In this paper, we study the effects of cointegration on optimal investment and consumption
strategies for an investor with exponential utility. A Hamilton-Jacobi-Bellman (HJB) equation …

An optimization problem of controlling a dam installed in a river is analyzed based on a
stochastic control formalism of a diffusion process under model ambiguity: a new …

In this paper, we adopt a monotone numerical scheme to solve the Hamilton–Jacobi–
Bellman equation arising from the optimal portfolio selection problem with general utility …

Stochastic optimal principle leads to the resolution of a partial differential equation (PDE),
namely the Hamilton–Jacobi–Bellman (HJB) equation. In general, this equation cannot be …

This paper revisits the classical Merton problem on the finite horizon with the constant
absolute risk aversion utility function. We apply two different methods to derive the closed …

This paper considers the optimal management for both the defined-contribution (DC) and
defined-benefit (DB) pension plans in a continuous time framework. In particular, analytical …

An optimal switching control formalism combined with the stochastic dynamic programming
is, for the first time, applied to modelling life cycle of migrating population dynamics with non …

A mathematical framework for controlling growth rate of harmful species population is
established based on the concept of stochastic control. The main problem to be addressed …

The effectiveness of prefabricated vertical drains (PVDs) in enhancing the stability of soft
soils during cyclic loading was investigated using triaxial cyclic loading tests. Both …

This paper considers the Merton portfolio optimization problem for an investor that aims at
maximizing the expected power utility of the terminal wealth and intermediate consumption …