Results 71 to 80 of about 8,699 (152)
A New Scheme for Discrete HJB Equations
Applied Mathematics, 2014 In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.
openaire +2 more sources
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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Path integral formulation of stochastic optimal control with generalized costs
, 2014 Path integral control solves a class of stochastic optimal control problems with a Monte Carlo (MC) method for an associated Hamilton-Jacobi-Bellman (HJB) equation.
Chorin, Alexandre J. +3 more
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Earth and Space Science, Volume 13, Issue 4, April 2026.Abstract We present a new empirical vertical E×B $\mathbf{E}\times \mathbf{B}$ drift model developed using ground‐based magnetometer, radar, and satellite data over equatorial latitude regions. We first implement an algorithm relating magnetometer derived equatorial electrojet (EEJ) and vertical ion plasma drift (equivalent to vertical E×B $\mathbf{E ...
John Bosco Habarulema +9 more
wiley +1 more source
, 2014 The purpose is to study the Cauchy problem for non-linear in time and space pseudo-differential equations. These include the fractional in time versions of HJB equations governing the controlled scaled CTRW.
Kolokoltsov, V., Veretennikova, M.
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Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, Volume 36, Issue 2, Page 374-396, April 2026.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
Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
, 2014 In this paper we aim to address two questions faced by a long-term investor with a power-type utility at high levels of wealth: one is whether the turnpike property still holds for a general utility that is not necessarily differentiable or strictly ...
Bian, Baojun, Zheng, Harry
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Macroscopic Market Making Games
Mathematical Finance, Volume 36, Issue 2, Page 352-373, April 2026.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
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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Optimal investment and consumption for pairs trading financial markets on small time interval
, 2018 In this paper we consider a pairs trading financial market with the spread of risky assets defined by the Ornstein-Uhlenbeck (OU) process. We implement an optimal strategy for power utility functions for investment/consumption problem.
Albosaily, Sahar +1 more
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