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Parallel dynamic programming algorithms: Multitransputer systems

Jan Sadecki (2002)

International Journal of Applied Mathematics and Computer Science

The present paper discusses real parallel computations. On the basis of a selected group of dynamic programming algorithms, a number of factors affecting the efficiency of parallel computations such as, e.g., the way of distributing tasks, the interconnection structure between particular elements of the parallel system or the way of organizing of interprocessor communication are analyzed. Computations were implemented in the parallel multitransputer SUPER NODE 1000 system using from 5 to 50 transputers....

Portfolio optimization for pension plans under hybrid stochastic and local volatility

Sung-Jin Yang, Jeong-Hoon Kim, Min-Ku Lee (2015)

Applications of Mathematics

Based upon an observation that it is too restrictive to assume a definite correlation of the underlying asset price and its volatility, we use a hybrid model of the constant elasticity of variance and stochastic volatility to study a portfolio optimization problem for pension plans. By using asymptotic analysis, we derive a correction to the optimal strategy for the constant elasticity of variance model and subsequently the fine structure of the corrected optimal strategy is revealed. The result...

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