Goffi, Alessandro Interior Hölder and Calderón-Zygmund estimates for fully nonlinear equations with natural gradient growth. (English) Zbl 07965132 J. Funct. Anal. 288, No. 5, Article ID 110800, 19 p. (2025). MSC: 35B45 35B65 35D40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Luo, Sheng; Li, Wenqiang; Li, Xun; Wei, Qingmeng Stochastic representation for solutions of a system of coupled HJB-Isaacs equations with integral-differential operators. (English) Zbl 07963480 Stochastic Processes Appl. 179, Article ID 104502, 25 p. (2025). MSC: 60H30 60H10 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Boto, João; Cipriano, Fernanda; Rocha, Paulo Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption. (English) Zbl 07954229 J. Math. Anal. Appl. 543, No. 2, Part 1, Article ID 128891, 43 p. (2025). MSC: 91Gxx 60Hxx 91Bxx × Cite Format Result Cite Review PDF Full Text: DOI
Pan, Yong; Mazalov, Vladimir Assessment of discharge pollution and recovery periods within dynamic resource management systems. (English) Zbl 07949245 J. Dyn. Games 12, No. 1, 91-104 (2025). MSC: 91A20 91A25 91B76 × Cite Format Result Cite Review PDF Full Text: DOI
Lin, Minglian; Sengupta, Indranil Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets. (English) Zbl 07955240 Int. J. Theor. Appl. Finance 27, No. 5-6, Article ID 2450023, 32 p. (2024). MSC: 91Gxx × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pradhan, Somnath; Yüksel, Serdar Near optimality of Lipschitz and smooth policies in controlled diffusions. (English) Zbl 07954054 Syst. Control Lett. 193, Article ID 105943, 6 p. (2024). MSC: 93-XX 60J60 93E20 35Q93 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bahi, Mostafa; Beggas, Mohammed; Nesba, Nourelhouda; Imtiaz, Ahmad A numerical solution of parabolic quasi-variational inequality nonlinear using Newton-multigrid method. (English) Zbl 07947229 Iran. J. Numer. Anal. Optim. 14, No. 4, 991-1015 (2024). MSC: 65M55 65M60 65F10 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Tao; Chen, Zhiping; Yang, Peng Optimal reinsurance contract and investment strategy for multiple competitive-cooperative insurers and a reinsurer. (English) Zbl 07943250 IMA J. Manag. Math. 35, No. 4, 651-692 (2024). MSC: 90-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Yanyan; Kraaij, Richard C.; Xi, Fubao Large deviations for slow-fast processes on connected complete Riemannian manifolds. (English) Zbl 07941423 Stochastic Processes Appl. 178, Article ID 104478, 24 p. (2024). MSC: 60F10 60J25 60J35 49L25 35F21 35D40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Osborne, Yohance A. P.; Smears, Iain Erratum to: “Analysis and numerical approximation of stationary second-order mean field game partial differential inclusions”. (English) Zbl 07939048 SIAM J. Numer. Anal. 62, No. 5, 2415-2417 (2024). MSC: 91-08 91A16 65N30 65N15 65N12 82C31 93E20 93C10 35D30 35A01 35A02 35Q89 35Q84 35Q93 × Cite Format Result Cite Review PDF Full Text: DOI
Kunisch, Karl; Vásquez-Varas, Donato Consistent smooth approximation of feedback laws for infinite horizon control problems with non-smooth value functions. (English) Zbl 07938855 J. Differ. Equations 411, 438-477 (2024). MSC: 49N35 68Q32 93B52 35D40 35F21 49L12 49J15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhou, Jianjun Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay. (English) Zbl 07927500 Ann. Appl. Probab. 34, No. 5, 4709-4757 (2024). MSC: 35D40 35R60 49L20 49L25 60H30 93C23 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yoshioka, Hidekazu Regular and exploratory resource extraction models considering sustainability. (English) Zbl 07925739 Results Appl. Math. 23, Article ID 100484, 32 p. (2024). MSC: 91B76 49L12 65M06 × Cite Format Result Cite Review PDF Full Text: DOI
