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检索条件"主题词=DYNAMIC PROGRAMMING PRINCIPLE"
226 条 记 录,以下是81-90 订阅
排序:
A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING
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INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 2022年 第4-5期25卷 2250021-2250021页
作者: Dela Vega, Engel John C. Elliott, Robert J. Univ South Australia UniSA Business Adelaide SA 5000 Australia Univ Calgary Haskayne Sch Business Calgary AB T2N 1N4 Canada
This paper develops a model for the bid and ask prices of a European-type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffus... 详细信息
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Singular optimal controls for stochastic recursive systems under convex control constraint
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JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 2021年 第2期497卷 124905-124905页
作者: Zhang, Liangquan Beijing Univ Posts & Telecommun Sch Sci Beijing 100876 Peoples R China
In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has tw... 详细信息
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A mean value formula for the variational p-Laplacian
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NODEA-NONLINEAR DIFFERENTIAL EQUATIONS AND APPLICATIONS 2021年 第3期28卷 27-27页
作者: del Teso, Felix Lindgren, Erik Univ Complutense Madrid Dept Anal Matemat & Matemat Aplicada Madrid 28040 Spain Uppsala Univ Dept Math Box 480751 06 Uppsala Sweden
We prove a new asymptotic mean value formula for the p-Laplace operator, D(p)u = div(vertical bar del u vertical bar(p-2)del u), 1 < p < infinity valid in the viscosity sense. In the plane, and for a certain ran... 详细信息
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General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations
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STOCHASTICS AND dynamicS 2021年 第6期21卷 2150032-2150032页
作者: Hao, Tao Zhu, Qingfeng Shandong Univ Finance & Econ Sch Stat Jinan 250014 Peoples R China Shandong Univ Finance & Econ Sch Math & Quantitat Econ Shandong Key Lab Blockchain Finance Jinan 250014 Peoples R China
Recently, Hao and Li [Fully coupled forward-backward SDEs involving the value function. Nonlocal Hamilton-Jacobi-Bellman equations, ESAIM: Control Optim, Calc. Var. 22 (2016) 519-538] studied a new kind of forward-bac... 详细信息
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A Verification Theorem for Optimal Stopping Problems with Expectation Constraints (vol 79, pg 145, 2019)
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APPLIED MATHEMATICS AND OPTIMIZATION 2019年 第1期79卷 179-180页
作者: Ankirchner, Stefan Klein, Maike Kruse, Thomas Univ Jena Inst Math Ernst Abbe Pl 2 D-07743 Jena Germany Univ Duisburg Essen Fac Math Thea Leymann Str 9 D-45127 Essen Germany
We consider the problem of optimally stopping a continuous-time process with a stopping time satisfying a given expectation cost constraint. We show, by introducing a new state variable, that one can transform the pro... 详细信息
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THE EXISTENCE AND UNIQUENESS OF VISCOSITY SOLUTION TO A KIND OF HAMILTON-JACOBI-BELLMAN EQUATION
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SIAM JOURNAL ON CONTROL AND OPTIMIZATION 2019年 第6期57卷 3911-3938页
作者: Hu, Mingshang Ji, Shaolin Xue, Xiaole Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Shandong Peoples R China Shandong Univ Sch Management Jinan 250100 Peoples R China
In this paper, we study the existence and uniqueness of viscosity solutions to a kind of Hamilton-Jacobi-Bellman (HJB) equation combined with algebra equations. This HJB equation is related to a stochastic optimal con... 详细信息
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On Tauberian theorem for stationary Nash equilibria
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OPTIMIZATION LETTERS 2019年 第8期13卷 1855-1870页
作者: Khlopin, D. V. Russian Acad Sci Krasovskii Inst Math & Mech 16 S Kovalevskaja St Ekaterinburg 620990 Russia Ural Fed Univ Inst Math & Comp Sci Chair Appl Math & Mech 4 Turgeneva St Ekaterinburg 620083 Russia
We consider general n-player nonzero-sum dynamic games, which is broader than differential games and could accommodate both discrete and continuous time. Assuming common dynamics, we study the long run average family ... 详细信息
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Coupled dynamics with an external system and application to international finance
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PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 2019年 520卷 409-432页
作者: Basak, Gopal K. Das, Pranab Kumar Rohit, Allena Indian Stat Inst Stat Math Unit Kolkata 700108 India Ctr Studies Social Sci R1 BP Township Kolkata 700094 India Emory Univ Goizueta Business Sch Atlanta GA 30322 USA
The paper develops a generalized model of coupled dynamics for addressing the choice theoretic problems of economics and other behavioural sciences. The model extends the framework of coupled system to include an exte... 详细信息
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Random vibration control for multi-degree-of-freedom mechanical systems with soft actuators
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INTERNATIONAL JOURNAL OF NON-LINEAR MECHANICS 2019年 113卷 44-54页
作者: Chen, Huiqiang Wang, Yong Jin, Xiaoling Huang, Zhilong Zhejiang Univ Key Lab Soft Machines & Smart Devices Zhejiang Pr Dept Engn Mech Hangzhou Zhejiang Peoples R China
Soft robotics include soft actuators and possess the capacity of large deformation and environmental compatibility. Weak environmental disturbances may deteriorate the operating performance of soft robotics due to the... 详细信息
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Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
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STOCHASTIC PROCESSES AND THEIR APPLICATIONS 2019年 第2期129卷 674-711页
作者: Bandini, Elena Cosso, Andrea Fuhrman, Marco Huyen Pham Univ Milano Bicocca Dipartimento Matemat Applicaz Via Roberto Cozzi 55 I-20125 Milan Italy Univ Bologna Dipartimento Matemat Piazza Porta S Donato 5 I-40126 Bologna Italy Univ Milan Dipartimento Matemat Via Saldini 50 I-20133 Milan Italy Univ Paris Diderot CNRS UMR 8001 Lab Probabilites Stat & Modelisat Paris France ENSAE CREST Palaiseau France
We study a stochastic optimal control problem for a partially observed diffusion. By using the control randomization method in Bandini et al. (2018), we prove a corresponding randomized dynamic programming principle (... 详细信息
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