Results 81 to 90 of about 1,725 (192)

Dynamic Credit Decision-Making with Continuous Risk Preference: A Unified Framework of Entropy-Regularized HJB and Soft Actor-Critic

Mathematics
Traditional credit scoring treats lending as static classification and lacks the ability to adjust risk preferences dynamically. This paper develops a dynamic credit decision framework based on the entropy-regularized Hamilton–Jacobi–Bellman (ER-HJB ...
Lei Jin, Runchi Zhang
doaj   +1 more source

On the Hamilton-Jacobi-Bellman Equation by the Homotopy Perturbation Method

Abstract and Applied Analysis, 2014
Our concern in this paper is to use the homotopy decomposition method to solve the Hamilton-Jacobi-Bellman equation (HJB). The approach is obviously extremely well organized and is an influential procedure in obtaining the solutions of the equations.
Abdon Atangana, Aden Ahmed, Suares Clovis Oukouomi Noutchie   +2 more
doaj   +1 more source

An optimal reinsurance management and dividend payout strategy when the insurer’s reserve is an Ito–Levy process

Cogent Economics & Finance, 2019
We solve the problem of an insurer who decides to optimally allocate a proportion (1—a(t)) of premiums to a re-insurance company (thereby retaining a proportion a(t) of premiums) and who also has to optimally pay dividends c(t) at any time t to ...
Sure Mataramvura
doaj   +1 more source

Transience and non-explosion of certain stochastic Newtonian systems [PDF]

, 2002
We give sufficient conditions for non-explosion and transience of the solution (xt,pt) (in dimensions >= 3) to a stochastic Newtonian system of the form { dxdt = ptdt dpt = -δV(xt)/δx dt - δc(xt)/δx dξt where {ξt}t>=0 is a d-dimensional Lévy process,
Kolokoltsov, V. N. (Vasiliĭ Nikitich), Tyukov, Alexei E., Schilling, René L.   +2 more
core  

A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance

Fractal and Fractional
To better simulate the prices of underlying assets and improve the accuracy of pricing financial derivatives, an increasing number of new models are being proposed.
Xu Chen, Xin-Xin Gong, Youfa Sun, Siu-Long Lei   +3 more
doaj   +1 more source

On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance

Journal of Applied Mathematics, 2018
We consider an insurance company whose reserves dynamics follow a diffusion-perturbed risk model. To reduce its risk, the company chooses to reinsure using proportional or excess-of-loss reinsurance.
Christian Kasumo, Juma Kasozi, Dmitry Kuznetsov   +2 more
doaj   +1 more source

HJB equations for the optimal control of differential equations with delays and state constraints, I: Regularity of viscosity solutions

, 2010
We study a class of optimal control problems with state constraints, where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular, the so-called models with time to build; see [P ...
F. Gozzi, Ben Goldys, Goldys B., Goldys, B, Federico S., B. Goldys, Fausto Gozzi, Salvatore Federico, FEDERICO, SALVATORE, Gozzi F., Gozzi, F.   +10 more
core   +1 more source

WHEN ARE HJB-EQUATIONS FOR CONTROL PROBLEMS WITH STOCHASTIC DELAY EQUATIONS FINITE DIMENSIONAL?

, 2001
We consider optimal control problems where the state X(t) at time t of the system is given by a stochastic differential delay equation. The growth at time t not only depends on the present value X(t), but also on X(t-d) and some sliding average of ...
Risebro, Nils Henrik, Larssen, Bjørnar
core  

Stochastic HJB Equations and Regular Singular Points [PDF]

, 2018
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.
core  

Verification Theorems for HJB equations [PDF]

Proceedings of Control Systems: Theory, Numerics and Applications — PoS(CSTNA2005), 2006
openaire   +1 more source