Works about HAMILTON-Jacobi-Bellman equation

Results: 500

Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with more General Dependent Claim Risks and Defaultable Risk.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 4, p. 2743, doi. 10.1007/s11009-022-09927-4

By:

Zhang, Yan;
Zhao, Peibiao;
Ma, Rufei

Publication type:

Article

Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 3, p. 1385, doi. 10.1007/s11009-021-09865-7

By:

Xu, Ran;
Wang, Wenyuan;
Garrido, Jose

Publication type:

Article

Manage Pension Deficit with Heterogeneous Insurance.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 1119, doi. 10.1007/s11009-022-09960-3

By:

Sheng, De-Lei;
Shi, Linfeng;
Li, Danping;
Zhao, Yanping

Publication type:

Article

Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 1, p. 135, doi. 10.1007/s11009-019-09692-x

By:

Bernal, Francisco;
Gobet, Emmanuel;
Printems, Jacques

Publication type:

Article

Continuous-Time Portfolio Optimization for Absolute Return Funds.

Published in:

Asia-Pacific Financial Markets, 2022, v. 29, n. 4, p. 675, doi. 10.1007/s10690-022-09365-9

By:

Ieda, Masashi

Publication type:

Article

Risk-Sensitive Asset Management with Lognormal Interest Rates.

Published in:

Asia-Pacific Financial Markets, 2021, v. 28, n. 2, p. 169, doi. 10.1007/s10690-020-09312-6

By:

Hata, Hiroaki

Publication type:

Article

A unique value function for an optimal control problem of irrigation water intake from a reservoir harvesting flash floods.

Published in:

Stochastic Environmental Research & Risk Assessment, 2018, v. 32, n. 11, p. 3169, doi. 10.1007/s00477-018-1527-z

By:

Unami, Koichi;
Mohawesh, Osama

Publication type:

Article

Optimal guaranteed cost control of uncertain non-linear systems using adaptive dynamic programming with concurrent learning.

Published in:

IET Control Theory & Applications (Wiley-Blackwell), 2018, v. 12, n. 8, p. 1025, doi. 10.1049/iet-cta.2017.1131

By:

Yuzhu Huang

Publication type:

Article

Neural-network-based online optimal control for uncertain non-linear continuous-time systems with control constraints.

Published in:

IET Control Theory & Applications (Wiley-Blackwell), 2013, v. 7, n. 17, p. 2037, doi. 10.1049/iet-cta.2013.0472

By:

Xiong Yang;
Derong Liu;
Yuzhu Huang

Publication type:

Article

An Ergodic Control Problem for Many-Server Multiclass Queueing Systems with Cross-Trained Servers.

Published in:

Stochastic Systems, 2017, v. 7, n. 2, p. 264, doi. 10.1287/stsy.2017.0002

By:

Biswas, Anup

Publication type:

Article

Optimal consumption of the stochastic Ramsey problem for non-Lipschitz diffusion.

Published in:

Journal of Inequalities & Applications, 2014, v. 2014, p. 1, doi. 10.1186/1029-242X-2014-391

By:

Chuandi Liu

Publication type:

Article

Optimal Reinsurance-Investment Problem for an Insurer and a Reinsurer with Jump-Diffusion Process.

Published in:

Discrete Dynamics in Nature & Society, 2018, p. 1, doi. 10.1155/2018/9424908

By:

Hu, Hanlei;
Yin, Zheng;
Gao, Xiujuan

Publication type:

Article

Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty.

Published in:

Discrete Dynamics in Nature & Society, 2016, p. 1, doi. 10.1155/2016/9693419

By:

Meng, Xiangbo;
Rong, Ximin;
Zhang, Lidong;
Du, Ziping

Publication type:

Article

The Hamilton–Jacobi–Bellman Equation for Differential Games with Composite Distribution of Random Time Horizon.

Published in:

Mathematics (2227-7390), 2023, v. 11, n. 2, p. 462, doi. 10.3390/math11020462

By:

Balas, Tatyana;
Tur, Anna

Publication type:

Article

A Multi-Population Mean-Field Game Approach for Large-Scale Agents Cooperative Attack-Defense Evolution in High-Dimensional Environments †.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 21, p. 4075, doi. 10.3390/math10214075

By:

Wang, Guofang;
Li, Ziming;
Yao, Wang;
Xia, Sikai

Publication type:

Article

Collision Avoidance Problem of Ellipsoid Motion.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 19, p. 3478, doi. 10.3390/math10193478

By:

Guo, Shujun;
Jing, Lujing;
Dai, Zhaopeng;
Yu, Yang;
Dang, Zhiqing;
You, Zhihang;
Su, Ang;
Gao, Hongwei;
Guan, Jinqiu;
Song, Yujun

Publication type:

Article

Optimal Harvesting of Stochastically Fluctuating Populations Driven by a Generalized Logistic SDE Growth Model.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 17, p. 3098, doi. 10.3390/math10173098

By:

Brites, Nuno M.

