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检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是61-70 订阅
排序:
BACKWARD STOCHASTIC RICCATI EQUATION WITH JUMPS ASSOCIATED WITH STOCHASTIC LINEAR QUADRATIC OPTIMAL CONTROL WITH JUMPS AND RANDOM COEFFICIENTS
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SIAM JOURNAL ON CONTROL AND OPTIMIZATION 2020年 第1期58卷 393-424页
作者: Zhang, Fu Dong, Yuchao Meng, Qingxin Univ Shanghai Sci & Technol Coll Sci Shanghai 200093 Peoples R China Univ Angers Dept Math 2 Bd Lavoisier F-49045 Angers 01 France Fudan Univ Dept Math Shanghai 200433 Peoples R China Huzhou Univ Dept Math Huzhou 313000 Zhejiang Peoples R China
In this paper, we investigate the solvability of matrix valued backward stochastic Riccati equations with jumps (BSREJ), which are associated with a stochastic linear quadratic (SLQ) optimal control problem with rando... 详细信息
来源: 评论
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
来源: 评论
Second order Hamilton-Jacobi-Bellman equations with an unbounded operator
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NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS 2012年 第13期75卷 4784-4797页
作者: Zalinescu, Adrian Acad Romana O Mayer Inst Math Iasi 700505 Romania
This work is devoted to the study of a class of Hamilton-Jacobi-Bellman equations associated to an optimal control problem where the state equation is a stochastic differential inclusion with a maximal monotone operat... 详细信息
来源: 评论
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
来源: 评论
STOCHASTIC OPTIMAL CONTROL PROBLEM WITH INFINITE HORIZON DRIVEN BY G-BROWNIAN MOTION
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2018年 第2期24卷 873-899页
作者: Hu, Mingshang Wang, Falei Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Shandong Peoples R China Shandong Univ Inst Adv Res Jinan 250100 Shandong Peoples R China
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we st... 详细信息
来源: 评论
The corporate optimal portfolio and consumption choice problem in the real project with borrowing rate higher than deposit rate
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APPLIED MATHEMATICS AND COMPUTATION 2006年 第2期175卷 1596-1608页
作者: Wu, Zhen Zhang, Liyan Shandong Univ Sch Math & Syst Sci Jinan 250100 Peoples R China
In this paper, 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 ... 详细信息
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Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
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NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS 2009年 第4期70卷 1776-1796页
作者: Li, Juan Peng, Shige Shandong Univ Dept Math Weihai 264200 Peoples R China Fudan Univ Sch Math Sci Shanghai 200433 Peoples R China Shandong Univ Sch Math & Syst Sci Jinan 250100 Peoples R China
In this paper we Study stochastic optimal control problems with jumps with the help of the theory of Backward Stochastic Differential Equations (BSDEs) with jumps. We generalize the results of Peng [S. Peng, BSDE and ... 详细信息
来源: 评论
Transition density function expansion methods for portfolio optimization
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OPTIMAL CONTROL APPLICATIONS & METHODS 2024年 第4期45卷 1345-1374页
作者: Lu, Yuxuan Zhou, Qing Wu, Weixing Xiao, Weilin Beijing Univ Posts & Telecommun Sch Sci Minist Educ Key Lab Math & Informat Networks Beijing 100876 Peoples R China Capital Univ Econ & Business Sch Finance Beijing Peoples R China Zhejiang Univ Sch Management Hangzhou Peoples R China
In this study, we introduce transition density function expansion methods inspired from Yang et al. (J Econom. 2019;209(2):256-288.) to stochastic control issues related to utility maximization, without imposing limit... 详细信息
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Stochastic recursive optimal control problem with mixed delay under viscosity solution's framework
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OPTIMAL CONTROL APPLICATIONS & METHODS 2021年 第2期42卷 445-468页
作者: Meng, Weijun Shi, Jingtao Shandong Univ Sch Math Jinan 250100 Peoples R China
This article is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed.... 详细信息
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OPTIMAL INVENTORY CONTROL WITH JUMP DIFFUSION AND NONLINEAR dynamicS IN THE DEMAND
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SIAM JOURNAL ON CONTROL AND OPTIMIZATION 2018年 第1期56卷 53-74页
作者: Liu, Jingzhen Yiu, Ka Fai Cedric Bensoussan, Alain Cent Univ Finance & Econ Sch Insurance Beijing 100081 Peoples R China Hong Kong Polytech Univ Dept Appl Math Kowloon Hong Kong Peoples R China City Univ Hong Kong Dept Syst Engn & Engn Management Kowloon Hong Kong Peoples R China Univ Texas Dallas Jindal Sch Management Dallas TX 75083 USA
In this paper, we consider an inventory control problem with a nonlinear evolution and a jump-diffusion demand model. This work extends the earlier inventory model proposed by Benkherouf and Johnson [Math. Methods Ope... 详细信息
来源: 评论