This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The rate is assumed to be proportional the individual’s salary. salary follows Heston stochastic volatility model jumps, and there exists common shock dependence between volatility. Since time horizon of management quite long, influence inflation considered in giv...

In this paper a hybrid implementation for Bellman-Ford to solve shortest path problems is proposed using OpenCL. Here first parallel implementation for Bellman-Ford for single source shortest path (SSSP) problem and all pair shortest path (APSP) are analyzed on CPU and GPU and based on this analysis work is divided among CPU and GPU and hybrid implementation is done. As proper resource utilizat...

1 Wald, A., Statistical Decision Functions (New York: John Wiley & Sons, 1950). 2 Wald, A., Sequential Analysis (New York: John Wiley & Sons, 1947). Bussgang, J. J., and D. Middleton, "Optimum sequential detection of signals in noise," IRE Trans. on Inform. Theory, IT-1, 5 (December) 1955. 4Middleton, D., An Introduction to Statistical Communication Theory (New York: McGrawHill, 1960), Chapter ...

The optimization of boiler soot blowing strategy and repair plan is investigated based on Hamilton–Jacobi–Bellman (HJB) equation in this paper. From the perspective soot, we build a Markov process with three modes to describe running process. For sake applying HJB equation, cost function constructed according built model, derived by using optimality principle. optimal can be obtained solving eq...

Consider the single-source cheapest paths problem in a digraph with negative edge costs allowed. A hybrid of Bellman-Ford and Dijkstra algorithms is suggested, improving the running time bound upon Bellman-Ford for graphs with a sparse distribution of negative cost edges. The algorithm iterates Dijkstra several times without reinitializing values d(v) at vertices. At most k+2 executions of Dijk...

There exit several high speed computation applications that requires minimum distance computation between nodes in weighted graph. Dedicated techniques exist for this purpose are called as shortest path computation. Depending upon need of application, there are three type of shortest path problems; Single Source Shortest Path (SSSP), Single Destination Shortest Path (SDSP) and All Pair Shortest...

This work treats Hamilton-Jacobi-Bellman equations. Their relation to several problems in mathematics is presented and an introduction to viscosity solutions is given. The work of several research articles is reviewed, including the Barles-Souganidis convergence argument and the inaugural papers on mean-field games. Original research on numerical methods for Hamilton-Jacobi-Bellman equations is...