Keywords: معادله همیلتون-یعقوبی-بلمن; Optimal control theory; Pontryagin's equations; Hamilton-Jacobi-Bellman equation; Constrained systems; Dirac's method; Quantum mechanics;
مقالات ISI معادله همیلتون-یعقوبی-بلمن (ترجمه نشده)
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Keywords: معادله همیلتون-یعقوبی-بلمن; Hamilton-Jacobi-Bellman equation; Stochastic control; Monte Carlo approximation; Backward stochastic differential equations; Portfolio optimization; Transaction costs;
Keywords: معادله همیلتون-یعقوبی-بلمن; C61; G22; primary; 93E20; secondary; 49L20; 91B30; Negative interest rate; Capital injections; Markov-switching; Optimal stochastic control; Hamilton-Jacobi-Bellman equation;
Keywords: معادله همیلتون-یعقوبی-بلمن; Target benefit plan; Intergenerational risk sharing; Hamilton-Jacobi-Bellman equation; Stochastic optimal control; Optimal investment;
Keywords: معادله همیلتون-یعقوبی-بلمن; primary; 35R60; 93E20; Risk-sensitive control; Multiplicative Poisson equation; Controlled diffusions; Nonlinear eigenvalue problems; Hamilton-Jacobi-Bellman equation; Monotonicity of principal eigenvalue;
Keywords: معادله همیلتون-یعقوبی-بلمن; Hamilton-Jacobi-Bellman equation; Feedback optimal control; Nonlinear minimization; Global minimizer flow; Difference equation;
Keywords: معادله همیلتون-یعقوبی-بلمن; Nuclear accident; Accident modelling; Optimal control; Principle of optimality; Hamilton-Jacobi-Bellman equation; Economic optimality;
Keywords: معادله همیلتون-یعقوبی-بلمن; Hamilton-Jacobi-Bellman equation; Financial option valuation; Finite volume method; Penalty method; Convergence;
Keywords: معادله همیلتون-یعقوبی-بلمن; Fish school; Upstream migration; Optimal control problem; Dynamic programming principle; Hamilton-Jacobi-Bellman equation;
Keywords: معادله همیلتون-یعقوبی-بلمن; 60G44; 60K30; 60J25; Dividends; Capital injections; Tax; Barrier strategy; Hamilton-Jacobi-Bellman equation;
Keywords: معادله همیلتون-یعقوبی-بلمن; Investment; Reinsurance; Regime switching; Variance premium principle; Hamilton-Jacobi-Bellman equation;
Keywords: معادله همیلتون-یعقوبی-بلمن; 93B05; 49L20; 49L25; Optimal control; Hamilton-Jacobi-Bellman equation; Vasicek model; Geometric Brownian motion; Interest rate; Short rate; Dividends;
Keywords: معادله همیلتون-یعقوبی-بلمن; Optimal reinsurance; Optimal investment; Default risk; Hamilton-Jacobi-Bellman equation; Heston model;
Keywords: معادله همیلتون-یعقوبی-بلمن; Knowledge production; Endogenous recombinant growth; Transition dynamics; Skiba point; Hamilton-Jacobi-Bellman equation;
Keywords: معادله همیلتون-یعقوبی-بلمن; Dependent risks; Hamilton-Jacobi-Bellman equation; Compound Poisson process; Brownian motion; Exponential utility; Proportional reinsurance;
Keywords: معادله همیلتون-یعقوبی-بلمن; Continuous time mean-variance; Hamilton-Jacobi-Bellman equation; Portfolio selection; Dynamic programming; Two-fund separation theorem;
Keywords: معادله همیلتون-یعقوبی-بلمن; C61; E32; E44; G11; G22; Economic analysis; Hamilton-Jacobi-Bellman equation; Insurance; Regime switching; Utility maximization;
Keywords: معادله همیلتون-یعقوبی-بلمن; Endogenous liabilities; Mean-variance; Asset-liability management; Efficient frontier; Hamilton-Jacobi-Bellman equation;
Keywords: معادله همیلتون-یعقوبی-بلمن; Stochastic volatility model; Hamilton-Jacobi-Bellman equation; Utility function; Ruin probability;
Keywords: معادله همیلتون-یعقوبی-بلمن; Life insurance; Shot-noise process; Indifference pricing; Partial integro-differential equation; Hamilton-Jacobi-Bellman equation;
Mayer control problem with probabilistic uncertainty on initial positions