Publication type:

Article

Lie Geometric Methods in the Study of Driftless Control Affine Systems with Holonomic Distribution and Economic Applications.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 4, p. N.PAG, doi. 10.3390/math10040545

By:

Popescu, Liviu;
Militaru, Daniel;
Tică, Gabriel

Publication type:

Article

Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 18, p. 2293, doi. 10.3390/math9182293

By:

Zhang, Yumo

Publication type:

Article

Two Approaches for a Dividend Maximization Problem under an Ornstein-Uhlenbeck Interest Rate.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 18, p. 2257, doi. 10.3390/math9182257

By:

Eisenberg, Julia;
Kremsner, Stefan;
Steinicke, Alexander

Publication type:

Article

Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 15, p. 1756, doi. 10.3390/math9151756

By:

Wang, Yang;
Xu, Xiao;
Zhang, Jizhou

Publication type:

Article

Differential Games for Fractional-Order Systems: Hamilton–Jacobi–Bellman–Isaacs Equation and Optimal Feedback Strategies.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 14, p. 1667, doi. 10.3390/math9141667

By:

Gomoyunov, Mikhail I.

Publication type:

Article

Noether Theorem in Stochastic Optimal Control Problems via Contact Symmetries.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 9, p. 953, doi. 10.3390/math9090953

By:

De Vecchi, Francesco C.;
Mastrogiacomo, Elisa;
Turra, Mattia;
Ugolini, Stefania;
Di Nunno, Giulia

Publication type:

Article

The Lie Algebraic Approach for Determining Pricing for Trade Account Options.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 3, p. 279, doi. 10.3390/math9030279

By:

Tseng, Shih-Hsien;
Nguyen, Tien Son;
Wang, Ruei-Ci;
Chalikias, Miltiadis

Publication type:

Article

Controlled Discrete-Time Semi-Markov Random Evolutions and Their Applications.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 2, p. 158, doi. 10.3390/math9020158

By:

Swishchuk, Anatoliy;
Limnios, Nikolaos

Publication type:

Article

Dynamic Multiagent Incentive Contracts: Existence, Uniqueness, and Implementation.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 1, p. 19, doi. 10.3390/math9010019

By:

Luo, Qi;
Saigal, Romesh

Publication type:

Article

An Integral Equation Approach to the Irreversible Investment Problem with a Finite Horizon.

Published in:

Mathematics (2227-7390), 2020, v. 8, n. 11, p. 2084, doi. 10.3390/math8112084

By:

Jeon, Junkee;
Kim, Geonwoo

Publication type:

Article

When Inaccuracies in Value Functions Do Not Propagate on Optima and Equilibria.

Published in:

Mathematics (2227-7390), 2020, v. 8, n. 7, p. 1109, doi. 10.3390/math8071109

By:

Wiszniewska-Matyszkiel, Agnieszka;
Singh, Rajani

Publication type:

Article

A Class of Itô Diffusions with Known Terminal Value and Specified Optimal Barrier.

Published in:

Mathematics (2227-7390), 2020, v. 8, n. 1, p. 123, doi. 10.3390/math8010123

By:

D'Auria, Bernardo;
Ferriero, Alessandro

Publication type:

Article

Modification of the Bellman–Ford Algorithm for Finding the Optimal Route in Multilayer Network Structures.

Published in:

Computation, 2023, v. 11, n. 4, p. 74, doi. 10.3390/computation11040074

By:

Timofeeva, Olga;
Sannikov, Alexey;
Stepanenko, Maria;
Balashova, Tatiana

Publication type:

Article

Implementation of Optimal Control for Thermal Regulation in Finite Volume Places Described by Second-Order Dynamics.

Published in:

International Journal of Combinatorial Optimization Problems & Informatics, 2023, v. 14, n. 3, p. 147, doi. 10.61467/2007.1558.2024.v15i1.391

By:

Vladimir Calderon-Lopez, Jared;
Gutiérrez-Moreno, Evelin;
Patricio Ordaz-Oliver, Jesús;
Oscar Ordaz-Oliver, Mario;
Fabian Montiel-Hernández, Justo

Publication type:

Article

An optimal management strategy for stochastic population dynamics of released Plecoglossus altivelis in rivers.

Published in:

International Journal of Modeling, Simulation & Scientific Computing, 2017, v. 8, n. 2, p. -1, doi. 10.1142/S1793962317500398

By:

Yaegashi, Yuta;
Yoshioka, Hidekazu;
Unami, Koichi;
Fujihara, Masayuki

Publication type:

Article

Explicit Solution of Reinsurance-Investment Problem for an Insurer with Dynamic Income under Vasicek Model.

Published in:

Advances in Mathematical Physics, 2016, p. 1, doi. 10.1155/2016/1967872

By:

Sheng, De-Lei

Publication type:

Article

A simple planning problem for COVID-19 lockdown: a dynamic programming approach.

Published in:

Economic Theory, 2024, v. 77, n. 1/2, p. 169, doi. 10.1007/s00199-023-01493-1

By:

Calvia, Alessandro;
Gozzi, Fausto;
Lippi, Francesco;
Zanco, Giovanni

Publication type:

Article

Optimal vaccination in a SIRS epidemic model.

