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检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是41-50 订阅
排序:
Stochastic recursive optimal control of McKean-Vlasov type: A viscosity solution approach
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JOURNAL OF DIFFERENTIAL EQUATIONS 2024年 409卷 334-394页
作者: Zhang, Liangquan Renmin Univ China Sch Math Beijing 100872 Peoples R China
In this paper, we study a kind of optimal control problem for forward-backward stochastic differential equations (FBSDEs for short) of McKean-Vlasov type via the dynamic programming principle (DPP for short) motivated... 详细信息
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Representation Results and Error Estimates for Differential Games with Applications Using Neural Networks
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dynamic GAMES AND APPLICATIONS 2025年 第2期15卷 417-453页
作者: Bokanowski, Olivier Warin, Xavier Univ Paris Cite Lab Jacques Louis F-75013 Paris France Sorbonne Univ CNRS LJLL F-75005 Paris France EDF R&D & FiME F-91120 Palaiseau France
We study deterministic optimal control problems for differential games with finite horizon. We propose new approximations of the strategies in feedback form and show error estimates and a convergence result of the val... 详细信息
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Holder estimate for a tug-of-war game with 1 <p <2 from Krylov-Safonov regularity theory
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REVISTA MATEMATICA IBEROAMERICANA 2024年 第3期40卷 1023-1044页
作者: Arroyo, Angel Parviainen, Mikko Univ Alicante Dept Matemat Alicante 03690 Spain Univ Jyvaskyla Dept Math & Stat POB 35 FI-40014 Jyvaskyla Finland
We propose a new version of the tug-of-war game and a corresponding dynamic programming principle related to the p -Laplacian with 1 < p < 2 . For this version, the asymptotic Holder continuity of solutions can ... 详细信息
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A Zero-Sum Deterministic Impulse Controls Game in Infinite Horizon with a New HJBI-QVI
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APPLIED MATHEMATICS AND OPTIMIZATION 2023年 第3期88卷 1-31页
作者: El Asri, Brahim Lalioui, Hafid Mazid, Sehail Ibn Zohr Univ Lab LISAD ENSA Equipe Aide Decis BP 1136 Agadir Morocco Ibn Zohr Univ Fac Sci Dept Math Agadir Morocco
In the present paper, we study a two-player, zero-sum, deterministic differential game with both players adopting impulse controls in infinite-time horizon, under rather weak assumptions on the cost functions. We prov... 详细信息
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OPTIMAL INVESTMENT STRATEGY FOR AN INSURER WITH PARTIAL INFORMATION IN CAPITAL AND INSURANCE MARKETS
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JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION 2023年 第7期19卷 5249-5271页
作者: Xie, Lin Li, Danping Qian, Linyi Chen, Lv Yang, Zhixin East China Normal Univ Sch Stat Key Lab Adv Theory & Applicat Stat & Data Sci MOE Shanghai 200062 Peoples R China East China Normal Univ Acad Stat & Interdisciplinary Sci Key Lab Adv Theory & Applicat Stat & Data Sci MOE Shanghai 200062 Peoples R China Ball State Univ Dept Math Sci Muncie IN 47304 USA
This paper considers a framework in which an insurer determines the optimal investment strategies to maximize the expected utility of terminal wealth. We obtain the optimal investment strategies assuming that both the... 详细信息
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OPTIMAL CONTRACTS AND ASSET PRICES IN A CONTINUOUS-TIME DELEGATED PORTFOLIO MANAGEMENT PROBLEM
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JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION 2023年 第5期19卷 3186-3216页
作者: Dou, Zheng Lai, Shaoyong Xihua Univ Sch Econ Chengdu 611139 Peoples R China Southwestern Univ Finance & Econ Sch Econ Math Chengdu 611130 Peoples R China
We study optimal contracts and asset prices in a financial market in which an investor delegates a portfolio manager to manage her wealth. The agency frictions are caused by the manager's "shirking" acti... 详细信息
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The Robin Mean Value Equation I: A Random Walk Approach to the Third Boundary Value Problem
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POTENTIAL ANALYSIS 2023年 第4期59卷 1695-1726页
作者: Lewicka, Marta Peres, Yuval Univ Pittsburgh Dept Math 139 Univ Pl Pittsburgh PA 15260 USA
We study the family of integral equations, called the Robin mean value equations (RMV), that are local averaged approximations to the Robin-Laplace boundary value problem (RL). When posed on C-1,C-1 -regular domains, ... 详细信息
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The Robin Mean Value Equation II: Asymptotic Holder Regularity
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POTENTIAL ANALYSIS 2023年 第4期59卷 2035-2069页
作者: Lewicka, Marta Peres, Yuval Univ Pittsburgh Dept Math 139 Univ Pl Pittsburgh PA 15260 USA
We show that solutions to the Robin mean value equations (RMV), introduced in Lewicka and Peres (2022), converge uniformly in the limit of the vanishing radius of averaging, to the unique solution of the Robin-Laplace... 详细信息
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Game-Theoretic Approach to Holder Regularity for PDEs Involving Eigenvalues of the Hessian
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POTENTIAL ANALYSIS 2023年 第4期59卷 1995-2015页
作者: Blanc, Pablo Han, Jeongmin Parviainen, Mikko Ruosteenoja, Eero Univ Jyvaskyla Dept Math & Stat POB 35 FI-40014 Jyvaskyla Finland
We prove a local Holder estimate for any exponent 0 0 and alpha(2),..., alpha(n-1) >= 0. The proof is based on a new coupling idea from game theory. As an application, we get the same regularity estimate for visco... 详细信息
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Tug-of-war with Kolmogorov
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JOURNAL OF DIFFERENTIAL EQUATIONS 2023年 342卷 501-558页
作者: Fjellstrom, Carmina Nystrom, Kaj Vestberg, Matias Uppsala Univ Dept Math S-75106 Uppsala Sweden
We introduce a new class of strongly degenerate nonlinear parabolic PDEs ((p - 2)Delta(N)(infinity,X) + Delta(X))u(X, Y, t) + (m +p)(X . del(Yu)(X, Y, t) - partial derivative(t)u(X, Y, t)) = 0, (X, Y, t) is an element... 详细信息
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