Search
Search Results
-
Compromise Solution in an Economy Model with Replacement of Equipment
In this paper, we formalize the problem on the optimal strategy for replacing equipment in a branch of economy in the presence of price expectations...
-
Optimal control for a coupled spin-polarized current and magnetization system
This paper is devoted to an optimal control problem of a coupled spin drift-diffusion Landau–Lifshitz–Gilbert system describing the interplay of...
-
Feedback control of parametrized PDEs via model order reduction and dynamic programming principle
In this paper, we investigate infinite horizon optimal control problems for parametrized partial differential equations. We are interested in...
-
Uniqueness of Viscosity Solutions of Stochastic Hamilton-Jacobi Equations
This article is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of...
-
A Variational Approach to Perturbation Feedback Control for Optimal Control Problems with Terminal Constraints and Free Terminal Time
Using the method of characteristics, for an optimal control problem with terminal constraints and free terminal time, we construct a family of...
-
Stochastic Control for Insurance: New Problems and Methods
Stochastic control for insurance is concerned with problems in insurance models (jump processes) and for insurance applications (constraints from...
-
Stochastic Control for Insurance: Models, Strategies, and Numerics
This survey on stochastic control for insurance is written for stimulation research of the topic, addressing new problems (such as dividend values...
-
A HJB-POD feedback synthesis approach for the wave equation
We propose a computational approach for the solution of an optimal control problem governed by the wave equation. We aim at obtaining approximate...
-
Utility indifference valuation of corporate bond with rating migration risk
A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation...
-
Optimal consumption of the stochastic Ramsey problem for non-Lipschitz diffusion
The stochastic Ramsey problem is considered in a growth model with the production function of a Cobb-Douglas form. The existence of a unique...
-
Solving a class of functional equations using fixed point theorems
This paper is concerned with solvability of a class of functional equations arising in dynamic programming of multistage decision processes. Using...
-
Asymptotic stability of POD based model predictive control for a semilinear parabolic PDE
In this article a stabilizing feedback control is computed for a semilinear parabolic partial differential equation utilizing a nonlinear model...
-
The value function of an asymptotic exit-time optimal control problem
We consider a class of exit-time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may...
-
Portfolio optimization with uncertain exit time in infinite-time horizon
In this paper, we study infinite-period mean-variance formulations for portfolio selections with an uncertain exit time. We employ the convergence...
-
Boundary optimal feedback controller for time-periodic Stokes–Oseen flows
This work considered the Dirichlet boundary optimal control of time-periodic Stokes–Oseen equations. The existence of optimal solution and maximum...
-
Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest...
-
Funding and investment decisions in a stochastic defined benefit pension plan with regime switching*
In this paper, we consider a continuous-time Markov regime-switching model for a pension plan with a collective defined benefit character. In...
-
Control and nash games with mean field effect
Mean field theory has raised a lot of interest in the recent years (see in particular the results of Lasry-Lions in 2006 and 2007, of...
-
Optimality conditions for reflecting boundary control problems
We consider a control problem with reflecting boundary and obtain necessary optimality conditions in the form of the maximum Pontryagin principle. To...
-
Solvability and iterative approximations for a functional equation
This paper studies the existence, uniqueness and iterative approximations of solutions, bounded solutions and continuous bounded solutions for a...