5 The no arbitrage pricing of Guaranteed Minimum Withdrawal Benefits (GMWB) contracts 6 results in a singular stochastic control problem which can be formulated as a Hamilton Jacobi 7 Bellman (HJB) Variational Inequality (VI). Recently, a penalty method has been suggested for 8 solution of this HJB variational inequality (Dai et al., 2008). This method is very simple to 9 implement. In this art...

In this paper infinite horizon optimal control problems for nonlinear high-dimensional dynamical systems are studied. Nonlinear feedback laws can be computed via the value function characterized as the unique viscosity solution to the corresponding Hamilton-Jacobi-Bellman (HJB) equation which stems from the dynamic programming approach. However, the bottleneck is mainly due to the curse of dime...

Parameterisation of facial expressions on PDE surface representations of human faces are presented in this work. Taking advantage of the boundary-value approach inherent to Bloor-Wilson PDE method, facial expressions are achieved by manipulating the original boundary curves. Such curves are responsible for generating a surface representation of a human face in its neutral configuration, so that...

The valuation of a gas storage facility is characterized as a stochastic control problem, resulting in a Hamilton-Jacobi-Bellman (HJB) equation. In this paper, we present a semi-Lagrangian method for solving the HJB equation for a typical gas storage valuation problem. The method is able to handle a wide class of spot price models that exhibit mean-reverting, seasonality dynamics and price jump...

Inthispaper,wesolveHamilton-Jocobi-Bellman(HJB)equationsarisinginoptimalcontrolproblems usingHomotopyPerturbationTransformMethod(HPTM).Theproposedmethodisacombinedform oftheLaplaceTransformationMethodwiththeHomotopyPerturbationMethodtoproduceahighly effectivemethodtohandlemanyproblems. ApplyingtheHPTM,solutionprocedurebecomeseasier, simplerandmorestraightforward. Someillustrativeexamplesaregive...

Background: The increasing use of nuclear radiation for human welfare necessitates the search for new, safe, cost effective radio protectors not only for the personnel’s charged with the responsibility of working or testing with radiations in laboratories, but also for general public. With this view the present study has been undertaken to determine the deleterious effects of sub lethal g...

Abstract. In this paper, we value hydroelectric power plant cash flows under a stochastic control framework, taking into consideration the implication of operational constraints such as ramping and minimum flow rate constraints for the purpose of environmental protection. The power plant valuation problem under a ramping constraint is characterized as a bounded stochastic control problem, resul...

We propose a method for calibrating a volatility surface that matches option prices using an entropy-inspired framework. Starting with a stochastic volatility model for asset prices, we cast the estimation problem as a variational one and we derive a Hamilton-Jacobi-Bellman (HJB) equation for the volatility surface. We study the asymptotics of the HJB equation assuming that the stochastic volat...

We prove the convergence of a non-monotonous scheme for a one-dimensional first order Hamilton-Jacobi-Bellman equation of the form vt+maxα(f(x, α)vx) = 0, v(0, x) = v0(x). The scheme is related to the HJB-UltraBee scheme suggested in [7]. We show for general discontinuous initial data a first-order convergence of the scheme, in L-norm, towards the viscosity solution. We also illustrate the non-...

Arylnaphthalene lignan lactones have attracted considerable interest because of their anti-tumor and anti-hyperlipidimic activities. However, to our knowledge, few studies have explored the effects of these compounds on human leukemia cell lines. In this study, five arylnaphthalene lignans including 6'-hydroxy justicidin A (HJA), 6'-hydroxy justicidin B (HJB), justicidin B (JB), chinensinaphtho...