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

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

Yao, Jing (contributor); Hu, Xiang (contributor); … - 2024

Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...

Persistent link: https://www.econbiz.de/10015325017

On the fragility of the basis on the Hamilton-Jacobi-Bellman equation in economic dynamics

Hosoya, Yuhki - In: Journal of mathematical economics 111 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015071624

Optimisation of drawdowns by generalised reinsurance in the classical risk model

Brinker, Leonie Violetta; Schmidli, Hanspeter - In: Decisions in Economics and Finance 46 (2023) 2, pp. 635-665

fulfils the corresponding Hamilton–Jacobi–Bellman equation and show how one can calculate the value function and the optimal …

Persistent link: https://www.econbiz.de/10015198558

Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein-Uhlenbeck process

Dong, Xue; Rong, Ximin; Zhao, Hui - In: Scandinavian actuarial journal 2023 (2023) 6, pp. 565-597

Persistent link: https://www.econbiz.de/10014383862

Time-inconsistent view on a dividend problem with penalty

Strini, Josef Anton; Thonhauser, Stefan - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 811-833

Persistent link: https://www.econbiz.de/10014383974

Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business

Torrente, Maria-Laura - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 611-633

Persistent link: https://www.econbiz.de/10014443758

Optimisation of drawdowns by generalised reinsurance in the classical risk model

Brinker, Leonie Violetta; Schmidli, Hanspeter - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 635-665

Persistent link: https://www.econbiz.de/10014443759

Optimal limit order book trading strategies with stochastic volatility in the underlying asset

Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit - In: Computational economics 62 (2023) 1, pp. 289-324

Persistent link: https://www.econbiz.de/10014327497

Optimal decision making for empty container management at seaport yard

Ngo Quang Vinh; You, Sam-Sang; Le Ngoc Bao Long; Kim, … - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 19 (2023) 1, pp. 75-59

Persistent link: https://www.econbiz.de/10014259025

Golden parachutes under the threat of accidents

Possamaï, Dylan; Rossato, Chiara - 2025

Persistent link: https://www.econbiz.de/10015359115