Oster, Mathias; Sallandt, Leon; Schneider, Reinhold Approximating the stationary Bellman equation by hierarchical tensor products. (English) Zbl 07924430 J. Comput. Math. 42, No. 3, 638-661 (2024). MSC: 49L20 15A69 49M41 49N35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Liangquan Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach. (English) Zbl 07923494 J. Differ. Equations 409, 334-394 (2024). MSC: 93E20 49L25 49L20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Veretennikov, A. Yu. On averaged control and iteration improvement for a class of multidimensional ergodic diffusions. (English) Zbl 1544.93853 Menozzi, Stéphane (ed.) et al., Kolmogorov operators and their applications. Singapore: Springer. Springer INdAM Ser. 56, 315-349 (2024). MSC: 93E20 93C20 60J60 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Chowdhury, Indranil; Jakobsen, Espen R.; Krupski, Miłosz On fully nonlinear parabolic mean field games with nonlocal and local diffusions. (English) Zbl 07920201 SIAM J. Math. Anal. 56, No. 5, 6302-6336 (2024). MSC: 35Q89 35Q84 35A01 35A02 35D30 35D40 35K55 35K65 35R09 47D07 49N80 60G51 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Breiten, T.; Schröder, J. Local well-posedness of the Mortensen observer. (English) Zbl 07920191 ESAIM, Control Optim. Calc. Var. 30, Paper No. 55, 33 p. (2024). MSC: 49K40 49J15 49L12 49N60 93B53 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Xingjian; Verma, Deepanshu; Ruthotto, Lars A neural network approach for stochastic optimal control. (English) Zbl 1547.35182 SIAM J. Sci. Comput. 46, No. 5, C535-C556 (2024). MSC: 35F21 35R60 49M99 68T07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hermosilla, Cristopher; Palladino, Michele; Vilches, Emilio Hamilton-Jacobi-Bellman approach for optimal control problems of sweeping processes. (English) Zbl 1547.49025 Appl. Math. Optim. 90, No. 2, Paper No. 33, 40 p. (2024). Reviewer: Savin Treanţă (Bucureşti) MSC: 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Hanxiao; Yong, Jiongmin; Zhou, Chao Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions. (English. French summary) Zbl 1546.93820 J. Math. Pures Appl. (9) 190, Article ID 103603, 60 p. (2024). MSC: 93E20 60H10 60H20 45D05 35K10 49L12 91A65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yoshioka, Hidekazu Optimal harvesting policy for biological resources with uncertain heterogeneity for application in fisheries management. (English) Zbl 1542.91302 Nat. Resour. Model. 37, No. 2, Article ID e12394, 39 p. (2024). MSC: 91B76 49L25 65M06 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ouaknin, Gaddiel Y. Consistent curves in the \(\mathcal{P}\)-world: optimal bonds portfolio. (English) Zbl 1542.91365 Quant. Finance 24, No. 7, 875-888 (2024). MSC: 91G10 93E20 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Stannat, Wilhelm; Wessels, Lukas Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations. (English) Zbl 1542.93419 Ann. Appl. Probab. 34, No. 3, 3251-3287 (2024). MSC: 93E20 60H15 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Criens, David A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs. (English) Zbl 1546.35025 NoDEA, Nonlinear Differ. Equ. Appl. 31, No. 5, Paper No. 97, 21 p. (2024). MSC: 35D40 35F21 35Q91 35Q93 60G65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Motte, Edouard; Hainaut, Donatien Partial hedging in rough volatility models. (English) Zbl 1542.91401 SIAM J. Financ. Math. 15, No. 3, 601-652 (2024). MSC: 91G20 93E20 35Q91 49N15 × Cite Format Result Cite Review PDF Full Text: DOI
