Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Huai-nian Zhu"'
Publikováno v:
Journal of Industrial & Management Optimization. 16:813-834
This paper investigates a continuous-time Markowitz mean-variance asset-liability management (ALM) problem under stochastic interest rates and inflation risks. We assume that the company can invest in $n + 1$ assets: one risk-free bond and $n$ risky
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::123f3de8f63e170d6a9c3debfd92bad8
https://doi.org/10.3934/jimo.2018180
https://doi.org/10.3934/jimo.2018180
Publikováno v:
Finance Research Letters. 30:280-291
This paper considers the optimal time-consistent investment and reinsurance strategies for two mean-variance insurers subject to the relative performance concerns. Each insurer can purchase a reinsurance protection and invest in a financial market co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5767b2e5d5d43f0bd0c487e5e90a3e96
https://doi.org/10.1016/j.frl.2018.10.009
https://doi.org/10.1016/j.frl.2018.10.009
Publikováno v:
Mathematical Problems in Engineering. 2017:1-8
For simulating and analyzing the input and output problem of national economy more accurately, this paper considers the fast and slow production processes during the course of social production development, takes stochastic economic risks into consid
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::55b7e614955eb722607d4fc66caa8e27
https://doi.org/10.1155/2017/8082738
https://doi.org/10.1155/2017/8082738
Autor:
Cheng-ke Zhang, Huai-nian Zhu
Publikováno v:
Operations Research Letters. 44:307-312
In this paper, dynamic games for a class of finite horizon linear stochastic system governed by Ito's difference equation are investigated. Particularly, both Pareto and Nash strategies are discussed. After defining the equilibrium condition, suffici
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ecfaef716778df039322b7ee0991b477
https://doi.org/10.1016/j.orl.2016.02.010
https://doi.org/10.1016/j.orl.2016.02.010
Publikováno v:
Journal of Systems Science and Information. 3:154-163
Based on singularly perturbed bilinear quadratic problems, this paper proposes to decompose the full-order system into two subsystems of a slow-time and fast-time scale. Utilizing the fixed point iterative algorithm to solve cross-coupled algebraic R
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e0cbe1d3f6d57bd083e29d6fa96ed97f
https://doi.org/10.1515/jssi-2015-0154
https://doi.org/10.1515/jssi-2015-0154
This book systematically studies the stochastic non-cooperative differential game theory of generalized linear Markov jump systems and its application in the field of finance and insurance. The book is an in-depth research book of the continuous time
Publikováno v:
Tehnički vjesnik
Volume 24
Issue 3
Volume 24
Issue 3
A zero-sum game approach for H∞ robust control of continuous-time singularly perturbed bilinear quadratic systems with an additive disturbance input is presented. By regarding the stochastic disturbance (or the uncertainty) as "the nature player",
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2eb0debc26d6b93bee73f089e8c8767c
https://doi.org/10.17559/tv-20161112172344
https://doi.org/10.17559/tv-20161112172344
Publikováno v:
Journal of the Operations Research Society of China. 2:481-498
This paper investigates Nash games for a class of linear stochastic systems governed by Ito’s differential equation with Markovian jump parameters both in finite-time horizon and infinite-time horizon. First, stochastic Nash games are formulated by
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8536379a67e585b9ae608024bf33996
https://doi.org/10.1007/s40305-014-0064-9
https://doi.org/10.1007/s40305-014-0064-9
Publikováno v:
Studies in Systems, Decision and Control ISBN: 9783319405865
Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems
Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::172903ae65953731bc874b92b32cb43d
https://doi.org/10.1007/978-3-319-40587-2
https://doi.org/10.1007/978-3-319-40587-2
Publikováno v:
Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems ISBN: 9783319405865
This chapter introduces the theory of deterministic and stochastic differential games, including the dynamic optimization techniques, (stochastic) differential games and their solution concepts, which will lay a foundation for later study.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::399dc60b55d9eed2f5d1e0aa3829e0ec
https://doi.org/10.1007/978-3-319-40587-2_2
https://doi.org/10.1007/978-3-319-40587-2_2