Vintage Capital [PDF]
The paper concerns the study of equilibrium points, namely the stationary solutions to the closed loop equation, of an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. Sufficient conditions for
Silvia Faggian
core
Optimality of Nonlinear Design Techniques: A Converse HJB Approach [PDF]
, 1996 The issue of optimality in nonlinear controller design is confronted by using the converse HJB approach [1] to classify dynamics under which certain design schemes are optimal.
Nevistić, Vesna +3 more
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, 1994 Let A = −Δ with domain H10(Ω)∩H2(Ω) where Ω is open, smooth, and bounded. Run the state equation dXt/dt + AXt = αt with the control α and the initial value X0 = x in L2(Ω) to determine Xt.
Lions, P.L., Crandall, M.G.
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Increasing Autonomy of Aerospace Systems via PINN-based Solutions of HJB Equation
Closed-loop optimal control is crucial for enhancing the autonomy of aerospace systems. However, its computation can be challenging, as it typically involves solving the Hamilton-Jacobi-Bellman (HJB) equation—a nonlinear partial differential equation ...
Furfaro, Roberto, D'Ambrosio, Andrea
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Model order reduction approaches for infinite horizon optimal control problems via the HJB equation
, 2017 We investigate feedback control for infinite horizon optimal control problems for partial differential equations. The method is based on the coupling between Hamilton-Jacobi-Bellman (HJB) equations and model reduction techniques.
Schmidt A. +5 more
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