Robust optimal dividend and reinsurance under model uncertainty.
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- Mathematical Foundations of Computing, 2025, v. 8, n. 5, p. 1, doi. 10.3934/mfc.2024019
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- Article
Works matching DE "HAMILTON-Jacobi-Bellman equation"
Results: 500
1
2
On penalized goal-reaching probability minimization under borrowing and short-selling constraints.
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- Journal of Applied Probability, 2025, v. 62, n. 2, p. 652, doi. 10.1017/jpr.2024.89
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- Publication type:
- Article
3
Dynamical low‐rank approximations of solutions to the Hamilton–Jacobi–Bellman equation.
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- Numerical Linear Algebra with Applications, 2023, v. 30, n. 3, p. 1, doi. 10.1002/nla.2463
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- Article
4
An Efficient Policy Iteration Algorithm for Dynamic Programming Equations.
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- PAMM: Proceedings in Applied Mathematics & Mechanics, 2013, v. 13, n. 1, p. 467, doi. 10.1002/pamm.201310226
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- Publication type:
- Article
5
A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate.
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- Numerical Methods for Partial Differential Equations, 2024, v. 40, n. 3, p. 1, doi. 10.1002/num.23075
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- Article
6
Error estimation for second‐order partial differential equations in nonvariational form.
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- Numerical Methods for Partial Differential Equations, 2021, v. 37, n. 3, p. 2190, doi. 10.1002/num.22678
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- Publication type:
- Article
7
Mixed interior penalty discontinuous Galerkin methods for fully nonlinear second order elliptic and parabolic equations in high dimensions.
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- Numerical Methods for Partial Differential Equations, 2014, v. 30, n. 5, p. 1538, doi. 10.1002/num.21856
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- Publication type:
- Article
8
Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach.
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- Numerical Methods for Partial Differential Equations, 2014, v. 30, n. 2, p. 664, doi. 10.1002/num.21836
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- Article
9
Correction: a comparison principle for semilinear Hamilton–Jacobi–Bellman equations in the Wasserstein space.
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- 2024
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- Publication type:
- Correction Notice
10
A comparison principle for semilinear Hamilton–Jacobi–Bellman equations in the Wasserstein space.
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- Calculus of Variations & Partial Differential Equations, 2024, v. 63, n. 4, p. 1, doi. 10.1007/s00526-024-02718-4
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- Article
11
Finite horizon mean field games on networks.
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- Calculus of Variations & Partial Differential Equations, 2020, v. 59, n. 5, p. N.PAG, doi. 10.1007/s00526-020-01816-3
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- Article
12
New strong maximum and comparison principles for fully nonlinear degenerate elliptic PDEs.
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- Calculus of Variations & Partial Differential Equations, 2019, v. 58, n. 6, p. N.PAG, doi. 10.1007/s00526-019-1620-2
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- Publication type:
- Article
13
Non-uniqueness of solutions of the Hamilton-Jacobi-Bellman equation for time-average control.
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- Automation & Remote Control, 2017, v. 78, n. 8, p. 1430, doi. 10.1134/S0005117917080045
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- Article
14
The Hamilton-Jacobi-Bellman equation for a class of differential games with random duration.
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- Automation & Remote Control, 2014, v. 75, n. 5, p. 959, doi. 10.1134/S0005117914050142
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- Publication type:
- Article
15
Numerical simulation of collision-free near-shortest path generation for Dubins vehicle via Hamilton–Jacobi–Bellman equation: A case study.
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- Cogent Engineering, 2020, v. 7, n. 1, p. 1, doi. 10.1080/23311916.2020.1782710
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- Article
16
Preface to the special issue.
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- Optimization Methods & Software, 2021, v. 36, n. 6, p. 1097, doi. 10.1080/10556788.2021.2061218
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- Article
17
Cooperative differential games with continuous updating using Hamilton–Jacobi–Bellman equation.
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- Optimization Methods & Software, 2021, v. 36, n. 6, p. 1099, doi. 10.1080/10556788.2020.1802456
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- Publication type:
- Article
18
Finite horizon optimal execution with bounded rate of transaction.
