Results 41 to 50 of about 16,838,741 (322)

Market Making With Signals Through Deep Reinforcement Learning

IEEE Access, 2021
Deep reinforcement learning has recently been successfully applied to a plethora of diverse and difficult sequential decision-making tasks, ranging from the Atari games to robotic motion control.
Bruno Gasperov, Zvonko Kostanjcar
doaj   +1 more source

Dynamic programming approach to principal-agent problems [PDF]

, 2017
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems.
Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar   +2 more
core   +4 more sources

On time-inconsistent stochastic control in continuous time

Finance and Stochastics, 2016
In this paper, which is a continuation of the discrete-time paper (Björk and Murgoci in Finance Stoch. 18:545–592, 2004), we study a class of continuous-time stochastic control problems which, in various ways, are time-inconsistent in the sense that they
T. Björk, Mariana Khapko, Agatha Murgoci   +2 more
semanticscholar   +1 more source

Optimal and Suboptimal Control of a Standard Brownian Motion

Archives of Control Sciences, 2016
The problem of optimally controlling a standard Brownian motion until a fixed final time is considered in the case when the final cost function is an even function. Two particular problems are solved explicitly.
Lefebvre Mario
doaj   +1 more source

Long-Term Bifurcation and Stochastic Optimal Control of a Triple-Delayed Ebola Virus Model with Vaccination and Quarantine Strategies

Fractal and Fractional, 2022
Despite its high mortality rate of approximately 90%, the Ebola virus disease (EVD) has not received enough attention in terms of in-depth research. This illness has been responsible for over 40 years of epidemics throughout Central Africa.
Anwarud Din, Asad Khan, Yassine Sabbar
doaj   +1 more source

Feedback control of quantum state reduction [PDF]

, 2004
Feedback control of quantum mechanical systems must take into account the probabilistic nature of quantum measurement. We formulate quantum feedback control as a problem of stochastic nonlinear control by considering separately a quantum filtering ...
Mabuchi, Hideo, Stockton, John K., van Handel, Ramon   +2 more
core   +4 more sources

Implicit Prioritization of Life Insurance Coverage: A Study of Policyholder Preferences in a Danish Pension Company

Risks
This study evaluates the utility derived by policyholders in a Danish pension company, from their life insurance coverages. We quantify the relative importance policyholders assign to their existing coverages versus a hypothetical complete coverage ...
Julie Bjørner Søe
doaj   +1 more source

Robust optimal reinsurance strategy with correlated claims and competition

AIMS Mathematics, 2023
This paper investigates the robust optimal reinsurance strategy, which simultaneously takes into account the ambiguity aversion, the correlated claims and the joint interests of an insurer and a reinsurer.
Peng Yang
doaj   +1 more source

Stochastic control with state constraints via the Fokker–Planck equation. Application to renewable energy plants with batteries

Comptes Rendus. Mécanique
Although renewable energies are beneficial to reduce carbon emissions, its intermittent characteristics may result in power-supply issues in distribution grid. Battery energy storage system is generally regarded as an effective tool to deal with them. On
Bermúdez, Alfredo, Padín, Iago
doaj   +1 more source

Stochastic Power Control Strategy for Hybrid Electric Propulsion Ships Using Markov Chain-Based Operational Data Augmentation

Journal of Marine Science and Engineering
Since power demand varies due to uncertain environmental conditions, a deterministic power control strategy for hybrid electric propulsion ships contains a limitation in securing robust performance.
Su Bin Choi, Soon Ho Hong, Sun Je Kim
doaj   +1 more source