Bardi, Martino; Kouhkouh, Hicham Deep relaxation of controlled stochastic gradient descent via singular perturbations. (English) Zbl 1542.93276 SIAM J. Control Optim. 62, No. 4, 2229-2253 (2024). MSC: 93C70 93E20 68T07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Conforti, Giovanni Weak semiconvexity estimates for Schrödinger potentials and logarithmic Sobolev inequality for Schrödinger bridges. (English) Zbl 07891478 Probab. Theory Relat. Fields 189, No. 3-4, 1045-1071 (2024). Reviewer: Elvira Zappale (Roma) MSC: 49Q22 49J45 35G50 60J60 39B62 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
El Asri, Brahim; Ourkiya, Nacer Mixed zero-sum stochastic differential game and doubly reflected BSDEs with a specific generator. (English) Zbl 1546.91012 Dyn. Games Appl. 14, No. 3, 549-577 (2024). MSC: 91A10 91A15 60H30 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal dividend strategies for a catastrophe insurer. (English) Zbl 1546.91215 Front. Math. Finance 3, No. 2, 304-344 (2024). MSC: 91G05 49L25 49L12 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Bohan; Guo, Junyi; Tian, Linlin Optimal investment and reinsurance policies for the Cramér-Lundberg risk model under monotone mean-variance preference. (English) Zbl 1546.91226 Int. J. Control 97, No. 6, 1296-1310 (2024). MSC: 91G05 91A10 49L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Alibaud, Nathaël; Endal, Jørgen; Jakobsen, Espen R. Optimal stability results and nonlinear duality for \(L^\infty\) entropy and \(L^1\) viscosity solutions. (English. French summary) Zbl 1543.35075 J. Math. Pures Appl. (9) 188, 26-72 (2024). MSC: 35D40 35L65 35K65 35B30 35B35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ma, Chenglin; Zhao, Huaizhong Stochastic differential games with controlled regime-switching. (English) Zbl 07872430 Comput. Appl. Math. 43, No. 4, Paper No. 264, 27 p. (2024). MSC: 91A15 91A05 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Xiao, Xu; Qiu, Wenlin; Nikan, Omid Numerical approximation based on deep convolutional neural network for high-dimensional fully nonlinear merged PDEs and 2BSDEs. (English) Zbl 1547.65129 Math. Methods Appl. Sci. 47, No. 7, 6184-6204 (2024). MSC: 65M22 65M06 68T07 92B20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kramer, Boris; Gugercin, Serkan; Borggaard, Jeff; Balicki, Linus Scalable computation of energy functions for nonlinear balanced truncation. (English) Zbl 07867412 Comput. Methods Appl. Mech. Eng. 427, Article ID 117011, 18 p. (2024). MSC: 70H03 65M70 70H99 74H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Guo, Li; Wu, Zhen Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching. (English) Zbl 1544.93843 Math. Control Relat. Fields 14, No. 2, 627-647 (2024). MSC: 93E20 49L20 49L12 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Nikooeinejad, Z.; Heydari, M. A spectral iterative algorithm for solving constrained optimal control problems with nonquadratic functional. (English) Zbl 07859311 Appl. Numer. Math. 201, 387-403 (2024). MSC: 65Mxx 49Mxx 65Nxx × Cite Format Result Cite Review PDF Full Text: DOI
Jean, Frédéric; Jerhaoui, Othmane; Zidani, Hasnaa Deterministic optimal control on Riemannian manifolds under probability knowledge of the initial condition. (English) Zbl 1539.49022 SIAM J. Math. Anal. 56, No. 3, 3326-3356 (2024). MSC: 49K27 49L25 35F21 35D40 60A10 × Cite Format Result Cite Review PDF Full Text: DOI
Xie, Bowen; Gao, Yijin On the long-run average cost minimization problem of the stochastic production-inventory models. (English) Zbl 07846702 J. Ind. Manag. Optim. 20, No. 5, 1823-1844 (2024). MSC: 90B30 90B05 93E20 90B22 60K25 × Cite Format Result Cite Review PDF Full Text: DOI
