Sökning: "HJB equation"
Visar resultat 1 - 5 av 6 uppsatser innehållade orden HJB equation.
1. Merton's Portfolio Problem under Jourdain--Sbai Model
Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : 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. LÄS MER
2. Deep learning for portfolio optimization
Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)Sammanfattning : 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. LÄS MER
3. Solving the Hamilton-Jacobi-Bellman Equation for Route Planning Problems Using Tensor Decomposition
Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : Optimizing routes for multiple autonomous vehiclesin complex traffic situations can lead to improved efficiency intraffic. Attempting to solve these optimization problems centrally,i.e. LÄS MER
4. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation
Master-uppsats, KTH/Optimeringslära och systemteoriSammanfattning : 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. LÄS MER
5. Study on optimal train movement for minimum energy consumption
Master-uppsats, Akademin för innovation, design och teknikSammanfattning : 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. LÄS MER