Continuous-Time Portfolio Optimization for Absolute Return Funds.
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- Asia-Pacific Financial Markets, 2022, v. 29, n. 4, p. 675, doi. 10.1007/s10690-022-09365-9
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- Publication type:
- Article
Works about HAMILTON-Jacobi-Bellman equation
Results: 498
1
2
Risk-Sensitive Asset Management with Lognormal Interest Rates.
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- Asia-Pacific Financial Markets, 2021, v. 28, n. 2, p. 169, doi. 10.1007/s10690-020-09312-6
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- Article
3
Partial-state stabilization and optimal feedback control.
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- International Journal of Robust & Nonlinear Control, 2016, v. 26, n. 5, p. 1026, doi. 10.1002/rnc.3349
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- Article
4
Local well-posedness of the mortensen observer.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2024, v. 30, p. 1, doi. 10.1051/cocv/2024046
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- Article
5
Rates of convergence in periodic homogenization of nonlocal Hamilton–Jacobi–Bellman equations,.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2023, v. 29, p. 1, doi. 10.1051/cocv/2023038
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6
Reduction of lower semicontinuous solutions of Hamilton-Jacobi-Bellman equations.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022051
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7
Dynamic programming principle and Hamilton-Jacobi-Bellman Equation under nonlinear expectation.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022019
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- Publication type:
- Article
8
Error Estimates for a Tree Structure Algorithm Solving Finite Horizon Control Problems.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022067
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- Article
9
On the Graphon Mean Field Game equations: Individual agent affine dynamics and mean field dependent performance functions.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022020
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10
Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2021, p. 1, doi. 10.1051/cocv/2020070
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11
Relationship between maximum principle and dynamic programming in presence of intermediate and final state constraints.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2021, p. 1, doi. 10.1051/cocv/2021084
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12
Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2021, v. 27, p. 1, doi. 10.1051/cocv/2020070
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13
Backward SDEs and infinite horizon stochastic optimal control.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2019, v. 25, p. 1, doi. 10.1051/cocv/2018022
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- Article
14
Junction conditions for finite horizon optimal control problems on multi-domains with continuous and discontinuous solutions.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2019, v. 25, p. 1, doi. 10.1051/cocv/2018072
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- Publication type:
- Article
15
A DISCRETE-TIME OPTIMAL FILTERING APPROACH FOR NON-LINEAR SYSTEMS AS A STABLE DISCRETIZATION OF THE MORTENSEN OBSERVER.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2018, v. 24, n. 4, p. 1815, doi. 10.1051/cocv/2017077
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- Article
16
FULLY COUPLED FORWARD-BACKWARD SDES INVOLVING THE VALUE FUNCTION AND ASSOCIATED NONLOCAL HAMILTON-JACOBI-BELLMAN EQUATIONS.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2016, v. 22, n. 2, p. 519, doi. 10.1051/cocv/2015016
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- Publication type:
- Article
17
Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2013, v. 19, n. 1, p. 112, doi. 10.1051/cocv/2012001
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- Article
18
Dynamic programming principle for stochastic recursive optimal control problem with delayed systems.
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- ESAIM: Control, Optimisation & Calculus of Variations, 2012, v. 18, n. 4, p. 1005, doi. 10.1051/cocv/2011187
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- Publication type:
- Article
19
Error estimates of a theta-scheme for second-order mean field games.
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- ESAIM: Mathematical Modelling & Numerical Analysis (ESAIM: M2AN), 2023, v. 57, n. 4, p. 2493, doi. 10.1051/m2an/2023059
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20
Discontinuous Galerkin and C<sup>0</sup>-IP finite element approximation of periodic Hamilton–Jacobi–Bellman–Isaacs problems with application to numerical homogenization.
- Published in:
- ESAIM: Mathematical Modelling & Numerical Analysis (ESAIM: M2AN), 2022, v. 56, n. 2, p. 679, doi. 10.1051/m2an/2022017
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- Publication type:
- Article
21
Adaptive fuzzy optimal control for a class of active suspension systems with full‐state constraints.
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- IET Intelligent Transport Systems (Wiley-Blackwell), 2020, v. 14, n. 5, p. 371, doi. 10.1049/iet-its.2019.0187
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- Publication type:
- Article
22
Numerical simulation of collision-free near-shortest path generation for Dubins vehicle via Hamilton–Jacobi–Bellman equation: A case study.
- Published in:
- Cogent Engineering, 2020, v. 7, n. 1, p. 1, doi. 10.1080/23311916.2020.1782710
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- Article
23
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
24
Optimal debt ratio and dividend strategies for an insurer under a regime-switching model.
- Published in:
- Stochastic Models, 2018, v. 34, n. 4, p. 435, doi. 10.1080/15326349.2018.1527703
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- Publication type:
- Article
25
Unrestricted consumption under a deterministic wealth and an Ornstein-Uhlenbeck process as a discount rate.
- Published in:
- Stochastic Models, 2018, v. 34, n. 2, p. 139, doi. 10.1080/15326349.2017.1392867
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- Publication type:
- Article
26
Bayesian Dividend Optimization and Finite Time Ruin Probabilities.
- Published in:
- Stochastic Models, 2014, v. 30, n. 2, p. 216, doi. 10.1080/15326349.2014.900390
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- Article
27
Approximate solution of the Hamilton-Jacobi-Bellman equation.