Kundu, Sudeep; Kunisch, Karl Policy iteration for Hamilton-Jacobi-Bellman equations with control constraints. (English) Zbl 1545.49035 Comput. Optim. Appl. 87, No. 3, 785-809 (2024). MSC: 49N35 49J20 49L20 93B52 35F21 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Watanabe, Itsuki Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary. (English) Zbl 1539.35033 SIAM J. Control Optim. 62, No. 2, 1152-1164 (2024). Reviewer: Rodica Luca (Iaşi) MSC: 35F21 35D40 65N12 60J10 60J76 × Cite Format Result Cite Review PDF Full Text: DOI
Kunisch, Karl; Priyasad, Buddhika Correction to: “Continuous differentiability of the value function of semilinear parabolic infinite time horizon optimal control problems on \(L^2 (\Omega)\) under control constraints”. (English) Zbl 1537.49025 Appl. Math. Optim. 89, No. 2, Paper No. 53, 5 p. (2024). Reviewer: Alain Brillard (Riedisheim) MSC: 49K20 35K58 49N35 49J50 35F21 × Cite Format Result Cite Review PDF Full Text: DOI
Atar, Rami; Castiel, Eyal; Reiman, Martin I. Parallel server systems under an extended heavy traffic condition: a lower bound. (English) Zbl 1534.60128 Ann. Appl. Probab. 34, No. 1B, 1029-1071 (2024). MSC: 60K25 90B22 90B15 60J60 68M20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hosoya, Yuhki On the fragility of the basis on the Hamilton-Jacobi-Bellman equation in economic dynamics. (English) Zbl 1533.91321 J. Math. Econ. 111, Article ID 102940, 10 p. (2024). MSC: 91B62 49L12 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kharroubi, Idris; Ocello, Antonio A stochastic target problem for branching diffusion processes. (English) Zbl 1534.35458 Stochastic Processes Appl. 170, Article ID 104278, 29 p. (2024). MSC: 35R60 35D40 35K10 49L20 49L25 60J80 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kelbert, Mark; Moreno-Franco, Harold A. A mixed singular/switching control problem with terminal cost for modulated diffusion processes. (English) Zbl 1533.93329 Nonlinear Anal., Hybrid Syst. 51, Article ID 101439, 21 p. (2024). MSC: 93C30 93E03 93C20 35F21 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Connor, Stephen B.; Merli, Roberta Optimal coupling of jumpy Brownian motion on the circle. (English) Zbl 1534.93484 J. Appl. Probab. 61, No. 1, 18-32 (2024). MSC: 93E20 60J65 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Weston, Jerome; Tolić, Domagoj; Palunko, Ivana Application of Hamilton-Jacobi-Bellman equation/Pontryagin’s principle for constrained optimal control. (English) Zbl 1532.49004 J. Optim. Theory Appl. 200, No. 2, 437-462 (2024). MSC: 49J15 49L25 49M05 × Cite Format Result Cite Review PDF Full Text: DOI
Kouhkouh, Hicham A viscous ergodic problem with unbounded and measurable ingredients. I: HJB equation. (English) Zbl 1532.35124 SIAM J. Control Optim. 62, No. 1, 415-440 (2024). MSC: 35F21 49L12 49K27 35J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Osborne, Yohance A. P.; Smears, Iain Analysis and numerical approximation of stationary second-order mean field game partial differential inclusions. (English) Zbl 1531.91010 SIAM J. Numer. Anal. 62, No. 1, 138-166 (2024); erratum ibid. 62, No. 5, 2415-2417 (2024). MSC: 91-08 91A16 65N30 65N15 65N12 82C31 93E20 93C10 35D30 35A01 35A02 35Q89 35Q84 35Q93 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yasuda, Kazuhiro An expected exponential utility maximization problem for bitcoin miners. (English) Zbl 1531.91281 Japan J. Ind. Appl. Math. 41, No. 1, 521-543 (2024). MSC: 91G99 91B16 93E20 60H30 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Bezemek, Z. W.; Heldman, M. Importance sampling for the empirical measure of weakly interacting diffusions. (English) Zbl 1530.60027 Appl. Math. Optim. 