Keywords: معادله HJB; Mean-variance portfolio selection; Nonlinear wealth equation; HJB equation; Viscosity solution;
مقالات ISI معادله HJB (ترجمه نشده)
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Keywords: معادله HJB; Optimal investment; Reinsurance; Markov modulated risk model; HJB equation; Ruin probability;
Keywords: معادله HJB; Stochastic control; HJB equation; Dynamic pricing; Periodic ordering; Deteriorating items;
Keywords: معادله HJB; Q30; Q40; C61; C63; Non-renewable natural resources; Oil sands; Optimal control; HJB equation; Carbon tax; Regime switching;
Keywords: معادله HJB; Optimal control; Neural network; Time-delay; Finite-horizon; HJB equation;
Keywords: معادله HJB; Optimal control; HJB equation; Carbon trading; Carbon reduction
Keywords: معادله HJB; primary, 93E20; secondary, 60J25, 91B30Variance premium principle; Reinsurance strategy; Multiple reinsurers; Fixed costs; Taxes; HJB equation
Keywords: معادله HJB; Finance; Investment analysis; Constrained pre-commitment mean-variance; HJB equation;
Keywords: معادله HJB; Dynamic programming principle; HJB equation; Riemannian manifold; Viscosity solution; Pontryagin's maximum principle;
Keywords: معادله HJB; Drawdown risk; Portfolio optimization; Lifetime investment; Minimum variance strategy; HJB equation;
Keywords: معادله HJB; Absolute ruin probability; Optimal proportional reinsurance; Optimal investment; Negative correlation; HJB equation; G11; G22; 91B30; 91B70; 91G10; IM13; IB91; IM52; IE53;
Keywords: معادله HJB; C61; C73; D86; O40Optimal control; Optimal stopping; Smooth pasting; Super contact; Markov control; HJB equation
Keywords: معادله HJB; 91b30; 93E20; 90C39Dividend; Equity issuance; Excess-of-loss reinsurance; Optimal strategy; HJB equation
Keywords: معادله HJB; Two-dimensional compound Poisson process; Common shock model; Two-dimensional Brownian motion; Martingale central limit theorem; Two-dimensional diffusion approximation; HJB equation; Ruin probability; Excess-of-loss reinsurance;
Keywords: معادله HJB; Optimal dividend; Internal competition factors; Nonlinear risk processes; Transaction costs; Regular-impulse control; HJB equation; Closed-form solution;
Solution to the HJB equation for LQR-type problems on compact connected Lie groups
Keywords: معادله HJB; Compact connected Lie groups; HJB equation; LQR-type problems; Optimal control; Value function;
A semismooth Newton method for a kind of HJB equation
Keywords: معادله HJB; HJB equation; Semismooth Newton method; Convergence;
On maximizing expected discounted taxation in a risk process with interest
Keywords: معادله HJB; primary; 60J60; secondary; 60K15; Cramér-Lundberg risk model; Interest; HJB equation;
Continuous-time Markowitz's model with constraints on wealth and portfolio
Keywords: معادله HJB; Markowitz's mean-variance model; Bankruptcy prohibition; Convex cone constraints; Efficient frontier; Stochastic LQ control; HJB equation;
Optimal reinsurance under dynamic VaR constraint
Keywords: معادله HJB; HJB equation; Dynamic Value-at-Risk (VaR); Conditional Value-at-Risk (CVaR); Worst-case CVaR (wcCVaR); Survival probability;
Clustering based multiple model control of hybrid dynamical systems using HJB solution
Keywords: معادله HJB; HJB equation; Optimal control; Hybrid dynamical systems; Event wise linearized models; Lyapunov stability;
Optimal dividends and ALM under unhedgeable risk
Keywords: معادله HJB; G22; G31; G35; 93E20; 62P05; Optimal dividends; ALM; Unhedgeable risk; Stochastic control theory; HJB equation;
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Keywords: معادله HJB; Lévy process; Regime-switching; HJB equation; Stochastic differential game; Esscher transform; General equilibrium; Equivalent martingale measure;
Stochastic portfolio optimization with default risk
Keywords: معادله HJB; Portfolio optimization; Default risk; Stochastic factor; HJB equation; Sub–super solution
Optimal investment strategies for the HARA utility under the constant elasticity of variance model
Keywords: معادله HJB; G11; Stochastic optimal control; Constant elasticity of variance model; HARA utility function; HJB equation; Legendre transform;
Optimal dynamic pricing of inventories with stochastic demand and discounted criterion
Keywords: معادله HJB; Revenue management; HJB equation; Optimal pricing; Discounted criterion
Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle
Keywords: معادله HJB; Capital injection; Dividend optimization; HJB equation; Proportional cost; Proportional reinsurance; Stochastic control; Variance premium principle;