Keywords: معادله همیلتون-یعقوبی-بلمن; 49N70; 49L15; Differential games; Optimal transport; Hamilton-Jacobi-Bellman equation;
A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
Keywords: معادله همیلتون-یعقوبی-بلمن; American options; Hamilton-Jacobi-Bellman equation; Tempered fractional derivative; Unconditional stability; Preconditioner;
Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Keywords: معادله همیلتون-یعقوبی-بلمن; 91B28; 91B30; 93E20; Mean-variance problem; Common shock dependence; Investment-reinsurance; Hamilton-Jacobi-Bellman equation; No-bankruptcy constraint;
Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest
Keywords: معادله همیلتون-یعقوبی-بلمن; Cramér-Lundberg model; Dynamic programming principle; Hamilton-Jacobi-Bellman equation; Optimal dividend strategy; Solvency constraints;
Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
Keywords: معادله همیلتون-یعقوبی-بلمن; IM52; IE13; IB91; Excess-of-loss reinsurance; Heston's stochastic volatility model; Stochastic differential delay equation; Hamilton-Jacobi-Bellman equation; Insurer;
On the feedback solutions of differential oligopoly games with hyperbolic demand curve and capacity accumulation
Keywords: معادله همیلتون-یعقوبی-بلمن; Capacity; Differential game; Markov-perfect equilibrium; Hamilton-Jacobi-Bellman equation; Horizontal mergers;
Markowitz's mean-variance defined contribution pension fund management under inflation: A continuous-time model
Keywords: معادله همیلتون-یعقوبی-بلمن; Defined contribution pension fund; Continuous-time mean-variance; Hamilton-Jacobi-Bellman equation; Inflation; Portfolio selection;
Optimal control of a nonlinear induction heating system using a proper orthogonal decomposition based reduced order model
Keywords: معادله همیلتون-یعقوبی-بلمن; Induction heating; Finite element method; Model order reduction; Proper orthogonal decomposition; Optimal control; Hamilton-Jacobi-Bellman equation;
The optimal mean-variance investment strategy under value-at-risk constraints
Keywords: معادله همیلتون-یعقوبی-بلمن; C02; C61; IM01; Value-at-risk; Mean-variance portfolio; Hamilton-Jacobi-Bellman equation; Optimal investment strategy;
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
Keywords: معادله همیلتون-یعقوبی-بلمن; Excess-of-loss reinsurance; Constant elasticity of variance; Optimal investment strategy; Hamilton-Jacobi-Bellman equation; Insurer;
Optimal dividend policies for compound Poisson processes: The case of bounded dividend rates
Keywords: معادله همیلتون-یعقوبی-بلمن; G22; G35; Cramér-Lundberg process; Insurance; Bounded dividend rates; Optimal investment policy; Hamilton-Jacobi-Bellman equation; Viscosity solution; Risk control; Threshold strategy; Band strategy;
Finding the quasipotential for nongradient SDEs
Keywords: معادله همیلتون-یعقوبی-بلمن; Nongradient SDEs; Quasipotential; Large Deviation Theory; Hamilton-Jacobi-Bellman equation; Ordered Upwind Method; Update radius;
Large time asymptotic problems for optimal stochastic control with superlinear cost
Keywords: معادله همیلتون-یعقوبی-بلمن; primary; 93E20; secondary; 60J60; 49L20; Stochastic control; Large time behavior; Hamilton-Jacobi-Bellman equation; Ergodic control;
Scalar conservation laws with fractional stochastic forcing: Existence, uniqueness and invariant measure
Keywords: معادله همیلتون-یعقوبی-بلمن; Scalar conservation laws; Random perturbations; Variational principle; Deterministic control theory; Hamilton-Jacobi-Bellman equation; Fractional Brownian motion;
Optimal consumption and investment under time-varying relative risk aversion
Keywords: معادله همیلتون-یعقوبی-بلمن; Merton's problem; Hamilton-Jacobi-Bellman equation; Marginal indirect utility; Life-cycle investment; G11;
