Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
In the present work, we study the problem of optimal management of defined contribution
pension funds, during the distribution phase, under the effect of inflation, mortality and model …
pension funds, during the distribution phase, under the effect of inflation, mortality and model …
Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding
H Yoshioka, Y Yoshioka - Journal of Mathematics in Industry, 2023 - Springer
Abstract Hamilton–Jacobi–Bellman equation (HJBE) and backward stochastic differential
equation (BSDE) are the two faces of stochastic control. We explore their equivalence …
equation (BSDE) are the two faces of stochastic control. We explore their equivalence …
[HTML][HTML] Pricing and hedging in incomplete markets with model uncertainty
We search for a trading strategy and the associated robust price of unhedgeable assets in
incomplete markets under the acknowledgement of model uncertainty. Our set-up is that we …
incomplete markets under the acknowledgement of model uncertainty. Our set-up is that we …
[HTML][HTML] Robust optimization of mixed CVaR STARR ratio using copulas
We introduce the robust optimization models for two variants of stable tail-adjusted return
ratio (STARR), one with mixed conditional value-at-risk (MCVaR) and the other with …
ratio (STARR), one with mixed conditional value-at-risk (MCVaR) and the other with …
Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
X Dong, X Rong, H Zhao - Scandinavian Actuarial Journal, 2023 - Taylor & Francis
This paper investigates a non-zero-sum stochastic differential game between two
competitive CARA insurers, where we adopt the different classes of premium principles …
competitive CARA insurers, where we adopt the different classes of premium principles …
Auto-weighted Bayesian Physics-Informed Neural Networks and robust estimations for multitask inverse problems in pore-scale imaging of dissolution
S Perez, P Poncet - Computational Geosciences, 2024 - Springer
In this article, we present a novel data assimilation strategy in pore-scale imaging and
demonstrate that this makes it possible to robustly address reactive inverse problems …
demonstrate that this makes it possible to robustly address reactive inverse problems …
Robust utility maximization under model uncertainty via a penalization approach
This paper addresses the problem of utility maximization under uncertain parameters. In
contrast with the classical approach, where the parameters of the model evolve freely within …
contrast with the classical approach, where the parameters of the model evolve freely within …
[HTML][HTML] Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
H Yoshioka, M Tsujimura - Journal of Computational and Applied …, 2020 - Elsevier
The framework of discrete and costly observations provides an attractive mathematical tool
for stochastic control of biological and ecological systems in natural environment. However …
for stochastic control of biological and ecological systems in natural environment. However …
A dynamic theory of spatial externalities
We characterize the shape of spatial externalities in a continuous time and space differential
game with transboundary pollution. We posit a realistic spatiotemporal law of motion for …
game with transboundary pollution. We posit a realistic spatiotemporal law of motion for …
Parallel Cross Entropy Policy Gradient Adaptive Dynamic Programming for Optimal Tracking Control of Discrete-Time Nonlinear Systems
Policy gradient adaptive dynamic programming (PGADP) is a recently acclaimed control
technique for the optimal control design of nonlinear systems. Nevertheless, it demands a …
technique for the optimal control design of nonlinear systems. Nevertheless, it demands a …