Results 81 to 90 of about 8,699 (152)

HJB Equation for Maximization of Wealth Under Insider Trading

Mediterranean Journal of Mathematics
Abstract 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., Peralta, Liliana, Rodríguez, Iván   +2 more
openaire   +2 more sources

Stochastic Optimal Control with Delay in the Control: solution through partial smoothing

, 2015
Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state.
Gozzi, Fausto, Masiero, Federica
core  

Virtual element methods for HJB equations with Cordes coefficients

Computer Methods in Applied Mechanics and Engineering
In this paper, we propose and analyze both conforming and nonconforming virtual element methods (VEMs) for the fully nonlinear second-order elliptic Hamilton-Jacobi-Bellman (HJB) equations with Cordes coefficients. By incorporating stabilization terms, we establish the well-posedness of the proposed methods, thus avoiding the need to construct a ...
Ying Cai, Hailong Guo, Zhimin Zhang
openaire   +2 more sources

The Fréchet–Newton Scheme for SV-HJB: Stability Analysis via Fixed-Point Theory

Axioms
This 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, Karim Ivaz, Mariyan Milev   +2 more
doaj   +1 more source

Optimal dividends for a NatCat insurer in the presence of a climate tipping point

Canadian Journal of Statistics, Volume 54, Issue 1, March 2026.
Abstract We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks deteriorates irreversibly.
Hansjörg Albrecher, Pablo Azcue, Nora Muler   +2 more
wiley   +1 more source

A stochastic HJB equation for optimal control of forward-backward SDEs

, 2016
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic partial ...
Sulem, Agnès, Zhang, Tusheng, Øksendal, Bernt   +2 more
core   +1 more source

Optimal Consumption and Investment with Income Adjustment and Borrowing Constraints

Mathematics
In 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
doaj   +1 more source

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, Hong-zhen Guo, Yan-cheng Ye   +2 more
doaj   +1 more source

Robust Exponential Hedging in a Brownian Setting [PDF]

This paper studies the robust exponential hedging in a Brownian factor model, giving a solvable example using a PDE argument. The dual problem is reduced to a standard stochastic control problem, of which the HJB equation admits a classical solution ...
Keita Owari
core  

POD-based feedback control of the burgers equation by solving the evolutionary HJB equation

Computers & Mathematics with Applications, 2005
A numerical method is proposed for solving finite-time horizon suboptimal feedback control problems of distributed parameter systems. The method is based on model reduction by proper orthogonal decomposition (POD), and a local Lax-Friedrichs scheme is used to solve the resulting evolutionary Hamilton-Jacobi-Bellman (HJB) equation. The latter scheme for
Kunisch, K., Xie, L.
openaire   +1 more source