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山东大学 [7]
数学与系统科学研究院 [2]
兰州理工大学 [1]
上海财经大学 [1]
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期刊论文 [10]
会议论文 [1]
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浏览/检索结果:
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Singular HJB equations with applications to KPZ on the real line
期刊论文
PROBABILITY THEORY AND RELATED FIELDS, 2022, 页码: 81
作者:
Zhang, Xicheng
;
Zhu, Rongchan
;
Zhu, Xiangchan
收藏
  |  
浏览/下载:0/0
  |  
提交时间:2023/02/07
Singular SPDEs
HJB equations
KPZ equations
Paracontrolled distributions
Global well-posedness
Zvonkin's transformation
Derivatives trading for insurers
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2019, 卷号: 84, 页码: 40-53
作者:
Xue, Xiaole
;
Wei, Pengyu
;
Weng, Chengguo
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/12/11
Derivatives trading
HJB equations
Investment-reinsurance
Stochastic
control
Stochastic volatility
Optimal reinsurance: minimize the expected time to reach a goal
期刊论文
SCANDINAVIAN ACTUARIAL JOURNAL, 2016, 期号: 8, 页码: 741-762
作者:
Luo, Shangzhen
;
Wang, Mingming
;
Zeng, Xudong
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  |  
浏览/下载:8/0
  |  
提交时间:2019/08/22
proportional reinsurance
diffusion approximation model
HJB equations
cheap/non-cheap reinsurance
stochastic control
Time-consistent investment strategy under partial information
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2015, 卷号: 65, 页码: 187-197
作者:
Li, Yongwu
;
Qiao, Han
;
Wang, Shouyang
;
Zhang, Ling
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2018/07/30
Time inconsistency
Mean-variance
Partial information
Equilibrium strategy
Extended HJB system of equations
Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems
期刊论文
Optimal Control Applications and Methods, 2015, 卷号: 36, 期号: 1, 页码: 109-120
作者:
Ji, Shaolin
;
Wang, Lin
;
Yang, Shuzhen
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/17
stochastic functional differential equations
dynamic programming principle
viscosity solution
path-dependent HJB equations
TIME-INCONSISTENT OPTIMAL CONTROL PROBLEM WITH RANDOM COEFFICIENTS AND STOCHASTIC EQUILIBRIUM HJB EQUATION
期刊论文
Mathematical control and related fields, 2015, 卷号: 5, 期号: 3, 页码: 651-678
作者:
Wang, Haiyang
;
Wu, Zhen
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/17
Time inconsistency
multi-person differential games
equilibrium strategy
equilibrium HJB equation
stochastic partial differential equations
linear-quadratic problem
The explicit solution of the optimal dividend control when premium rate is less than maximum dividend rate
期刊论文
Journal of Information and Computational Science, 2014, 卷号: 11, 期号: 10, 页码: 3563-3570
作者:
Li, Suoping
;
Xu, Fanheng
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  |  
浏览/下载:4/0
  |  
提交时间:2020/11/14
Optimal control systems
Poisson distribution
Control strategies
Explicit solutions
Exponential distributions
HJB equations
Insurance companies
Optimal control problem
Poisson process
Value functions
A Classical Stochastic Verification Theorem for Stochastic Recursive Optimization Problems
期刊论文
ADVANCES IN MECHATRONICS AND CONTROL ENGINEERING, PTS 1-3, 2013, 卷号: 278-280, 页码: 1742-1745
作者:
Ji, Shaolin
;
Wang, Lin
;
Yang, Shuzhen
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/23
Stochastic recursive optimal control
forward-backward stochastic
differential equations
stochastic verification theorem
HJB equations
Regularity properties for general HJB equations: A backward stochastic differential equation method
期刊论文
SIAM Journal on Control and Optimization, 2012, 卷号: 50, 期号: 3, 页码: 1466-1501
作者:
Buckdahn, R.
;
Huang, J.
;
Li, J.
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/23
Backward stochastic differential equation
HJB equation
Lipschitz continuity
Reflected backward stochastic differential equations
Semiconcavity
Value function
The corporate optimal portfolio and consumption choice problem in the real project with borrowing rate higher than deposit rate
期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2006, 卷号: 175, 期号: 2, 页码: 1596-1608
作者:
Wu, Z
;
Zhang, L
收藏
  |  
浏览/下载:2/0
  |  
提交时间:2020/01/03
consumption/investment optimization
dynamic programming principle
HJB
equations
stochastic control
hyperbolic absolute risk aversion
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