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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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0.3%0.5%0.8%0.1% · Aug 202319922001200920172026
3 results for “self-path-dependent”
Stochastic optimal self-path-dependent control: A new type of variational inequality and its viscosity solutionmath.OC

New control theory for self-path-dependent problems solves unique constraints.

problem Optimal control with self-path-dependent constraints in stochastic systems.
method Introduces new HJB equations for variational inequalities with historical maximum controls.
result Value functions are viscosity solutions to HJB equations under Lipschitz conditions.
stochastic controlvariational inequalityviscosity solutionself-path-dependentHamilton-Jacobi-Bellman
2024-12-16abs ↗pdf ↗
Optimal ratcheting of dividend payout under Brownian motion surplusq-fin.MF

This paper solves an optimal dividend payout problem with ratcheting constraints using a novel method.

problem Optimal dividend payout under ratcheting constraints for a Brownian motion surplus process.
method Novel partial differential equation method to solve the Hamilton-Jacobi-Bellman (HJB) equation.
result Existence and uniqueness of solution in stronger functional spaces, strict monotonicity, boundedness, and C∞C^\infty-smoothness of the free boundary.
dividend payoutratcheting constraintsBrownian motionHamilton-Jacobi-Bellman equationviscosity solution
2023-08-29abs ↗pdf ↗
Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategymath.OC

Optimal dividend strategy with ratcheting and capital injection under Cramér-Lundberg model.

problem Optimal dividend payout for an insurance company with ratcheting constraints and capital injections.
method Systematic probabilistic and PDE-based approach to solve HJB equation, constructing strong solution and optimal strategy.
result Existence and uniqueness of strong solution, explicit optimal feedback control strategy.
dividend ratchetingcapital injectionCramér-Lundberg modelstochastic controlHamilton-Jacobi-Bellman equation
2026-04-06abs ↗pdf ↗