Results 81 to 90 of about 9,027 (185)

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, Pergamenshchikov, Serge   +1 more
core  

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., Morzfeld, Matthias, Tomlin, Claire J., Yang, Insoon   +3 more
core   +1 more source

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

Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions

Mathematical Finance, Volume 36, Issue 1, Page 67-98, January 2026.
ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley   +1 more source

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

Legendre Transform Dual Asymptotic Solution for Insurers Under the Heston Local‐Stochastic Volatility Model: A Comparison of Variance Premium and Expected Value Principles

Journal of Mathematics, Volume 2026, Issue 1, 2026.
This study examines optimal investment and reinsurance strategies for two competing insurers who are concerned with their relative performance. Each insurer can purchase reinsurance and invest in a financial market consisting of one risk‐free asset and one risky asset, with the risky asset’s price modeled using the Heston local‐stochastic volatility ...
Winfrida Felix Mwigilwa, Nian-Sheng Tang
wiley   +1 more source

Commodity risk assessment of oak and walnut logs from the US

EFSA Journal, Volume 24, Issue 1, January 2026.
Abstract The European Commission submitted to the EFSA Panel on Plant Health a Dossier from the United States proposing the use of a vacuum–steam–heat treatment as a stand‐alone phytosanitary measure to mitigate the risk of entry of Bretziella fagacearum, Geosmithia morbida and its vector Pityophthorus juglandis (thousand cankers disease complex) into ...
EFSA Panel on Plant Health (PLH), Antonio Vicent Civera, Paula Baptista, Anna Berlin, Elisavet Chatzivassiliou, Jaime Cubero, Nik Cunniffe, Eduardo de la Peña, Nicolas Desneux, Francesco Di Serio, Anna Filipiak, Beata Hasiów‐Jaroszewska, Hervé Jactel, Blanca B. Landa, Lara Maistrello, David Makowski, Panagiotis Milonas, Nikos T. Papadopoulos, Roel Potting, Hanna Susi, Dirk Jan van Der Gaag, Andrea Battisti, Claude Bragard, Hugo Mas, Daniel Rigling, Massimo Faccoli, Alžběta Mikulová, Fabio Stergulc, Olaf Mosbach‐Schulz, Franz Streissl, Paolo Gonthier   +30 more
wiley   +1 more source

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

, 2013
We study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the It^o-Ventzell formula the system is transformed to a controlled backward stochastic partial di eren-
Sulem, Agnès, Zhang, Tusheng, Øksendal, Bernt   +2 more
core   +2 more sources