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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
排序:
THE EXISTENCE AND UNIQUENESS OF VISCOSITY SOLUTION TO A KIND OF HAMILTON-JACOBI-BELLMAN EQUATION
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SIAM JOURNAL ON CONTROL AND OPTIMIZATION 2019年 第6期57卷 3911-3938页
作者: Hu, Mingshang Ji, Shaolin Xue, Xiaole Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Shandong Peoples R China Shandong Univ Sch Management Jinan 250100 Peoples R China
In this paper, we study the existence and uniqueness of viscosity solutions to a kind of Hamilton-Jacobi-Bellman (HJB) equation combined with algebra equations. This HJB equation is related to a stochastic optimal con... 详细信息
来源: 评论
On Tauberian theorem for stationary Nash equilibria
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OPTIMIZATION LETTERS 2019年 第8期13卷 1855-1870页
作者: Khlopin, D. V. Russian Acad Sci Krasovskii Inst Math & Mech 16 S Kovalevskaja St Ekaterinburg 620990 Russia Ural Fed Univ Inst Math & Comp Sci Chair Appl Math & Mech 4 Turgeneva St Ekaterinburg 620083 Russia
We consider general n-player nonzero-sum dynamic games, which is broader than differential games and could accommodate both discrete and continuous time. Assuming common dynamics, we study the long run average family ... 详细信息
来源: 评论
Research on investment incorporating both environmental performance and long (short) term financial performance of firms
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INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE 2024年 第2期55卷 273-299页
作者: Li, Liang Fei, Chen Fei, Weiyin Anhui Polytech Univ Sch Math Phys & Finance Wuhu Peoples R China Univ Shanghai Sci & Technol Business Sch Shanghai Peoples R China Univ Shanghai Sci & Technol Business Sch Shanghai 200093 Peoples R China
Firstly, with the rapid popularisation of the ESG concept and the deepening of the conception of green and low-carbon development, the performance of a firm in protecting and improving the ecological environment and t... 详细信息
来源: 评论
A PSEUDO-MARKOV PROPERTY FOR CONTROLLED DIFFUSION PROCESSES
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SIAM JOURNAL ON CONTROL AND OPTIMIZATION 2016年 第2期54卷 1017-1029页
作者: Claisse, Julien Talay, Denis Tan, Xiaolu INRIA Sophia Antipolis 2004 Route LuciolesBP93 Sophia Antipolis France Univ Paris 09 CEREMADE Pl Marechal De Lattre De Tassigny F-75775 Paris 16 France
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used to prove the dynamic programming princ... 详细信息
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Ergodic control of reflected diffusions with jumps
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APPLIED MATHEMATICS AND OPTIMIZATION 1997年 第2期35卷 117-137页
作者: Menaldi, JL Robin, M CERN EUROPEAN LAB PARTICLE PHYSCH-1211 GENEVA 23SWITZERLAND
We discuss ergodicity properties of a controlled jumps diffusion process reflected from the boundary of a bounded domain. The control parameters act on the drift term and on a first-order-type jump density. The contro... 详细信息
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Mean-field backward stochastic differential equations and related partial differential equations
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STOCHASTIC PROCESSES AND THEIR APPLICATIONS 2009年 第10期119卷 3133-3154页
作者: Buckdahn, Rainer Li, Juan Peng, Shige Shandong Univ Sch Math & Stat Weihai 264200 Peoples R China Univ Bretagne Occidentale Dept Math F-29285 Brest France Shandong Univ Sch Math Jinan 250100 Peoples R China
In [R. Buckdahn, B. Djehiche, J. Li, S. Peng, Mean-field backward stochastic differential equations. A limit approach. Arm. Probab. (2007) (in press). Available online: http://***/aop/future_papers. h(m] the authors o... 详细信息
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Tightness and duality of martingale transport on the Skorokhod space
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STOCHASTIC PROCESSES AND THEIR APPLICATIONS 2017年 第3期127卷 927-956页
作者: Guo, Gaoyue Tan, Xiaolu Touzi, Nizar Ecole Polytech CMAP Palaiseau France PSL Res Univ Univ Paris Dauphine CEREMADE Paris France
The martingale optimal transport aims to optimally transfer a probability measure to another along the class of martingales. This problem is mainly motivated by the robust superhedging of exotic derivatives in financi... 详细信息
来源: 评论
UNBOUNDED VISCOSITY SOLUTIONS OF HYBRID CONTROL SYSTEMS
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2010年 第1期16卷 176-193页
作者: Barles, Guy Dharmatti, Sheetal Ramaswamy, Mythily Univ Tours Lab Math & Phys Theor F-37200 Tours France Univ Toulouse 3 CNRS UMR 5640 Lab MIP F-31062 Toulouse 9 France TIFR Ctr Applicable Math Bangalore 560065 Karnataka India
We study a hybrid control system in which both discrete and continuous controls are involved. The discrete controls act on the system at a given set interface. The state of the system is changed discontinuously when t... 详细信息
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Min-max control problems via occupational measures
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OPTIMAL CONTROL APPLICATIONS & METHODS 2014年 第3期35卷 340-360页
作者: Goreac, Dan Serea, Oana-Silvia Univ Paris Est CNRS UPEC LAMA UMR 8050UPEMLV F-77454 Marne La Vallee France Univ Perpignan F-66000 Perpignan France
We propose a linearized formulation for min-max control problems with separated dynamics. First, we investigate the existence of the value function and saddle points for semicontinuous costs. Second, we obtain dual fo... 详细信息
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Stochastic control/stopping problem with expectation constraints
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STOCHASTIC PROCESSES AND THEIR APPLICATIONS 2024年 176卷
作者: Bayraktar, Erhan Yao, Song Univ Michigan Dept Math Ann Arbor MI 48109 USA Univ Pittsburgh Dept Math Pittsburgh PA 15260 USA
We study a stochastic control/stopping problem with a series of inequality-type and equalitytype expectation constraints in a general non-Markovian framework. We demonstrate that the stochastic control/stopping proble... 详细信息
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