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检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是51-60 订阅
Impact of government's support policy on decision-making of platform participants under ESG
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NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 2025年 75卷
作者: Li, Renzhong Fei, Chen Fei, Weiyin Univ Shanghai Sci & Technol Business Sch Shanghai 200093 Peoples R China Anhui Polytech Univ Sch Math Phys & Finance Wuhu 241000 Peoples R China
Blockchain-based token platform economy is a new branch of digital platform economics. Constructing a continuous time dynamic model of token platform economy, this paper analyzes what kind of ESG policy is appropriate... 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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Markov decision processes under model uncertainty
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MATHEMATICAL FINANCE 2023年 第3期33卷 618-665页
作者: Neufeld, Ariel Sester, Julian Sikic, Mario NTU Singapore Div Math Sci Singapore Singapore Natl Univ Singapore Dept Math Singapore Singapore Univ Zurich Dept Banking & Finance Zurich Switzerland NTU Singapore Div Math Sci 21 Nanyang Link Singapore 637371 Singapore
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle, we obtain a local-to-global paradigm, na... 详细信息
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dynamic programming approach to reflected backward stochastic differential equations
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ELECTRONIC JOURNAL OF PROBABILITY 2023年 28卷
作者: Hun, O. Kim, Mun-Chol Kim, Kon-Gun Kim II Sung Univ Fac Math Pyongyang North Korea
By introducing a new type of minimality condition, this paper gives a novel approach to the reflected backward stochastic differential equations (RBSDEs) with cadlag obstacles. Our first step is to prove the dynamic p... 详细信息
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Deep-Control of Memory via Stochastic Optimal Control and Deep Learning  4th
Deep-Control of Memory via Stochastic Optimal Control and De...
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International Conference on Mathematics and its Applications in Science and Engineering (ICMASE)
作者: Savku, Emel Univ Oslo Dept Math Oslo Norway
In this survey work, we introduce Stochastic Differential Delay Equations and their impacts on Stochastic Optimal Control problems. We observe time delay in the dynamics of a state process that may correspond to inert... 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 1-44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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A Finite Difference Method for the Variational p-Laplacian
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JOURNAL OF SCIENTIFIC COMPUTING 2022年 第1期90卷 1-31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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Neural networks for first order HJB equations and application to front propagation with obstacle terms
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PARTIAL DIFFERENTIAL EQUATIONS AND APPLICATIONS 2023年 第5期4卷 1-36页
作者: Bokanowski, Olivier Prost, Averil Warin, Xavier Univ Paris Cite Lab Jacques Louis Lions LJLL F-75013 Paris France Sorbonne Univ CNRS LJLL F-75005 Paris France Normandie Univ INSA Rouen Normandie LMI UR 3226 F-76000 Rouen France EDF R&D F-91120 Palaiseau France FiME F-91120 Palaiseau France
We consider a deterministic optimal control problem, focusing on a finite horizon scenario. Our proposal involves employing deep neural network approximations to capture Bellman's dynamic programming principle. Th... 详细信息
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dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums
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MATHEMATICS OF OPERATIONS RESEARCH 2022年 第1期47卷 616-642页
作者: Feinstein, Zachary Rudloff, Birgit Zhang, Jianfeng Stevens Inst Technol Sch Business Hoboken NJ 07030 USA Vienna Univ Econ & Business Inst Stat & Math A-1020 Vienna Austria Univ Southern Calif Dept Math Los Angeles CA 90089 USA
Nonzero sum games typically have multiple Nash equilibriums (or no equilibrium), and unlike the zero-sum case, they may have different values at different equilibriums. Instead of focusing on the existence of individu... 详细信息
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Risk-sensitive optimal stopping with unbounded terminal cost function
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ELECTRONIC JOURNAL OF PROBABILITY 2022年 27卷
作者: Jelito, Damian Stettner, Lukasz Jagiellonian Univ Inst Math Krakow Poland Polish Acad Sci Inst Math Warsaw Poland
In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller-Markov process with an unbounded terminal cost function. We show that in the unbounded case an associated Bellman... 详细信息
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