- Published in:
- Journal of Mathematical Modeling (JMM), 2022, v. 10, n. 1, p. 71, doi. 10.22124/jmm.2021.18386.1579
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- Publication type:
- Article
28
Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate.
- Published in:
- Journal of Function Spaces, 2020, p. 1, doi. 10.1155/2020/3153297
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- Article
29
Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate.
- Published in:
- Journal of Function Spaces, 2020, p. 1, doi. 10.1155/2020/3153297
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- Article
30
Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate.
- Published in:
- Journal of Function Spaces, 2020, p. 1, doi. 10.1155/2020/4051969
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- Publication type:
- Article
31
A DYNAMIC DOMAIN DECOMPOSITION FOR THE EIKONAL-DIFFUSION EQUATION.
- Published in:
- Discrete & Continuous Dynamical Systems - Series S, 2016, v. 9, n. 1, p. 109, doi. 10.3934/dcdss.2016.9.109
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32
Existence and multiplicity for Hamilton-Jacobi-Bellman equation.
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- Communications on Pure & Applied Analysis, 2021, v. 20, n. 11, p. 3767, doi. 10.3934/cpaa.2021130
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33
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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- Article
34
Joint pricing and quality decision model under stochastic reference quality effect.
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- International Transactions in Operational Research, 2021, v. 28, n. 5, p. 2581, doi. 10.1111/itor.12916
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- Article
35
Existence and Uniqueness of Viscosity Solutions for Nonlinear Variational Inequalities Associated with Mixed Control.
- Published in:
- Chinese Annals of Mathematics, 2020, v. 41, n. 5, p. 793, doi. 10.1007/s11401-020-0234-5
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- Article
36
Tax compliance with uncertain income: a stochastic control model.
- Published in:
- Annals of Operations Research, 2018, v. 261, n. 1/2, p. 289, doi. 10.1007/s10479-017-2618-9
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- Publication type:
- Article
37
Optimal control of a stochastic production–inventory system under deteriorating items and environmental constraints.
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- International Journal of Production Research, 2015, v. 53, n. 2, p. 607, doi. 10.1080/00207543.2014.961201
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- Publication type:
- Article
38
Voltage Regulation in Second-Order Dc-Dc Converters Via the Inverse Optimal Control Design with Proportional-Integral Action.
- Published in:
- Revista Tecno Lógicas, 2022, v. 25, n. 55, p. 1, doi. 10.22430/22565337.2369
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- Publication type:
- Article
39
Model-free optimal decentralized sliding mode control for modular and reconfigurable robots based on adaptive dynamic programming.
- Published in:
- Advances in Mechanical Engineering (Sage Publications Inc.), 2019, v. 11, n. 12, p. N.PAG, doi. 10.1177/1687814019896923
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- Article
40
A unified framework of rapid exponential stability and optimal feedback control for nonlinear systems.
- Published in:
- Advances in Mechanical Engineering (Sage Publications Inc.), 2019, v. 11, n. 3, p. 1, doi. 10.1177/1687814019833206
- By:
- Publication type:
- Article
41
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
- By:
- Publication type:
- Article
42
Emissions reduction strategy in a three-stage agrifood value chain: A dynamic differential game approach.
- Published in:
- PLoS ONE, 2023, v. 18, n. 11, p. 1, doi. 10.1371/journal.pone.0294472
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- Publication type:
- Article
43
Dynamic supervision of counterfeit products based on blockchain technology: A differential game on goodwill accumulation.
- Published in:
- PLoS ONE, 2023, v. 18, n. 10, p. 1, doi. 10.1371/journal.pone.0293346
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- Publication type:
- Article
44
Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion.
- Published in:
- Mathematical Methods of Operations Research, 2022, v. 96, n. 2, p. 259, doi. 10.1007/s00186-022-00794-w
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- Publication type:
- Article
45
Optimal renewable resource harvesting model using price and biomass stochastic variations: a utility based approach.
- Published in:
- Mathematical Methods of Operations Research, 2022, v. 95, n. 2, p. 297, doi. 10.1007/s00186-022-00782-0
- By:
- Publication type:
- Article
46
Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space.
- Published in:
- Mathematical Methods of Operations Research, 2022, v. 95, n. 2, p. 219, doi. 10.1007/s00186-022-00779-9
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- Publication type:
- Article
47
Regularity properties in a state-constrained expected utility maximization problem.
- Published in:
- Mathematical Methods of Operations Research, 2018, v. 88, n. 2, p. 185, doi. 10.1007/s00186-018-0634-4
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- Publication type:
- Article
48
An optimal reinsurance problem in the Cramér-Lundberg model.
- Published in:
- Mathematical Methods of Operations Research, 2017, v. 85, n. 2, p. 179, doi. 10.1007/s00186-016-0559-8
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- Publication type:
- Article
49
Regular finite fuel stochastic control problems with exit time.
- Published in:
- Mathematical Methods of Operations Research, 2016, v. 84, n. 1, p. 105, doi. 10.1007/s00186-016-0536-2
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- Publication type:
- Article
50
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence.
- Published in:
- Mathematical Methods of Operations Research, 2016, v. 84, n. 1, p. 155, doi. 10.1007/s00186-016-0538-0
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- Publication type:
- Article