Optimal loss-carry-forward taxation for the Lévy risk model
Keywords: معادله HJB; Spectrally negative Lévy process; Stochastic control; HJB equation;
Optimal dividend and equity issuance problem with proportional and fixed transaction costs
Keywords: معادله HJB; C61; G22; 91B30; 93E20; Transaction costs; Mixed regular-singular-impulse control; HJB equation; Optimal dividend; Equity issuance;
Asset allocation under stochastic interest rate with regime switching
Keywords: معادله HJB; Stochastic interest rate; Regime-switching; Stochastic flows; Dynamic programming principle; HJB equation;
Optimal risk control and dividend distribution policies for a diffusion model with terminal value
Keywords: معادله HJB; Cheap reinsurance; Dividend; Excess-of-loss reinsurance; Expected value principle; HJB equation; Terminal value
Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
Keywords: معادله HJB; Portfolio selection; CEV model; HJB equation; Utility maximization; Stochastic optimal control;
An iterative algorithm for solving a kind of discrete HJB equation with MM-functions
Keywords: معادله HJB; HJB equation; Nonlinear Gauss–Seidel method; Domain decomposition method; MM-function
Optimal non-proportional reinsurance control and stochastic differential games
Keywords: معادله HJB; Non-proportional reinsurance; HJB equation; Ruin probability; Stochastic control; Stochastic differential game;
On absolute ruin minimization under a diffusion approximation model
Keywords: معادله HJB; IM52; IE53; IB91; Absolute ruin probability; HJB equation; Dynamic investment control; Diffusion approximation; Proportional reinsurance;
Dynamic mean–variance portfolio selection with borrowing constraint
Keywords: معادله HJB; Continuous-time finance; Optimal portfolio; Mean–variance portfolio selection; Borrowing rate; Efficient frontier; Stochastic PLQ control; HJB equation
Optimal investment-reinsurance policy for an insurance company with VaR constraint
Keywords: معادله HJB; Investment-reinsurance; Ruin probability; Value-at-risk; HJB equation; Lagrangian method;
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
Keywords: معادله HJB; Optimal control; Mean variance tradeoff; HJB equation; Viscosity solution; C63; G11;
Hamilton–Jacobi–Bellman formalism for optimal climate control of greenhouse crop
Keywords: معادله HJB; HJB equation; Krotov–Bellman function; Greenhouse optimal control
Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
Keywords: معادله HJB; primary; 91B28; 91B16; secondary; 60H05; 60H10; Optimal dividend control; Optimal financing control; Proportional reinsurance; HJB equation; Fixed transaction cost; Classical-impulse control;
Optimal portfolios for DC pension plans under a CEV model
Keywords: معادله HJB; G11; C61; Defined contribution pension plan; Stochastic optimal control; CEV model; HJB equation; Optimal portfolios;
Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
Keywords: معادله HJB; primary; 91B30; 91B28; 65K10; secondary; 60H05; 60H10; Optimal dividend control; Proportional reinsurance; HJB equation; Solvency constraints; Singular-regular control problem;
An iterative algorithm for a quasivariational inequality system related to HJB equation
Keywords: معادله HJB; 65N22; 65N55Quasivariational inequality system; HJB equation; Iterative algorithm; Domain decomposition; Convergence
Optimal financing and dividend control of the insurance company with proportional reinsurance policy
Keywords: معادله HJB; primary; 91B28; 91B16; secondary; 60H05; 60H10; Optimal dividends control; Optimal financing control; Proportional reinsurance; HJB equation; Transaction cost; Regular-singular control;
The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
Keywords: معادله HJB; IM11; IM13; IM52; IE43; C61; C69; Proportional reinsurance; Diffusion models; Stochastic control theory; HJB equation;
Optimal life insurance purchase and consumption/investment under uncertain lifetime
Keywords: معادله HJB; C51; C61; D91; G11; G22; Life insurance; Investment/consumption model; HJB equation; CRRA utilities;
Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans
Keywords: معادله HJB; E21; G11; G23; Stochastic control; Optimal asset allocation; Stochastic lifestyling; Utility numeraire; Habit formation; Non-hedgeable salary risk; HJB equation;
Multi-asset investment-consumption model with transaction costs
Keywords: معادله HJB; Finance; Investment-consumption and portfolio models; HJB equation; Viscosity solution; Transaction costs; Discount factor;