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检索条件"主题词=dynamic programming principle"
226 条 记 录,以下是71-80 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
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Stochastic recursive optimal control problem of reflected stochastic differential systems
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INTERNATIONAL JOURNAL OF CONTROL 2020年 第9期93卷 2187-2198页
作者: Feng, Xinwei Chinese Univ Hong Kong Dept Stat Shatin Hong Kong Peoples R China
In this paper, we study one kind of stochastic recursive optimal control problem in which the control system is stochastic differential equations reflected in a domain and the cost functional is defined by generalised... 详细信息
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VISCOSITY SOLUTIONS TO PARABOLIC MASTER EQUATIONS AND MCKEAN-VLASOV SDES WITH CLOSED-LOOP CONTROLS
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ANNALS OF APPLIED PROBABILITY 2020年 第2期30卷 936-986页
作者: Wu, Cong Zhang, Jianfeng Wells Fargo Secur San Francisco CA 94108 USA Univ Southern Calif Dept Math Los Angeles CA 90007 USA
The master equation is a type of PDE whose state variable involves the distribution of certain underlying state process. It is a powerful tool for studying the limit behavior of large interacting systems, including me... 详细信息
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ASYMPTOTICS OF VALUES IN dynamic GAMES ON LARGE INTERVALS
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ST PETERSBURG MATHEMATICAL JOURNAL 2020年 第1期31卷 157-179页
作者: Khlopin, D., V IMM UB RAS NN Krasovskii Inst Math & Mech Ul S Kovalevskoi 16 Ekaterinburg 620999 Russia
dynamic antagonistic games are treated. The dependence of the game value on the payoff function is explored for games with one and the same dynamics, running cost, and possibilities of the players. Each payoff functio... 详细信息
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Asymptotic Lipschitz Regularity for Tug-of-War Games with Varying Probabilities
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POTENTIAL ANALYSIS 2020年 第2期53卷 565-589页
作者: Arroyo, Angel Luiro, Hannes Parviainen, Mikko Ruosteenoja, Eero Univ Jyvaskyla Dept Math & Stat POB 35 FI-40014 Jyvaskyla Finland Norwegian Univ Sci & Technol Dept Math Sci NTNU NO-7491 Trondheim Norway
We prove an asymptotic Lipschitz estimate for value functions of tug-of-war games with varying probabilities defined in omega subset of Double-struck capital R-n. The method of the proof is based on a game-theoretic i... 详细信息
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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 11-11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 3-3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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On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
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MATHEMATICS AND FINANCIAL ECONOMICS 2020年 第3期14卷 433-460页
作者: Backhoff-Veraguas, Julio Tangpi, Ludovic Univ Wien Fak Math Oskar Morgenstern Pl 1 A-1090 Vienna Austria Princeton Univ Dept Operat Res & Financial Engn Sherrerd Hall Princeton NJ 08540 USA
It is well-known from the work of Kupper and Schachermayer that most law-invariant risk measures are not time-consistent, and thus do not admit dynamic representations as backward stochastic differential equations. In... 详细信息
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Robust Framework for Quantifying the Value of Information in Pricing and Hedging
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SIAM JOURNAL ON FINANCIAL MATHEMATICS 2020年 第1期11卷 27-59页
作者: Aksamit, Anna Hou, Zhaoxu Obloj, Jan Univ Sydney Sch Math & Stat Sydney NSW 2006 Australia Univ Oxford Math Inst Oxford OX2 6GG England Univ Oxford Math Inst Oxford OX1 3JP England Univ Oxford St Johns Coll Oxford OX1 3JP England
We investigate asymmetry of information in the context of the robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some addit... 详细信息
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Representation formula for viscosity solution to a PDE problem involving Pucci's extremal operator
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NONLINEAR ANALYSIS-REAL WORLD APPLICATIONS 2021年 57卷 103199-103199页
作者: Pozza, Marco Sapienza Univ Roma Dipartimento Matemat G Castelnuovo Piazzale Aldo Moro 5 I-00185 Rome Italy
We provide a representation formula for viscosity solutions to an elliptic Dirichlet problem involving Pucci's extremal operators. This is done through a dynamic programming principle derived from Denis et al. (20... 详细信息
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