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- Stochastic Models, 2019, v. 35, n. 4, p. 469, doi. 10.1080/15326349.2019.1621760
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- Publication type:
- Article
19
Optimal debt ratio and dividend strategies for an insurer under a regime-switching model.
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- Stochastic Models, 2018, v. 34, n. 4, p. 435, doi. 10.1080/15326349.2018.1527703
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- Publication type:
- Article
20
Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate.
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- Stochastic Models, 2018, v. 34, n. 2, p. 139, doi. 10.1080/15326349.2017.1392867
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- Publication type:
- Article
21
Bayesian Dividend Optimization and Finite Time Ruin Probabilities.
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- Stochastic Models, 2014, v. 30, n. 2, p. 216, doi. 10.1080/15326349.2014.900390
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- Publication type:
- Article
22
Optimal dividend strategies for a risk model under force of interest and transaction cost.
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- Journal of Zhengzhou University of Light Industry, Natural Science Edition, 2014, v. 29, n. 6, p. 99, doi. 10.3969/j.issn.2095-476X.2014.06.022
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- Publication type:
- Article
23
Hamiltonian Formalism for the Problem of Optimal Motion Control under Multiple Criteria.
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- Doklady Mathematics, 2018, v. 97, n. 3, p. 291, doi. 10.1134/S1064562418030134
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- Publication type:
- Article
24
Approximability of the problem about a minimum-weight cycle cover of a graph.
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- Doklady Mathematics, 2015, v. 91, n. 2, p. 240, doi. 10.1134/S1064562415020313
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- Publication type:
- Article
25
Properties of value functions in impulse control problems.
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- Doklady Mathematics, 2014, v. 90, n. 3, p. 795, doi. 10.1134/S1064562414070205
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- Publication type:
- Article
26
Optimal dynamic pricing and production policy for a stochastic inventory system with perishable products and inventory-level-dependent demand.
- Published in:
- Journal of Industrial & Management Optimization, 2023, v. 19, n. 12, p. 1, doi. 10.3934/jimo.2023050
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- Publication type:
- Article
27
A Stackelberg reinsurance-investment game under Heston's stochastic volatility model.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 6, p. 1, doi. 10.3934/jimo.2022133
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- Publication type:
- Article
28
OPTIMAL INVESTMENT, CONSUMPTION AND LIFE INSURANCE STRATEGIES UNDER STOCHASTIC DIFFERENTIAL UTILITY WITH HABIT FORMATION.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 3, p. 2226, doi. 10.3934/jimo.2022040
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- Publication type:
- Article
29
OPTIMAL PROPORTIONAL REINSURANCE AND PAIRS TRADING UNDER EXPONENTIAL UTILITY CRITERION FOR THE INSURER.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 3, p. 1827, doi. 10.3934/jimo.2022020
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- Publication type:
- Article
30
A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory.
- Published in:
- Journal of Industrial & Management Optimization, 2022, v. 18, n. 6, p. 3831, doi. 10.3934/jimo.2021137
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- Publication type:
- Article
31
Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs.
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- Journal of Industrial & Management Optimization, 2022, v. 18, n. 2, p. 933, doi. 10.3934/jimo.2021003
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- Publication type:
- Article
32
Portfolio optimization for jump-diffusion risky assets with regime switching: A time-consistent approach.
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- Journal of Industrial & Management Optimization, 2022, v. 18, n. 1, p. 341, doi. 10.3934/jimo.2020156
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- Publication type:
- Article
33
Optimal investment-reinsurance policy with regime switching and value-at-risk constraint.
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- Journal of Industrial & Management Optimization, 2020, v. 16, n. 5, p. 2195, doi. 10.3934/jimo.2019050
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- Publication type:
- Article
34
Robust optimal consumption-investment strategy with non-exponential discounting.
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- Journal of Industrial & Management Optimization, 2020, v. 16, n. 1, p. 207, doi. 10.3934/jimo.2018147
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- Publication type:
- Article
35
Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax.
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- Journal of Industrial & Management Optimization, 2020, v. 16, n. 1, p. 325, doi. 10.3934/jimo.2018154
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- Publication type:
- Article
36
Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework.
