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检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是201-210 订阅
排序:
One kind of corporate optimal investment problem in the real project
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25th Chinese Control Conference
作者: Wu Zhen Zhang Linyan Shandong Univ Sch Math & Syst Sci Jinan 250100 Peoples R China
One kind of corporate optimal portfolio and consumption choice problem is studied for a investor who can invest his wealth in the bond (bank account) and in a real project which has the production. The bank pays at an... 详细信息
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A Sojourn-Based Approach to Semi-Markov Reinforcement Learning
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JOURNAL OF SCIENTIFIC COMPUTING 2022年 第2期92卷 36-36页
作者: Ascione, Giacomo Cuomo, Salvatore Univ Napoli Federico II Naples Italy Univ Napoli Federico II Dipartimento Matemat & Applicaz Naples Italy
In this paper we introduce a new approach to discrete-time semi-Markov decision processes based on the sojourn time process. Different characterizations of discrete-time semi-Markov processes are exploited and decisio... 详细信息
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Representation formula for viscosity solution to a PDE problem involving Pucci's extremal operator
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NONLINEAR ANALYSIS-REAL WORLD APPLICATIONS 2021年 57卷 103199-103199页
作者: Pozza, Marco Sapienza Univ Roma Dipartimento Matemat G Castelnuovo Piazzale Aldo Moro 5 I-00185 Rome Italy
We provide a representation formula for viscosity solutions to an elliptic Dirichlet problem involving Pucci's extremal operators. This is done through a dynamic programming principle derived from Denis et al. (20... 详细信息
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A Finite Difference Method for the Variational p-Laplacian
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JOURNAL OF SCIENTIFIC COMPUTING 2022年 第1期90卷 67-67页
作者: del Teso, Felix Lindgren, Erik Univ Autonoma Madrid Dept Matemat Campus Cantoblanco Madrid 28049 Spain Uppsala Univ Dept Math S-48075106 Uppsala Sweden
We propose a new monotone finite difference discretization for the variational p-Laplace operator, Delta(p)u = div(vertical bar del u vertical bar(p-2)del u), and present a convergent numerical scheme for related Diri... 详细信息
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Mathematical modelling and optimal control analysis of pandemic dynamics as a hybrid system
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EUROPEAN JOURNAL OF CONTROL 2024年 75卷
作者: Dharmatti, Sheetal Krishnan, Nandakishor IISER Thiruvananthapuram Sch Math Maruthamala PO Trivandrum 695551 Kerala India Eotvos Lorand Univ Inst Biol Doctoral Sch Biol Pazmany Peter Setany 1-C HU-1117 Budapest Hungary Ctr Ecol Res Inst Evolut Konkoly Thege Mikl Ut HU-1121 Budapest Hungary
The study of epidemics using mathematical modelling is critical in understanding its dynamics and proposing potential control measures. We propose a generalised epidemiological model corresponding to a pandemic wherei... 详细信息
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Hybrid control systems and viscosity solutions
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SIAM JOURNAL ON CONTROL AND OPTIMIZATION 2005年 第4期44卷 1259-1288页
作者: Dharmatti, S Ramaswamy, M Indian Inst Sci Dept Math Bangalore 560012 Karnataka India TIFR Ctr IISc TIFR Math Program Bangalore 560012 Karnataka India
We investigate a model of hybrid control system in which both discrete and continuous controls are involved. In this general model, discrete controls act on the system at a given set interface. The state of the system... 详细信息
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Asymptotic Holder regularity for the ellipsoid process
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2020年 第1期26卷 112-112页
作者: Arroyo, Angel Parviainen, Mikko Univ Genoa Dept Math Via Dodecaneso 35 I-16146 Genoa Italy Univ Jyvaskyla Dept Math & Stat POB 35 Jyvaskyla 40014 Finland
We obtain an asymptotic Holder estimate for functions satisfying a dynamic programming principle arising from a so-called ellipsoid process. By the ellipsoid process we mean a generalization of the random walk where t... 详细信息
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Two-player zero-sum stochastic differential games with regime switching
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AUTOMATICA 2020年 第0期114卷 108819-000页
作者: Lv, Siyu Southeast Univ Sch Math Nanjing 211189 Peoples R China
This paper is concerned with the two-player zero-sum stochastic differential game in a regime switching model with an infinite horizon. The state of the system is characterized by a number of diffusions coupled by a c... 详细信息
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An Explicit Solution for a Portfolio Selection Problem with Stochastic Volatility
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Journal of Mathematical Finance 2016年 7卷 199-218页
作者: Albert N. Sandjo Fabrice Colin Salissou Moutari Department of Mathematics & Computer Science Laurentian University Sudbury Canada School of Mathematics and Physics Queen’s University Belfast Belfast UK
In this paper, we revisit the optimal consumption and portfolio selection problem for an investor who has access to a risk-free asset (e.g. bank account) with constant return and a risky asset (e.g. stocks) with const... 详细信息
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Ergodic Control of Partially Degenerate Diffusions in a Compact Domain
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Stochastics 2003年 第4期75卷 221-231页
作者: Vivek S. Borkar[a] Mrinal K. Ghosh?[b] [a] School of Technology and Computer Science Tata Institute of Fundamental Research Mumbai India [b] Department of Mathematics Indian Institute of Science Bangalore India
The problem of ergodic control of a reflecting diffusion in a compact domain is analysed under the condition of partial degeneracy, i.e. when its transition kernel after some time is absolutely continuous with respect... 详细信息
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