89, No. 1, Paper No. 7, 59 p. (2024). Reviewer: Fraser Daly (Edinburgh) MSC: 60F10 60F05 65C05 35F21 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Egorov, Sergei; Pergamenchtchikov, Serguei Optimal investment and consumption for financial markets with jumps under transaction costs. (English) Zbl 1530.91525 Finance Stoch. 28, No. 1, 123-159 (2024). MSC: 91G10 60G51 93E20 49L20 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Albosaily, Sahar; Pergamenchtchikov, Serguei M. Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models. (English) Zbl 1530.91518 J. Math. Anal. Appl. 530, No. 2, Article ID 127668, 34 p. (2024). MSC: 91G10 93E20 60J60 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Balas, Tatyana; Tur, Anna Public good differential game with composite distribution of random time horizon. (English) Zbl 1544.91061 Petrosyan, Leon A. (ed.) et al., Contributions to game theory and management. Volume XVI. Collected papers presented at the 16th international conference on game theory and management, GTM 2023, Saint Petersburg, Russia, June 28–30, 2023. St. Petersburg: St. Petersburg State University. 7-19 (2023). MSC: 91A23 49L20 49N70 91B18 × Cite Format Result Cite Review PDF Full Text: DOI
Neverov, Andrei; Krivorotko, Olga Numerical modelling of mean-field game epidemic. (English) Zbl 1546.92147 Olenev, Nicholas (ed.) et al., Optimization and applications. 14th international conference, OPTIMA 2023, Petrovac, Montenegro, September 18–22, 2023. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 14395, 207-217 (2023). MSC: 92D30 91A16 91A80 35Q92 65M70 × Cite Format Result Cite Review PDF Full Text: DOI
Boranbayev, Askar; Obrosova, Nataliia; Shananin, Alexander Mathematical model of economic dynamics in an epidemic. (English) Zbl 1542.91141 Sib. Èlektron. Mat. Izv. 20, No. 2, 797-813 (2023). MSC: 91B62 91B55 92D30 49L12 × Cite Format Result Cite Review PDF Full Text: DOI MNR
Wang, Yeshunying; Meng, Hui; Liao, Pu Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer. (Chinese. English summary) Zbl 07869311 Chin. J. Appl. Probab. Stat. 39, No. 6, 859-878 (2023). MSC: 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Jingzhen; Wang, Yike; Zhang, Ning Optimal reinsurance and dividend under model uncertainty. (English) Zbl 1533.91423 J. Syst. Sci. Complex. 36, No. 3, 1116-1143 (2023). MSC: 91G05 49L20 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Bensoussan, Alain; Huang, Ziyu; Yam, Sheung Chi Phillip Control theory on Wasserstein space: a new approach to optimality conditions. (English) Zbl 1532.35460 Ann. Math. Sci. Appl. 8, No. 3, 565-628 (2023). MSC: 35Q93 35Q84 49L25 49N80 93E20 93B52 60H30 60H10 60H15 35F21 × Cite Format Result Cite Review PDF Full Text: DOI
Hao, Wenjing; Qiu, Zhijian; Li, Lu The investment and reinsurance game of insurers and reinsurers with default risk under CEV model. (English) Zbl 1535.91028 RAIRO, Oper. Res. 57, No. 5, 2853-2872 (2023). MSC: 91G05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Zhou, Jianjun Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications. (English) Zbl 07791542 Ann. Appl. Probab. 33, No. 6B, 5564-5612 (2023). MSC: 93E20 60H30 49L12 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Jha, Mayank Shekhar; Theilliol, Didier; Weber, Philippe Model-free optimal tracking over finite horizon using adaptive dynamic programming. (English) Zbl 1531.93210 Optim. Control Appl. Methods 44, No. 6, 3114-3138 (2023). MSC: 93C40 49L20 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Gomoyunov, M. I. On the relationship between the Pontryagin maximum principle and the Hamilton-Jacobi-Bellman equation in optimal control problems for fractional-order systems. (English. Russian original) Zbl 1531.49023 Differ. Equ. 59, No. 11, 1520-1526 (2023); translation from Differ. Uravn. 59, No. 11, 1515-1521 (2023). Reviewer: Hector O. Fattorini (Los Angeles) MSC: 49K15 49L12 49L20 35F21 49-02 90C39 × Cite Format Result Cite Review PDF Full Text: DOI
