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A power penalty approach to american option pricing with jump diffusion processes
On maximizing the expected terminal utility by investment and reinsurance
1. | School of Mathematics and Computer Sciences, Anhui Normal University, Wuhu, Anhui, 241003, China |
2. | School of Finance and Statistics, East China Normal University, Shanghai, 200241, China |
3. | School of Finance and Statistics,, East China Normal University, Shanghai, 200241, China |
[1] |
Jean-Claude Zambrini. On the geometry of the Hamilton-Jacobi-Bellman equation. Journal of Geometric Mechanics, 2009, 1 (3) : 369-387. doi: 10.3934/jgm.2009.1.369 |
[2] |
Bian-Xia Yang, Shanshan Gu, Guowei Dai. Existence and multiplicity for Hamilton-Jacobi-Bellman equation. Communications on Pure and Applied Analysis, 2021, 20 (11) : 3767-3793. doi: 10.3934/cpaa.2021130 |
[3] |
Daniele Castorina, Annalisa Cesaroni, Luca Rossi. On a parabolic Hamilton-Jacobi-Bellman equation degenerating at the boundary. Communications on Pure and Applied Analysis, 2016, 15 (4) : 1251-1263. doi: 10.3934/cpaa.2016.15.1251 |
[4] |
Steven Richardson, Song Wang. The viscosity approximation to the Hamilton-Jacobi-Bellman equation in optimal feedback control: Upper bounds for extended domains. Journal of Industrial and Management Optimization, 2010, 6 (1) : 161-175. doi: 10.3934/jimo.2010.6.161 |
[5] |
Xuhui Wang, Lei Hu. A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021137 |
[6] |
Zhen-Zhen Tao, Bing Sun. A feedback design for numerical solution to optimal control problems based on Hamilton-Jacobi-Bellman equation. Electronic Research Archive, 2021, 29 (5) : 3429-3447. doi: 10.3934/era.2021046 |
[7] |
Mohamed Assellaou, Olivier Bokanowski, Hasnaa Zidani. Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets. Discrete and Continuous Dynamical Systems, 2015, 35 (9) : 3933-3964. doi: 10.3934/dcds.2015.35.3933 |
[8] |
Pengxu Xie, Lihua Bai, Huayue Zhang. Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer. Journal of Industrial and Management Optimization, 2022 doi: 10.3934/jimo.2022020 |
[9] |
Lv Chen, Hailiang Yang. Optimal reinsurance and investment strategy with two piece utility function. Journal of Industrial and Management Optimization, 2017, 13 (2) : 737-755. doi: 10.3934/jimo.2016044 |
[10] |
Federica Masiero. Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian. Discrete and Continuous Dynamical Systems, 2012, 32 (1) : 223-263. doi: 10.3934/dcds.2012.32.223 |
[11] |
Joan-Andreu Lázaro-Camí, Juan-Pablo Ortega. The stochastic Hamilton-Jacobi equation. Journal of Geometric Mechanics, 2009, 1 (3) : 295-315. doi: 10.3934/jgm.2009.1.295 |
[12] |
Jiapeng Liu, Ruihua Liu, Dan Ren. Investment and consumption in regime-switching models with proportional transaction costs and log utility. Mathematical Control and Related Fields, 2017, 7 (3) : 465-491. doi: 10.3934/mcrf.2017017 |
[13] |
Yan Zhang, Peibiao Zhao, Xinghu Teng, Lei Mao. Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform. Journal of Industrial and Management Optimization, 2021, 17 (4) : 2139-2159. doi: 10.3934/jimo.2020062 |
[14] |
Yin Li, Xuerong Mao, Yazhi Song, Jian Tao. Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition. Journal of Industrial and Management Optimization, 2022, 18 (1) : 75-93. doi: 10.3934/jimo.2020143 |
[15] |
Tomoki Ohsawa, Anthony M. Bloch. Nonholonomic Hamilton-Jacobi equation and integrability. Journal of Geometric Mechanics, 2009, 1 (4) : 461-481. doi: 10.3934/jgm.2009.1.461 |
[16] |
Nalini Anantharaman, Renato Iturriaga, Pablo Padilla, Héctor Sánchez-Morgado. Physical solutions of the Hamilton-Jacobi equation. Discrete and Continuous Dynamical Systems - B, 2005, 5 (3) : 513-528. doi: 10.3934/dcdsb.2005.5.513 |
[17] |
María Barbero-Liñán, Manuel de León, David Martín de Diego, Juan C. Marrero, Miguel C. Muñoz-Lecanda. Kinematic reduction and the Hamilton-Jacobi equation. Journal of Geometric Mechanics, 2012, 4 (3) : 207-237. doi: 10.3934/jgm.2012.4.207 |
[18] |
Larry M. Bates, Francesco Fassò, Nicola Sansonetto. The Hamilton-Jacobi equation, integrability, and nonholonomic systems. Journal of Geometric Mechanics, 2014, 6 (4) : 441-449. doi: 10.3934/jgm.2014.6.441 |
[19] |
Yoshikazu Giga, Przemysław Górka, Piotr Rybka. Nonlocal spatially inhomogeneous Hamilton-Jacobi equation with unusual free boundary. Discrete and Continuous Dynamical Systems, 2010, 26 (2) : 493-519. doi: 10.3934/dcds.2010.26.493 |
[20] |
Nicolas Forcadel, Mamdouh Zaydan. A comparison principle for Hamilton-Jacobi equation with moving in time boundary. Evolution Equations and Control Theory, 2019, 8 (3) : 543-565. doi: 10.3934/eect.2019026 |
2021 Impact Factor: 1.411
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