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Optimal investment-consumption strategy in a discrete-time model with regime switching
1. | Department of Mathematics and Statistics, University of Calgary, 2500 University Drive N.W., Calgary, AB, T3A, 2E2, Canada |
2. | Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong |
[1] |
Jingzhen Liu, Ka-Fai Cedric Yiu, Kok Lay Teo. Optimal investment-consumption problem with constraint. Journal of Industrial and Management Optimization, 2013, 9 (4) : 743-768. doi: 10.3934/jimo.2013.9.743 |
[2] |
Liu Yang, Xiaojiao Tong, Yao Xiong, Feifei Shen. A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures. Journal of Industrial and Management Optimization, 2020, 16 (3) : 1171-1185. doi: 10.3934/jimo.2018198 |
[3] |
Meng Xue, Yun Shi, Hailin Sun. Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk. Journal of Industrial and Management Optimization, 2020, 16 (6) : 2581-2602. doi: 10.3934/jimo.2019071 |
[4] |
Jiaqin Wei, Danping Li, Yan Zeng. Robust optimal consumption-investment strategy with non-exponential discounting. Journal of Industrial and Management Optimization, 2020, 16 (1) : 207-230. doi: 10.3934/jimo.2018147 |
[5] |
Shanjian Tang. A second-order maximum principle for singular optimal stochastic controls. Discrete and Continuous Dynamical Systems - B, 2010, 14 (4) : 1581-1599. doi: 10.3934/dcdsb.2010.14.1581 |
[6] |
Yong Ma, Shiping Shan, Weidong Xu. Optimal investment and consumption in the market with jump risk and capital gains tax. Journal of Industrial and Management Optimization, 2019, 15 (4) : 1937-1953. doi: 10.3934/jimo.2018130 |
[7] |
Qingsong Duan, Mengwei Xu, Liwei Zhang, Sainan Zhang. Hadamard directional differentiability of the optimal value of a linear second-order conic programming problem. Journal of Industrial and Management Optimization, 2021, 17 (6) : 3085-3098. doi: 10.3934/jimo.2020108 |
[8] |
Yongchao Liu, Hailin Sun, Huifu Xu. An approximation scheme for stochastic programs with second order dominance constraints. Numerical Algebra, Control and Optimization, 2016, 6 (4) : 473-490. doi: 10.3934/naco.2016021 |
[9] |
Haibo Jin, Long Hai, Xiaoliang Tang. An optimal maintenance strategy for multi-state systems based on a system linear integral equation and dynamic programming. Journal of Industrial and Management Optimization, 2020, 16 (2) : 965-990. doi: 10.3934/jimo.2018188 |
[10] |
Makoto Okumura, Takeshi Fukao, Daisuke Furihata, Shuji Yoshikawa. A second-order accurate structure-preserving scheme for the Cahn-Hilliard equation with a dynamic boundary condition. Communications on Pure and Applied Analysis, 2022, 21 (2) : 355-392. doi: 10.3934/cpaa.2021181 |
[11] |
Zuo Quan Xu, Fahuai Yi. An optimal consumption-investment model with constraint on consumption. Mathematical Control and Related Fields, 2016, 6 (3) : 517-534. doi: 10.3934/mcrf.2016014 |
[12] |
Yi Zhang, Yong Jiang, Liwei Zhang, Jiangzhong Zhang. A perturbation approach for an inverse linear second-order cone programming. Journal of Industrial and Management Optimization, 2013, 9 (1) : 171-189. doi: 10.3934/jimo.2013.9.171 |
[13] |
Raegan Higgins. Asymptotic behavior of second-order nonlinear dynamic equations on time scales. Discrete and Continuous Dynamical Systems - B, 2010, 13 (3) : 609-622. doi: 10.3934/dcdsb.2010.13.609 |
[14] |
Xiaoni Chi, Zhongping Wan, Zijun Hao. Second order sufficient conditions for a class of bilevel programs with lower level second-order cone programming problem. Journal of Industrial and Management Optimization, 2015, 11 (4) : 1111-1125. doi: 10.3934/jimo.2015.11.1111 |
[15] |
Jingzhen Liu, Shiqi Yan, Shan Jiang, Jiaqin Wei. Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022040 |
[16] |
Leonardo Colombo, David Martín de Diego. Second-order variational problems on Lie groupoids and optimal control applications. Discrete and Continuous Dynamical Systems, 2016, 36 (11) : 6023-6064. doi: 10.3934/dcds.2016064 |
[17] |
Fengjun Wang, Qingling Zhang, Bin Li, Wanquan Liu. Optimal investment strategy on advertisement in duopoly. Journal of Industrial and Management Optimization, 2016, 12 (2) : 625-636. doi: 10.3934/jimo.2016.12.625 |
[18] |
Soumia Saïdi. On a second-order functional evolution problem with time and state dependent maximal monotone operators. Evolution Equations and Control Theory, 2021 doi: 10.3934/eect.2021034 |
[19] |
Lei Sun, Lihong Zhang. Optimal consumption and investment under irrational beliefs. Journal of Industrial and Management Optimization, 2011, 7 (1) : 139-156. doi: 10.3934/jimo.2011.7.139 |
[20] |
Nguyen Thi Hoai. Asymptotic approximation to a solution of a singularly perturbed linear-quadratic optimal control problem with second-order linear ordinary differential equation of state variable. Numerical Algebra, Control and Optimization, 2021, 11 (4) : 495-512. doi: 10.3934/naco.2020040 |
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