Brinker, Leonie Violetta; Schmidli, Hanspeter Optimisation of drawdowns by generalised reinsurance in the classical risk model. (English) Zbl 1534.91111 Decis. Econ. Finance 46, No. 2, 635-665 (2023). MSC: 91G05 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Torrente, Maria-Laura Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business. (English) Zbl 1530.91517 Decis. Econ. Finance 46, No. 2, 611-633 (2023). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 93E20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Bokanowski, Olivier; Prost, Averil; Warin, Xavier Neural networks for first order HJB equations and application to front propagation with obstacle terms. (English) Zbl 1527.35140 SN Partial Differ. Equ. Appl. 4, No. 5, Paper No. 45, 36 p. (2023). MSC: 35F21 49L20 68T07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Jimenez, Chloé; Marigonda, Antonio; Quincampoix, Marc Dynamical systems and Hamilton-Jacobi-Bellman equations on the Wasserstein space and their \(L^2\) representations. (English) Zbl 1526.35118 SIAM J. Math. Anal. 55, No. 5, 5919-5966 (2023). MSC: 35F21 35D40 49L25 49Q22 × Cite Format Result Cite Review PDF Full Text: DOI
Kunisch, Karl; Vásquez-Varas, Donato Optimal polynomial feedback laws for finite horizon control problems. (English) Zbl 1538.49034 Comput. Math. Appl. 148, 113-125 (2023). MSC: 49L20 49N35 65K05 35F21 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kim, Jeongho; Yang, Insoon Maximum Entropy optimal control of continuous-time dynamical systems. (English) Zbl 1546.49037 IEEE Trans. Autom. Control 68, No. 4, 2018-2033 (2023). MSC: 49K15 49J45 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Hoshiea, M.; Mousa, A. S.; Pinto, A. A. Optimal social welfare policy within financial and life insurance markets. (English) Zbl 1522.91116 Optimization 72, No. 9, 2367-2391 (2023). MSC: 91B15 93E20 91G15 91G05 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Calvia, Alessandro; Cappa, Gianluca; Gozzi, Fausto; Priola, Enrico HJB equations and stochastic control on half-spaces of Hilbert spaces. (English) Zbl 1522.35569 J. Optim. Theory Appl. 198, No. 2, 710-744 (2023). MSC: 35R15 47D07 49L12 49L20 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yoshioka, Hidekazu; Yoshioka, Yumi Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment. (English) Zbl 1521.49028 Optim. Eng. 24, No. 3, 1577-1610 (2023). MSC: 49N90 49L20 90B90 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Yuan, Yu; Han, Xia; Liang, Zhibin; Yuen, Kam Chuen Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework. (English) Zbl 07737888 Eur. J. Oper. Res. 311, No. 2, 581-595 (2023). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI
