Essays about: "HJB equation"
Showing result 1 - 5 of 6 essays containing the words HJB equation.
-
1. Merton's Portfolio Problem under Jourdain--Sbai Model
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. READ MORE
-
2. Deep learning for portfolio optimization
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : In this thesis, an optimal investment problem is studied for an investor who can only invest in a financial market modelled by an Itô-Lévy process; with one risk free (bond) and one risky (stock) investment possibility. We present the dynamic programming method and the associated Hamilton-Jacobi-Bellman (HJB) equation to explicitly solve this problem. READ MORE
-
3. Solving the Hamilton-Jacobi-Bellman Equation for Route Planning Problems Using Tensor Decomposition
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Optimizing routes for multiple autonomous vehiclesin complex traffic situations can lead to improved efficiency intraffic. Attempting to solve these optimization problems centrally,i.e. READ MORE
-
4. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation
University essay from KTH/Optimeringslära och systemteoriAbstract : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. READ MORE
-
5. Study on optimal train movement for minimum energy consumption
University essay from Akademin för innovation, design och teknikAbstract : The presented thesis project is a study on train energy consumption calculation and optimal train driving strategies for minimum energy consumption. This study is divided into three parts; the first part is a proposed model for energy consumption calculation for trains based on driving resistances. READ MORE