Published in:

Economic Theory, 2024, v. 77, n. 1/2, p. 49, doi. 10.1007/s00199-022-01475-9

By:

Federico, Salvatore;
Ferrari, Giorgio;
Torrente, Maria-Laura

Publication type:

Article

Taylor expansions of the value function associated with a bilinear optimal control problem.

Published in:

Annales de l'Institut Henri Poincaré C, 2019, v. 36, n. 5, p. 1361, doi. 10.1016/j.anihpc.2019.01.001

By:

Breiten, Tobias;
Kunisch, Karl;
Pfeiffer, Laurent

Publication type:

Article

The generalized principal eigenvalue for Hamilton–Jacobi–Bellman equations of ergodic type.

Published in:

Annales de l'Institut Henri Poincaré C, 2015, v. 32, n. 3, p. 623, doi. 10.1016/j.anihpc.2014.02.003

By:

Ichihara, Naoyuki

Publication type:

Article

An Optimal Control Framework for Online Job Scheduling with General Cost Functions.

Published in:

Operations Research, 2022, v. 70, n. 5, p. 2674, doi. 10.1287/opre.2022.2321

By:

Etesami, S. Rasoul

Publication type:

Article

On the Taylor Expansion of Value Functions.

Published in:

Operations Research, 2020, v. 68, n. 2, p. 631, doi. 10.1287/opre.2019.1903

By:

Braverman, Anton;
Gurvich, Itai;
Huang, Junfei

Publication type:

Article

Optimal Feedback Control of Cancer Chemotherapy Using Hamilton–Jacobi–Bellman Equation.

Published in:

Complexity, 2022, p. 1, doi. 10.1155/2022/2158052

By:

Jeong, Yong Dam;
Kim, Kwang Su;
Roh, Yunil;
Choi, Sooyoun;
Iwami, Shingo;
Jung, Il Hyo

Publication type:

Article

Optimal Time-Consistent Investment Strategy for a Random Household Expenditure with Default Risk under Relative Performance.

Published in:

Complexity, 2021, p. 1, doi. 10.1155/2021/1274649

By:

Guan, Wenjin;
Yuan, Wei;
Li, Sheng

Publication type:

Article

A Tripartite Game Analysis of Environmental Pollution Control Based on Complicated Intergovernmental Relations.

Published in:

Complexity, 2021, p. 1, doi. 10.1155/2021/8148799

By:

Li, Ling;
Song, Yao;
Zhang, Zhiqiang

Publication type:

Article

Neural Network-Based Intelligent Computing Algorithms for Discrete-Time Optimal Control with the Application to a Cyberphysical Power System.

Published in:

Complexity, 2021, p. 1, doi. 10.1155/2021/5549678

By:

Jiang, Feng;
Zhang, Kai;
Hu, Jinjing;
Wang, Shunjiang

Publication type:

Article

Differential graphical games for H<sub>∞</sub> control of linear heterogeneous multiagent systems.

Published in:

International Journal of Robust & Nonlinear Control, 2019, v. 29, n. 10, p. 2995, doi. 10.1002/rnc.4538

By:

Adib Yaghmaie, Farnaz;
Hengster Movric, Kristian;
Lewis, Frank L.;
Su, Rong

Publication type:

Article

Nonlinear-nonquadratic optimal and inverse optimal control for stochastic dynamical systems.

Published in:

International Journal of Robust & Nonlinear Control, 2017, v. 27, n. 18, p. 4723, doi. 10.1002/rnc.3829

By:

Rajpurohit, Tanmay;
Haddad, Wassim M.

Publication type:

Article

Partial-state stabilization and optimal feedback control.

Published in:

International Journal of Robust & Nonlinear Control, 2016, v. 26, n. 5, p. 1026, doi. 10.1002/rnc.3349

By:

L'Afflitto, Andrea;
Haddad, Wassim M.;
Bakolas, Efstathios

Publication type:

Article

The large time profile for Hamilton–Jacobi–Bellman equations.

Published in:

Mathematische Annalen, 2022, v. 384, n. 3/4, p. 1409, doi. 10.1007/s00208-021-02320-5

By:

Gomes, Diogo A.;
Mitake, Hiroyoshi;
Tran, Hung V.

Publication type:

Article

Correction: a comparison principle for semilinear Hamilton–Jacobi–Bellman equations in the Wasserstein space.

Published in:

2024

By:

Daudin, Samuel;
Seeger, Benjamin

Publication type:

Correction Notice

A comparison principle for semilinear Hamilton–Jacobi–Bellman equations in the Wasserstein space.

Published in:

Calculus of Variations & Partial Differential Equations, 2024, v. 63, n. 4, p. 1, doi. 10.1007/s00526-024-02718-4

By:

Daudin, Samuel;
Seeger, Benjamin

Publication type:

Article

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

By:

Chou, Han-Jung;
Liu, Jing-Sin;
Tung, Wen-Chieh;
Pham, Duc

Publication type:

Article