Strini, Josef Anton; Thonhauser, Stefan Time-inconsistent view on a dividend problem with penalty. (English) Zbl 1521.91320 Scand. Actuar. J. 2023, No. 8, 811-833 (2023). MSC: 91G05 93E20 49L12 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chowdhury, Indranil; Ersland, Olav; Jakobsen, Espen R. On numerical approximations of fractional and nonlocal mean field games. (English) Zbl 1527.35428 Found. Comput. Math. 23, No. 4, 1381-1431 (2023). MSC: 35Q89 35Q84 91A16 47G20 49L12 49L25 45K05 35K61 35F21 65M12 65M22 93B52 93C20 60J65 60G55 26A33 35R11 35R06 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bardi, Martino; Kouhkouh, Hicham Singular perturbations in stochastic optimal control with unbounded data. (English) Zbl 1526.49014 ESAIM, Control Optim. Calc. Var. 29, Paper No. 52, 25 p. (2023). Reviewer: Savin Treanţă (Bucureşti) MSC: 49J55 35D40 35F21 93E20 93C70 49L25 92B20 49J45 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Costa, O. L. V.; Dufour, F. Adaptive discounted control for piecewise deterministic Markov processes. (English) Zbl 1532.90140 J. Math. Anal. Appl. 528, No. 2, Article ID 127517, 23 p. (2023). MSC: 90C40 × Cite Format Result Cite Review PDF Full Text: DOI
Eigel, Martin; Schneider, Reinhold; Sommer, David Dynamical low-rank approximations of solutions to the Hamilton-Jacobi-Bellman equation. (English) Zbl 07729585 Numer. Linear Algebra Appl. 30, No. 3, e2463, 20 p. (2023). MSC: 49L20 49M37 93-08 93B52 15A69 65F55 65C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dolemweogo, Sibiri Narcisse; Béré, Frédéric; Zongo, Abel; Nitiéma, S. Pierre Clovis Stochastic Hamilton-Jacobi-Bellman equation and viscosity solutions in the case of maximizing the expectation of the utility function of the fractional Black-Scholes model approximated by a semimartingale. (English) Zbl 1538.35130 Far East J. Theor. Stat. 67, No. 1, 33-47 (2023). MSC: 35F21 49L12 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Zhou; Zhang, Jing; Zhou, Chao Robust control problems of BSDEs coupled with value functions. (English) Zbl 1520.91378 SIAM J. Financ. Math. 14, No. 3, 721-750 (2023). MSC: 91G10 60H30 49L20 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cosso, Andrea; Gozzi, Fausto; Kharroubi, Idris; Pham, Huyên; Rosestolato, Mauro Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension. (English) Zbl 1520.93608 Ann. Appl. Probab. 33, No. 4, 2863-2918 (2023). MSC: 93E20 35R60 49L20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Abid, Amira; Abid, Fathi A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes. (English) Zbl 1538.91091 J. Ind. Manag. Optim. 19, No. 10, 7735-7752 (2023). MSC: 91G40 93E20 60J70 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Yu, Han; Zhang, Yu; Wang, Xikui Minimization of ruin probability with joint strategies of investment and reinsurance. (English) Zbl 1532.91109 Commun. Stat., Theory Methods 52, No. 15, 5451-5469 (2023). MSC: 91G05 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Dong, Xue; Rong, Ximin; Zhao, Hui Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein-Uhlenbeck process. (English) Zbl 1520.91323 Scand. Actuar. J. 2023, No. 6, 565-597 (2023). MSC: 91G05 60J60 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Alla, Alessandro; Oliveira, Hugo; Santin, Gabriele HJB-RBF based approach for the control of PDEs. (English) Zbl 1517.49016 J. Sci. Comput. 96, No. 1, Paper No. 25, 27 p. (2023). MSC: 49L20 93B52 65D12 65N06 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gomoyunov, Mikhail Sensitivity analysis of value functional of fractional optimal control problem with application to feedback construction of near optimal controls. (English) Zbl 1519.49028 Appl. Math. Optim. 