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
Keywords: معادله همیلتون-یعقوبی-بلمن; 93E20; 91B30; Stochastic control; Hamilton-Jacobi-Bellman equation; Ornstein-Uhlenbeck process; Compound Poisson process; Brownian motion; Exponential utility; Filtering; Partial observations; Proportional reinsurance; Investment;
On “optimal pension management in a stochastic framework” with exponential utility
Keywords: معادله همیلتون-یعقوبی-بلمن; IB81; G11; G23; IM12; Defined-contribution pension plan; Wage risk; Inflation; Optimal asset allocation; Exponential utility; Hamilton-Jacobi-Bellman equation;
Constant elasticity of variance model for proportional reinsurance and investment strategies
Keywords: معادله همیلتون-یعقوبی-بلمن; G11; C61; Constant elasticity of variance; Reinsurance; Hamilton-Jacobi-Bellman equation; Optimal strategies;
Optimal non-proportional reinsurance control
Keywords: معادله همیلتون-یعقوبی-بلمن; Ruin probabilities; XL-reinsurance; Controlled diffusions; Cramer-Lundberg model; Hamilton-Jacobi-Bellman equation; Optimal investment control;
Minimum time control problems for non-autonomous differential equations
Keywords: معادله همیلتون-یعقوبی-بلمن; Non-autonomous differential equations; Minimum time problem; Hamilton-Jacobi-Bellman equation; Reachability set; Target problem;
Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
Keywords: معادله همیلتون-یعقوبی-بلمن; 93E20; 91B30; Proportional reinsurance; Hamilton-Jacobi-Bellman equation; Optimal strategy;
Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth
Keywords: معادله همیلتون-یعقوبی-بلمن; Conditional value-at-risk; Exponential utility; Hamilton-Jacobi-Bellman equation; Proportional reinsurance; Transaction costs;
Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
Keywords: معادله همیلتون-یعقوبی-بلمن; G11; G22; Cramér-Lundberg process; Ruin probability; Insurance; Portfolio optimization; Borrowing constraints; Hamilton-Jacobi-Bellman equation;
Stochastic optimal control of DC pension funds
Keywords: معادله همیلتون-یعقوبی-بلمن; IE13; G23; Defined-contribution pension plans; Optimal investment strategy; Stochastic optimal control; Legendre transform; Hamilton-Jacobi-Bellman equation;
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
Keywords: معادله همیلتون-یعقوبی-بلمن; 93E20; 91B30; Exponential utility; Hamilton-Jacobi-Bellman equation; Optimal strategy; Probability of ruin; Proportional reinsurance;
Optimal dividend strategies in a Cramér-Lundberg model with capital injections
Keywords: معادله همیلتون-یعقوبی-بلمن; C61; IM50; IM13; Stochastic control; Hamilton-Jacobi-Bellman equation; Dividend; Capital injection; Barrier strategy;
Mutual fund theorems when minimizing the probability of lifetime ruin
Keywords: معادله همیلتون-یعقوبی-بلمن; G10; G11; C60; C61; Probability of ruin; Mutual fund; Separation theorem; Optimal investment; Hamilton-Jacobi-Bellman equation;
On reinsurance and investment for large insurance portfolios
Keywords: معادله همیلتون-یعقوبی-بلمن; IM52; IE53; IB91; Ruin probability; Stochastic control; Black-Scholes model; Hamilton-Jacobi-Bellman equation; Proportional reinsurance;
An algorithm for construction of optimal timing solutions in problems with a stochastic payoff function
Keywords: معادله همیلتون-یعقوبی-بلمن; Optimal timing; Feedback strategy; Hamilton-Jacobi-Bellman equation; Value function;
Mean-variance optimization problems for an accumulation phase in a defined benefit plan
Keywords: معادله همیلتون-یعقوبی-بلمن; G11; G23; C61; IM10; IE43; IB13; Lévy diffusion financial market; Stochastic mortality intensity process; Hamilton-Jacobi-Bellman equation; Feynman-Kac representation;