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Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization

Soňa Kilianová, Daniel Ševčovič (2018)

Kybernetika

In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the Conditional value-at-risk deviation ( C V a R D ) based Sharpe ratio for measuring...

Explicit difference schemes for nonlinear differential functional parabolic equations with time dependent coefficients-convergence analysis

A. Poliński (2006)

Annales Polonici Mathematici

We study the initial-value problem for parabolic equations with time dependent coefficients and with nonlinear and nonlocal right-hand sides. Nonlocal terms appear in the unknown function and its gradient. We analyze convergence of explicit finite difference schemes by means of discrete fundamental solutions.

Explicit parametrix and local limit theorems for some degenerate diffusion processes

Valentin Konakov, Stéphane Menozzi, Stanislav Molchanov (2010)

Annales de l'I.H.P. Probabilités et statistiques

For a class of degenerate diffusion processes of rank 2, i.e. when only Poisson brackets of order one are needed to span the whole space, we obtain a parametrix representation of McKean–Singer [J. Differential Geom.1 (1967) 43–69] type for the density. We therefrom derive an explicit gaussian upper bound and a partial lower bound that characterize the additional singularity induced by the degeneracy. This particular representation then allows to give a local limit theorem with the usual convergence...

Exponential convergence to equilibrium via Lyapounov functionals for reaction-diffusion equations arising from non reversible chemical kinetics

Marzia Bisi, Laurent Desvillettes, Giampiero Spiga (2009)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

We show that the entropy method, that has been used successfully in order to prove exponential convergence towards equilibrium with explicit constants in many contexts, among which reaction-diffusion systems coming out of reversible chemistry, can also be used when one considers a reaction-diffusion system corresponding to an irreversible mechanism of dissociation/recombination, for which no natural entropy is available.

Exponential convergence to equilibrium via Lyapounov functionals for reaction-diffusion equations arising from non reversible chemical kinetics

Marzia Bisi, Laurent Desvillettes, Giampiero Spiga (2008)

ESAIM: Mathematical Modelling and Numerical Analysis


We show that the entropy method, that has been used successfully in order to prove exponential convergence towards equilibrium with explicit constants in many contexts, among which reaction-diffusion systems coming out of reversible chemistry, can also be used when one considers a reaction-diffusion system corresponding to an irreversible mechanism of dissociation/recombination, for which no natural entropy is available.


Exponential decay of a solution for some parabolic equation involving a time nonlocal term

Kota Kumazaki (2015)

Mathematica Bohemica

We consider the large time behavior of a solution of a parabolic type equation involving a nonlocal term depending on the unknown function. This equation is proposed as a mathematical model of carbon dioxide transport in concrete carbonation process, and we proved the existence, uniqueness and large time behavior of a solution of this model. In this paper, we derive the exponential decay estimate of the solution of this model under restricted boundary data and initial data.

Currently displaying 241 – 260 of 269