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Malliavin method for optimal investment in financial markets with memory

Qiguang An, Guoqing Zhao, Gaofeng Zong (2016)

Open Mathematics

We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market....

Marginal problem, statistical estimation, and Möbius formula

Martin Janžura (2007)

Kybernetika

A solution to the marginal problem is obtained in a form of parametric exponential (Gibbs–Markov) distribution, where the unknown parameters are obtained by an optimization procedure that agrees with the maximum likelihood (ML) estimate. With respect to a difficult performance of the method we propose also an alternative approach, providing the original basis of marginals can be appropriately extended. Then the (numerically feasible) solution can be obtained either by the maximum pseudo-likelihood...

Markov decision processes on finite spaces with fuzzy total rewards

Karla Carrero-Vera, Hugo Cruz-Suárez, Raúl Montes-de-Oca (2022)

Kybernetika

The paper concerns Markov decision processes (MDPs) with both the state and the decision spaces being finite and with the total reward as the objective function. For such a kind of MDPs, the authors assume that the reward function is of a fuzzy type. Specifically, this fuzzy reward function is of a suitable trapezoidal shape which is a function of a standard non-fuzzy reward. The fuzzy control problem consists of determining a control policy that maximizes the fuzzy expected total reward, where...

Markov decision processes with time-varying discount factors and random horizon

Rocio Ilhuicatzi-Roldán, Hugo Cruz-Suárez, Selene Chávez-Rodríguez (2017)

Kybernetika

This paper is related to Markov Decision Processes. The optimal control problem is to minimize the expected total discounted cost, with a non-constant discount factor. The discount factor is time-varying and it could depend on the state and the action. Furthermore, it is considered that the horizon of the optimization problem is given by a discrete random variable, that is, a random horizon is assumed. Under general conditions on Markov control model, using the dynamic programming approach, an optimality...

Mathematical and Computational Models in Tumor Immunology

F. Pappalardo, A. Palladini, M. Pennisi, F. Castiglione, S. Motta (2012)

Mathematical Modelling of Natural Phenomena

The immune system is able to protect the host from tumor onset, and immune deficiencies are accompanied by an increased risk of cancer. Immunology is one of the fields in biology where the role of computational and mathematical modeling and analysis were recognized the earliest, beginning from 60s of the last century. We introduce the two most common methods in simulating the competition among the immune system, cancers and tumor immunology strategies:...

Mathematical framework for current density imaging due to discharge of electro-muscular disruption devices

Jeehyun Lee, Jin Keun Seo, Eung Je Woo (2007)

ESAIM: Mathematical Modelling and Numerical Analysis

Electro-muscular disruption (EMD) devices such as TASER M26 and X26 have been used as a less-than-lethal weapon. Such EMD devices shoot a pair of darts toward an intended target to generate an incapacitating electrical shock. In the use of the EMD device, there have been controversial questions about its safety and effectiveness. To address these questions, we need to investigate the distribution of the current density J inside the target produced by the EMD device. One approach is to develop a computational...

Mathematical model and optimal control of flow induced vibration of pipelines

N.U. Ahmed (1999)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

In this paper we consider a dynamic model for flow induced vibration of pipelines. We study the questions of existence and uniqueness of solutions of the system. Considering the flow rate as the control variable, we present three different necessary conditions of optimality. The last one with state constraint involves Differential Inclusions. The paper is concluded with an algorithm for computing the optimal controls.

Mathematical modelling of molecule evolution in protocells

Dariusz Myszor, Krzysztof A. Cyran (2013)

International Journal of Applied Mathematics and Computer Science

In this article, we analyse the process of the emergence of RNA polynucleotides located in an enclosed environment, at an early stage of the RNA world. Therefore we prepared a mathematical model, composed of a set of differential equations, which simulates the behaviour of an early biological system bounded by a protocell membrane. There is evidence that enclosed environments were available on the primordial Earth. There are also experimental proofs that RNA strands can develop in these formations....

Mathematical Modelling of Tumour Dormancy

K. M. Page (2009)

Mathematical Modelling of Natural Phenomena

Many tumours undergo periods in which they apparently do not grow but remain at a roughly constant size for extended periods. This is termed tumour dormancy. The mechanisms responsible for dormancy include failure to develop an internal blood supply, individual tumour cells exiting the cell cycle and a balance between the tumour and the immune response to it. Tumour dormancy is of considerable importance in the natural history of cancer. In many cancers, and in particular in breast cancer, recurrence...

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