Better than Pre-Commitment Mean-Variance Portfolio Allocation Strategies: A Semi-Self- Financing Hamilton-Jacobi-Bellman Equation Approach

2013 ◽  
Author(s):  
Duy Minh Dang ◽  
Peter A. Forsyth
Keyword(s):  
Bellman Equation ◽  
Portfolio Allocation ◽  
Equation Approach ◽  
Hamilton Jacobi Bellman Equation ◽  
Hamilton Jacobi Bellman ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Better Than ◽  
Allocation Strategies

scholarly journals Solution of Hamilton-Jacobi-Bellman Equation in Optimal Reinsurance Strategy under Dynamic VaR Constraint

2019 ◽  
Vol 2019 ◽  
pp. 1-7 ◽  
Author(s):  
Yuzhen Wen ◽  
Chuancun Yin
Keyword(s):  
Bellman Equation ◽  
Closed Form Expression ◽  
Proportional Reinsurance ◽  
Form Expression ◽  
Optimal Reinsurance ◽  
Surplus Process ◽  
Hamilton Jacobi Bellman Equation ◽  
Generalized Mean ◽  
Hamilton Jacobi Bellman ◽  
Mean Variance

This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg model. We assume the dynamic VaR constraints for proportional reinsurance. We obtain the closed form expression of the optimal reinsurance strategy and corresponding survival probability under proportional reinsurance.

Interception of automated adversarial drone swarms in partially observed environments

2021 ◽  
pp. 1-14
Author(s):  
Daniel Saranovic ◽  
Martin Pavlovski ◽  
William Power ◽  
Ivan Stojkovic ◽  
Zoran Obradovic
Keyword(s):  
Bellman Equation ◽  
Pid Controllers ◽  
Partially Observed ◽  
Hamilton Jacobi Bellman Equation ◽  
Partial Feedback ◽  
Point Solution ◽  
Physical Limitations ◽  
Defensive Mechanisms ◽  
Hamilton Jacobi Bellman ◽  
New Framework

As the prevalence of drones increases, understanding and preparing for possible adversarial uses of drones and drone swarms is of paramount importance. Correspondingly, developing defensive mechanisms in which swarms can be used to protect against adversarial Unmanned Aerial Vehicles (UAVs) is a problem that requires further attention. Prior work on intercepting UAVs relies mostly on utilizing additional sensors or uses the Hamilton-Jacobi-Bellman equation, for which strong conditions need to be met to guarantee the existence of a saddle-point solution. To that end, this work proposes a novel interception method that utilizes the swarm’s onboard PID controllers for setting the drones’ states during interception. The drone’s states are constrained only by their physical limitations, and only partial feedback of the adversarial drone’s positions is assumed. The new framework is evaluated in a virtual environment under different environmental and model settings, using random simulations of more than 165,000 swarm flights. For certain environmental settings, our results indicate that the interception performance of larger swarms under partial observation is comparable to that of a one-drone swarm under full observation of the adversarial drone.

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