Search Results - subject:"HJB Equations"

A singular stochastic control problem with direction switching cost

Kruk, Łukasz - In: Mathematical methods of operations research : ZOR 98 (2023) 3, pp. 325-349

Persistent link: https://www.econbiz.de/10014514912

Inequality assessment in a dynamic framework with heterogenous agents

Palestini, Arsen; Pignataro, Giuseppe - In: Economia politica : journal of analytical and … 40 (2023) 2, pp. 469-494

Persistent link: https://www.econbiz.de/10014329936

A novel high dimensional fitted scheme for stochastic optimal control problems

Dleuna Nyoumbi, Christelle; Tambue, Antoine - In: Computational economics 61 (2023) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10014228389

A dynamic programming approach to optimal pollution control under uncertain irreversibility : the Poisson case

Boucekkine, Raouf; Ruan, Weihua; Zou, Benteng - 2022

Persistent link: https://www.econbiz.de/10013331036

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks 9 (2021) 6, pp. 1-13

We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t)...

Persistent link: https://www.econbiz.de/10013200776

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks : open access journal 9 (2021) 6, pp. 1-13

Persistent link: https://www.econbiz.de/10012598381

Principal-agent problems with hidden savings in continuous time : validity of the first-order approach

Nakajima, Tomoyuki - 2021

Persistent link: https://www.econbiz.de/10013339149