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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
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Hedging longevity risk in defined contribution pension schemes
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COMPUTATIONAL MANAGEMENT SCIENCE 2023年 第1期20卷 1-34页
作者: Agarwal, Ankush Ewald, Christian-Oliver Wang, Yongjie Univ Glasgow Adam Smith Business Sch Glasgow City G12 8QQ Scotland Inland Norway Univ Appl Sci Business Sch Lillehammer Norway
Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pensi... 详细信息
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Stochastic optimal control with random coefficients and associated stochastic Hamilton-Jacobi-Bellman equations
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ADVANCES IN CONTINUOUS AND DISCRETE MODELS 2022年 第1期2022卷 1-32页
作者: Moon, Jun Hanyang Univ Dept Elect Engn Seoul 04763 South Korea
We consider the optimal control problem for stochastic differential equations (SDEs) with random coefficients under the recursive-type objective functional captured by the backward SDE (BSDE). Due to the random coeffi... 详细信息
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dynamic programming principle FOR TUG-OF-WAR GAMES WITH NOISE
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2012年 第1期18卷 81-90页
作者: Manfredi, Juan J. Parviainen, Mikko Rossi, Julio D. Univ Pittsburgh Dept Math Pittsburgh PA 15260 USA Helsinki Univ Technol Inst Math Helsinki 02015 Finland FCEyN UBA 1428 Dept Matemat Buenos Aires DF Argentina
We consider a two-player zero-sum-game in a bounded open domain Omega described as follows: at a point x epsilon Omega, Players I and II play an epsilon-step tug-of-war game with probability alpha, and with probabilit... 详细信息
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Erratum: The Robust Superreplication Problem: A dynamic Approach
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SIAM JOURNAL ON FINANCIAL MATHEMATICS 2022年 第2期13卷 653-655页
作者: Carassus, Laurence Obloj, Jan Wiesel, Johannes Leonard de Vinci Pole Univ Res Ctr F-92916 Paris France Univ Reims LMR UMR 9008 F-51100 Reims France Univ Oxford Math Inst Oxford OX1 3JP England Univ Oxford St Johns Coll Oxford OX1 3JP England Columbia Univ Stat Dept New York NY 10027 USA
The assertions of Proposition 3.7 in our paper ``The robust superreplication problem: A dynamic approach"" [L. Carassus, J. Ob\lo'\j, and J. Wiesel, SIAM J. Financial Math., 10 (2019), pp. 907--941] may ... 详细信息
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Optimal multidimensional reinsurance policies under a common shock dependency structure
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EUROPEAN ACTUARIAL JOURNAL 2022年 第2期12卷 559-577页
作者: Azarbad, M. Parham, G. A. Alavi, S. M. R. Shahid Chamran Univ Ahvaz Fac Math Sci & Comp Dept Stat Ahvaz Iran
In this paper, we consider an insurance company that is active in multiple dependent lines. We assume that the risk process in each line is a Cramer-Lundberg process. We use a common shock dependency structure to cons... 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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A unified framework for robust modelling of financial markets in discrete time
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FINANCE AND STOCHASTICS 2021年 第3期25卷 427-468页
作者: Obloj, Jan Wiesel, Johannes Univ Oxford Math Inst Woodstock Rd Oxford OX2 6GG England Univ Oxford St Johns Coll Woodstock Rd Oxford OX2 6GG England Columbia Univ Dept Stat New York NY USA
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in finite discrete time. In particular, we prove a fundamental theorem of asset pricing an... 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 1-33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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Mean-Field Controls with Q-LearrhIrs for Cooperative MARL: Convergence and Complexity Analysis
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SIAM JOURNAL ON MATHEMATICS OF DATA SCIENCE 2021年 第4期3卷 1168-1196页
作者: Gu, Haotian Guo, Xin Wei, Xiaoli Xu, Renyuan Univ Calif Berkeley Dept Math Berkeley CA 94720 USA Univ Calif Berkeley IEOR Dept Berkeley CA 94720 USA Univ Southern Calif Ind & Syst Engn Los Angeles CA 90007 USA
Multi-agent reinforcement learning (MARL), despite its popularity and empirical success, suffers from the curse of dimensionality. This paper builds the mathematical framework to approximate cooperative MARL by a mean... 详细信息
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Deterministic differential games in infinite horizon involving continuous and impulse controls
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JOURNAL OF CONTROL AND DECISION 2023年
作者: El Asri, Brahim Lalioui, Hafid Ibn Zohr Univ Equipe Aide Decis Lab LISAD ENSA Agadir Morocco Ibn Zohr Univ Equipe Aide Decis Lab LISAD ENSA BP 1136 Agadir Morocco
We study a new class of two-player, zero-sum, deterministic differential games where each player uses both continuous and impulse controls in an infinite horizon with discounted payoff. We assume that the form and cos... 详细信息
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