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- Journal of Industrial & Management Optimization, 2020, v. 16, n. 1, p. 71, doi. 10.3934/jimo.2018141
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- Article
37
Optimal dividend policy with liability constraint under a hidden Markov regime-switching model.
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- Journal of Industrial & Management Optimization, 2019, v. 15, n. 4, p. 1965, doi. 10.3934/jimo.2018132
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- Publication type:
- Article
38
PRICING AMERICAN OPTIONS UNDER PROPORTIONAL TRANSACTION COSTS USING A PENALTY APPROACH AND A FINITE DIFFERENCE SCHEME.
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- Journal of Industrial & Management Optimization, 2013, v. 9, n. 2, p. 365, doi. 10.3934/jimo.2013.9.365
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- Publication type:
- Article
39
A DYNAMIC DOMAIN DECOMPOSITION FOR THE EIKONAL-DIFFUSION EQUATION.
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- Discrete & Continuous Dynamical Systems - Series S, 2016, v. 9, n. 1, p. 109, doi. 10.3934/dcdss.2016.9.109
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- Publication type:
- Article
40
Existence and multiplicity for Hamilton-Jacobi-Bellman equation.
- Published in:
- Communications on Pure & Applied Analysis, 2021, v. 20, n. 11, p. 3767, doi. 10.3934/cpaa.2021130
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- Publication type:
- Article
41
ON A PARABOLIC HAMILTON-JACOBI-BELLMAN EQUATION DEGENERATING AT THE BOUNDARY.
- Published in:
- Communications on Pure & Applied Analysis, 2016, v. 15, n. 4, p. 1251, doi. 10.3934/cpaa.2016.15.1251
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- Publication type:
- Article
42
A nearly optimal control for spacecraft rendezvous with constrained controls.
- Published in:
- Transactions of the Institute of Measurement & Control, 2016, v. 38, n. 7, p. 832, doi. 10.1177/0142331215587338
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- Publication type:
- Article
43
Mutual aid insurance with a three-state Markov chain.
- Published in:
- Scandinavian Actuarial Journal, 2024, v. 2024, n. 9, p. 910, doi. 10.1080/03461238.2024.2364730
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- Publication type:
- Article
44
The optimal reinsurance strategy with price-competition between two reinsurers.
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- Scandinavian Actuarial Journal, 2025, v. 2025, n. 1, p. 51, doi. 10.1080/03461238.2024.2389181
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- Publication type:
- Article
45
A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility.
- Published in:
- Scandinavian Actuarial Journal, 2024, v. 2024, n. 1, p. 28, doi. 10.1080/03461238.2023.2208583
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- Publication type:
- Article
46
Time-inconsistent view on a dividend problem with penalty.
- Published in:
- Scandinavian Actuarial Journal, 2023, v. 2023, n. 8, p. 811, doi. 10.1080/03461238.2022.2161411
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- Publication type:
- Article
47
Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times.
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- Scandinavian Actuarial Journal, 2022, v. 2022, n. 1, p. 49, doi. 10.1080/03461238.2021.1926315
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- Publication type:
- Article
48
OPTIMIZATION OF STOCHASTIC PRODUCTION-INVENTORY MODEL FOR DETERIORATING ITEMS IN A DEFINITE CYCLE USING HAMILTON-JACOBI-BELLMAN EQUATION.
- Published in:
- LogForum, 2022, v. 18, n. 4, p. 397, doi. 10.17270/J.LOG.2022.770
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- Publication type:
- Article
49
Adaptive optimal control for a class of continuous-time affine nonlinear systems with unknown internal dynamics.
- Published in:
- Neural Computing & Applications, 2013, v. 23, n. 7/8, p. 1843, doi. 10.1007/s00521-012-1249-y
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- Publication type:
- Article
50
Weak semiconvexity estimates for Schrödinger potentials and logarithmic Sobolev inequality for Schrödinger bridges.
- Published in:
- Probability Theory & Related Fields, 2024, v. 189, n. 3/4, p. 1045, doi. 10.1007/s00440-024-01264-6
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- Publication type:
- Article