88, No. 2, Paper No. 41, 49 p. (2023). Reviewer: Alain Brillard (Riedisheim) MSC: 49Q12 49N35 34A08 49L12 49J52 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bao, Xiaofan; Tang, Shanjian Ergodic control of McKean-Vlasov SDEs and associated Bellman equation. (English) Zbl 1520.93606 J. Math. Anal. Appl. 527, No. 1, Part 1, Article ID 127404, 28 p. (2023). MSC: 93E20 60H30 49L25 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Azcue, Pablo; Frostig, Esther; Muler, Nora Optimal strategies in a production inventory control model. (English) Zbl 1520.91211 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 43, 43 p. (2023). MSC: 91B38 90B05 90B30 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Yumo Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models. (English) Zbl 1520.91380 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 20, 32 p. (2023). MSC: 91G10 60H30 93E20 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Xuhui; Hu, Lei Optimal investment mean-field and N-player games with memory effect and relative performance competition. (English) Zbl 07706290 Commun. Stat., Theory Methods 52, No. 5, 1472-1489 (2023). MSC: 91A80 37N40 49L20 35F21 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Huang, Wenlin; Liang, Jin; Dong, Yuchao Optimal stochastic control problem for a carbon emission reduction process. (English) Zbl 1519.91184 SIAM J. Appl. Math. 83, No. 3, 1272-1295 (2023). MSC: 91B76 93E20 49L12 × Cite Format Result Cite Review PDF Full Text: DOI
Ghosh, Mrinal K.; Kumar, K. Suresh; Pal, Chandan; Pradhan, Somnath Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach. (English) Zbl 1519.91028 Syst. Control Lett. 172, Article ID 105443, 11 p. (2023). MSC: 91A15 93B60 49L12 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Daudin, Samuel Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space. (English. French summary) Zbl 1522.49024 J. Math. Pures Appl. (9) 175, 37-75 (2023). Reviewer: Christian Clason (Graz) MSC: 49K20 49J20 49J30 93E20 35K99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Bahrmand, Mahdi Rezaei; Khaloozadeh, Hamid; Ardabili, Parastoo Reihani A minimum principle for stochastic optimal control problem with interval cost function. (English) Zbl 1518.93152 Taiwanese J. Math. 27, No. 2, 401-416 (2023). MSC: 93E20 49L12 49L20 × Cite Format Result Cite Review PDF Full Text: DOI
Larcher, Gerhard The art of quantitative finance Vol. 3. Risk, optimal portfolios, and case studies. (English) Zbl 1522.91002 Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-031-23866-6/hbk; 978-3-031-23867-3/ebook). xiv, 368 p. (2023). Reviewer: Paweł Kliber (Poznan) MSC: 91-01 91G70 91G40 91G10 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Obrosova, N. K.; Shananin, A. A. Analysis of mechanisms of production investment stimulation in an imperfect capital market based on a mathematical model. (English. Russian original) Zbl 1516.91059 Comput. Math. Math. Phys. 63, No. 3, 369-385 (2023); translation from Zh. Vychisl. Mat. Mat. Fiz. 63, No. 3, 390-407 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Jian, Lingling The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies. (English) Zbl 1524.91086 Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 3, 1347-1364 (2023). MSC: 91G05 93E20 91A15 91A80 × Cite Format Result Cite Review PDF Full Text: DOI
Mayorga, Sergio; Święch, Andrzej Finite dimensional approximations of Hamilton-Jacobi-Bellman equations for stochastic particle systems with common noise. (English) Zbl 1512.35155 SIAM J. Control Optim. 61, No. 2, 820-851 (2023). MSC: 35D40 35F21 35R15 49L25 49N80 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Gozzi, Fausto; Masiero, Federica Stochastic control problems with unbounded control operators: solutions through generalized derivatives. (English) Zbl 1512.93151 SIAM J. Control Optim. 61, No. 2, 586-619 (2023). MSC: 93E20 60H20 49L20 35R15 93C25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv