Search Results - subject:"Hamilton–Jacobi–Bellman equation"

Utility maximization in an illiquid market in continuous time

Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321

Persistent link: https://www.econbiz.de/10011673528

Constrained portfolio choices in the decumulation phase of a pension plan

Giacinto, Marina Di; Federico, Salvatore; Gozzi, Fausto; … - Collegio Carlo Alberto, Università degli Studi di Torino - 2010

solutions for the Hamilton-Jacobi-Bellman equation and, in a special case, we explicitly compute the value function for the …

Persistent link: https://www.econbiz.de/10008682808

On the feedback solution of a differential oligopoly game with hyperbolic demand and capacity accumulation

Lambertini, Luca - 2010

I characterise the subgame perfect equilibrium of a differential market game with hyperbolic demand where firms are quantity-setters and accumulate capacity over time à la Ramsey. I show that the open-loop solution is subgame perfect. Then, I analyse the feasibility of horizontal mergers, and...

Persistent link: https://www.econbiz.de/10011739873

Уравнение Гамильтона-Якоби-Беллмана в дифференциальных играх со случайной продолжительностью

ВИКТОРОВНА, ШЕВКОПЛЯС ЕКАТЕРИНА - In: Управление большими … (2009) 3, pp. 385-408

the game can be simplified to the standard problem with infinite time horizon. The Hamilton-Jacobi-Bellman equation which …

Persistent link: https://www.econbiz.de/10011227100

Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model

A, Chunxiang; Li, Zhongfei - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 181-196

This paper considers an optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s stochastic volatility (SV) model. Suppose that the insurer is allowed to purchase excess-of-loss reinsurance and invests her surplus in a financial market consisting of...

Persistent link: https://www.econbiz.de/10011263846

Optimal reinsurance and investment problem for an insurer with counterparty risk

Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 242-254

This paper analyzes the optimal proportional reinsurance and investment problem for an insurer in a defaultable market. We assume that the reinsurance premium is calculated via the exponential premium principle. The insurer can allocate his/her wealth among the following securities: a bank...

Persistent link: https://www.econbiz.de/10011263850

Takeoff vs. stagnation in endogenous recombinant growth models

Privileggi, Fabio - In: Mathematics and Computers in Simulation (MATCOM) 108 (2015) C, pp. 184-214

This paper concludes the study of transition paths in the continuous-time recombinant endogenous growth model by providing numerical methods to estimate the threshold initial value of capital (a Skiba-type point) above which the economy takes off toward sustained growth in the long run, while it...

Persistent link: https://www.econbiz.de/10011117200

Dividend optimization under reserve constraints for the Cramér–Lundberg model compounded by force of interest

Zhu, Jinxia; Chen, Feng - In: Economic Modelling 46 (2015) C, pp. 142-156

We study the dividend optimization problem for a company where surplus in the absence of dividend payments follows a Cramér–Lundberg process compounded by constant force of interest. The company controls the times and amounts of dividend payments subject to reserve constraints that dividends...

Persistent link: https://www.econbiz.de/10011208943

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation

Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and Stochastics 19 (2015) 2, pp. 415-448

of dynamic programming, showing that the viscosity solutions of the associated Hamilton–Jacobi–Bellman equation belong to … a suitable class of smooth functions. This allows defining a smooth solution of the primal Hamilton–Jacobi–Bellman … equation, and proving by verification that such a solution is indeed unique in a suitable class of smooth functions and …

Persistent link: https://www.econbiz.de/10011241202

Optimal reinsurance and investment problem for an insurer with counterparty risk

Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance / Mathematics & economics 61 (2015), pp. 242-254

Persistent link: https://www.econbiz.de/10010515877