Results 71 to 80 of about 9,123 (200)
Regularity properties for general HJB equations. A BSDE method [PDF]
, 2011 In this work we investigate regularity properties of a large class of Hamilton-Jacobi-Bellman (HJB) equations with or without obstacles, which can be stochastically interpreted in form of a stochastic control system which nonlinear cost functional is ...
Buckdahn, Rainer +2 more
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Model order reduction approaches for infinite horizon optimal control problems via the HJB equation
, 2016 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.
A. Alla +19 more
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Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, Volume 81, Issue 3, Page 1741-1795, June 2026.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
MathematicsIn this paper, we propose a novel image restoration framework that integrates optimal control techniques with the Hamilton–Jacobi–Bellman (HJB) equation.
Dragos-Patru Covei
doaj +1 more source
Stochastic HJB Equations and Regular Singular Points [PDF]
, 2018 IIn this paper we show that some HJB equations arising from both finite and infinite horizon stochastic optimal control problems have a regular singular point at the origin. This makes them amenable to solution by power series techniques.
Krener, Arthur J.
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, 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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Chemistry – A European Journal, Volume 32, Issue 19, 22 May 2026.A phosphinine–borane Lewis pair shows a dynamic mode of water addition, revealing reversible and regioselective transformations that expand the reactivity of aromatic phosphorus heterocycles and open pathways to stimuli‐responsive systems for catalysis, small‐molecule activation, and functional materials.
Samantha Frank +7 more
wiley +1 more source
Stochastic control problems for systems driven by normal martingales
, 2008 In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general insurance models ...
Buckdahn, Rainer +2 more
core +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
doaj +1 more source
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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