Search Results - subject:"HJB Equation"

Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space

Golui, Subrata; Pal, Chandan - In: Mathematical methods of operations research : ZOR 95 (2022) 2, pp. 219-247

Persistent link: https://www.econbiz.de/10013454870

Revisiting the Merton problem : from HARA to CARA utility

Ma, Guiyuan; Zhu, Song-Ping - In: Computational economics 59 (2022) 2, pp. 651-686

Persistent link: https://www.econbiz.de/10013169029

The role of inflation-indexed bond in optimal management of defined contribution pension plan during the decumulation phase

Zhang, Xiaoyi; Guo, Junyi - In: Risks 6 (2018) 2, pp. 1-16

in closed-form using the dynamic programming approach by solving the related Hamilton-Jacobi-Bellman (HJB) equation. The …

Persistent link: https://www.econbiz.de/10011996582

A threshold type policy for trading a mean-reverting asset with fixed transaction costs

Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks 6 (2018) 4, pp. 1-15

A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...

Persistent link: https://www.econbiz.de/10011996646

Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-12

the deviations of the insurer's wealth from a desired profit-solvency goal. By solving the Hamilton-Jacobi-Bellman (HJB …) equation, we derive the closed-form expressions for the value function, as well as the optimal strategy. Moreover, under …

Persistent link: https://www.econbiz.de/10012611013

Strategic interactions and uncertainty in decisions to curb greenhouse gas emissions

Insley, Margaret; Snoddon, Tracy R.; Forsyth, Peter - 2018 - This version: June 1, 2018

Persistent link: https://www.econbiz.de/10011863663

A threshold type policy for trading a mean-reverting asset with fixed transaction costs

Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks : open access journal 6 (2018) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10011906215

The role of inflation-indexed bond in optimal management of defined contribution pension plan during the decumulation phase

Zhang, Xiaoyi; Guo, Junyi - In: Risks : open access journal 6 (2018) 2, pp. 1-16

in closed-form using the dynamic programming approach by solving the related Hamilton-Jacobi-Bellman (HJB) equation. The …

Persistent link: https://www.econbiz.de/10011811720

Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12

the deviations of the insurer’s wealth from a desired profit-solvency goal. By solving the Hamilton-Jacobi-Bellman (HJB …) equation, we derive the closed-form expressions for the value function, as well as the optimal strategy. Moreover, under …

Persistent link: https://www.econbiz.de/10011857001

Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework

Yang, Peng; Chen, Zhiping; Cui, Xiangyu - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 969-997

Persistent link: https://www.econbiz.de/10012696897