Results 71 to 80 of about 1,725 (192)
Optimal Consumption and Investment with Income Adjustment and Borrowing Constraints
MathematicsIn this paper, we address the utility maximization problem of an infinitely lived agent who has the option to increase their income. The agent can increase their income at any time, but doing so incurs a wealth cost proportional to the amount of the ...
Geonwoo Kim, Junkee Jeon
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Optimal investment models with vintage capital: Dynamic Programming approach [PDF]
The Dynamic Programming approach for a family of optimal investment models with vintage capital is here developed. The problem falls into the class of infinite horizon optimal control problems of PDE's with age structure that have been studied in various
Silvia Faggian, Fausto Gozzi
core
Utility indifference pricing of ESO with reload terms
上海师范大学学报. 自然科学版, 2018 “Nontradable” is one of the important characters of the Executive Stock Option(ESO).Therefore,the ESO cannot be priced by hedging the corresponding underlying asset.In this paper,we study ESO with reload terms by utility indifference method,based on ...
Fu Yi, Zhang Jizhou, Ji Sulei
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Tractable Representations for Convergent Approximation of Distributional HJB Equations
CoRRIn reinforcement learning (RL), the long-term behavior of decision-making policies is evaluated based on their average returns. Distributional RL has emerged, presenting techniques for learning return distributions, which provide additional statistics for evaluating policies, incorporating risk-sensitive considerations.
Julie Alhosh +2 more
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The Optimal Strategy to Research Pension Funds in China Based on the Loss Function
Data Science Journal, 2007 Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function.
Jian-wei Gao +2 more
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Finite dimensional projections of HJB equations in the Wasserstein space
The Annals of Applied ProbabilityThis paper continues the study of controlled interacting particle systems with common noise started in [W. Gangbo, S. Mayorga and A. Święch, SIAM J. Math. Anal. 53 (2021), no. 2, 1320--1356] and [S. Mayorga and A. Święch, SIAM J. Control Optim. 61 (2023), no. 2, 820--851].
Święch, Andrzej, Wessels, Lukas
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A HJB-POD Approach to the Control of the Level Set Equation
, 2017 We consider an optimal control problem where the dynamics is given by the propagation of a one-dimensional graph controlled by its normal speed. A target corresponding to the final configuration of the front is given and we want to minimize the cost to reach the target.
Alla, Alessandro +2 more
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Maximum Principle for Boundary Control Problems Arising in Optimal Investment with Vintage Capital [PDF]
The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations.
Silvia Faggian
core
Nonconvex duality and semicontinuous proximal solutions of HJB equation in optimal control
, 2009 In this work, we study an optimal control problem dealing with differential inclusion. Without requiring Lipschitz condition of the set valued map, it is very hard to look for a solution of the control problem.
Mustapha Serhani +3 more
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AutomatikaThis paper proposes a deep learning algorithm for solving the infinite-horizon optimal feedback control problem of a quadrotor unmanned aerial vehicle (UAV).
Yuhuan Yue
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