Saved in:
| Main Authors: | Davey, Ashley, Zheng, Harry |
|---|---|
| Format: | Preprint |
| Published: |
2020
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2008.11757 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
S-shaped Utility Maximization with VaR Constraint and Partial Information
by: Zhu, Dongmei, et al.
Published: (2025)
by: Zhu, Dongmei, et al.
Published: (2025)
Equilibrium in Functional Stochastic Games with Mean-Field Interaction
by: Jaber, Eduardo Abi, et al.
Published: (2023)
by: Jaber, Eduardo Abi, et al.
Published: (2023)
Explicit Signal-Adaptive Sequential Optimal Execution Quotes
by: Yu, Fenghui
Published: (2026)
by: Yu, Fenghui
Published: (2026)
On stochastic control problems with higher-order moments
by: Wang, Yike, et al.
Published: (2024)
by: Wang, Yike, et al.
Published: (2024)
Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
by: Wang, Yike, et al.
Published: (2025)
by: Wang, Yike, et al.
Published: (2025)
Tractable bank capital structure: optimal control under Basel III constraints
by: Bayraktar, Erhan, et al.
Published: (2026)
by: Bayraktar, Erhan, et al.
Published: (2026)
Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional
by: Cao, Jingyi, et al.
Published: (2024)
by: Cao, Jingyi, et al.
Published: (2024)
Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport
by: Engström, Linn, et al.
Published: (2024)
by: Engström, Linn, et al.
Published: (2024)
A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
by: Kardaras, Constantinos, et al.
Published: (2025)
by: Kardaras, Constantinos, et al.
Published: (2025)
An Inexact Trust-Region Method for Structured Nonsmooth Optimization with Application to Risk-Averse Stochastic Programming
by: Kouri, Drew P.
Published: (2026)
by: Kouri, Drew P.
Published: (2026)
Rockafellian Relaxation for PDE-Constrained Optimization with Distributional Uncertainty
by: Antil, Harbir, et al.
Published: (2024)
by: Antil, Harbir, et al.
Published: (2024)
A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients
by: Hounkpe, Onésime, et al.
Published: (2026)
by: Hounkpe, Onésime, et al.
Published: (2026)
Reinforcement Learning Methods for the Stochastic Optimal Control of an Industrial Power-to-Heat System
by: Pilling, Eric, et al.
Published: (2024)
by: Pilling, Eric, et al.
Published: (2024)
On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio
by: Hsieh, Chung-Han, et al.
Published: (2024)
by: Hsieh, Chung-Han, et al.
Published: (2024)
Callable convertible bonds under liquidity constraints and hybrid priorities
by: Hobson, David, et al.
Published: (2021)
by: Hobson, David, et al.
Published: (2021)
Reinforcement Learning for Speculative Trading under Exploratory Framework
by: Zhao, Yun, et al.
Published: (2026)
by: Zhao, Yun, et al.
Published: (2026)
Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
by: Fießinger, Felix, et al.
Published: (2023)
by: Fießinger, Felix, et al.
Published: (2023)
Convergence of Proximal Policy Gradient Method for Problems with Control Dependent Diffusion Coefficients
by: Davey, Ashley, et al.
Published: (2025)
by: Davey, Ashley, et al.
Published: (2025)
Epstein-Zin Utility Maximization on a Random Horizon
by: Aurand, Joshua, et al.
Published: (2019)
by: Aurand, Joshua, et al.
Published: (2019)
Asset-liability management with Epstein-Zin utility under stochastic interest rate and unknown market price of risk
by: Kuissi-Kamdem, Wilfried
Published: (2025)
by: Kuissi-Kamdem, Wilfried
Published: (2025)
Stochastic modeling of cyclic cancer treatments under common noise
by: Sonith, Jason
Published: (2024)
by: Sonith, Jason
Published: (2024)
A model of strategic sustainable investment
by: De Angelis, Tiziano, et al.
Published: (2024)
by: De Angelis, Tiziano, et al.
Published: (2024)
Risk-averse optimization under distributional uncertainty with Rockafellian relaxation
by: Antil, Harbir, et al.
Published: (2026)
by: Antil, Harbir, et al.
Published: (2026)
Trading with propagators and constraints: applications to optimal execution and battery storage
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems
by: Hsieh, Chung-Han
Published: (2022)
by: Hsieh, Chung-Han
Published: (2022)
Partial Information in a Mean-Variance Portfolio Selection Game
by: Huang, Yu-Jui, et al.
Published: (2023)
by: Huang, Yu-Jui, et al.
Published: (2023)
Habit Formation, Labor Supply, and the Dynamics of Retirement and Annuitization
by: Birungi, Criscent, et al.
Published: (2026)
by: Birungi, Criscent, et al.
Published: (2026)
Cost-optimal Management of a Residential Heating System With a Geothermal Energy Storage Under Uncertainty
by: Takam, Paul Honore, et al.
Published: (2025)
by: Takam, Paul Honore, et al.
Published: (2025)
Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
by: Lleo, Sebastien, et al.
Published: (2026)
by: Lleo, Sebastien, et al.
Published: (2026)
De Finetti's Poissonian Dividend Control Problem under Spectrally Positive Markov Additive Process
by: Bo, Lijun, et al.
Published: (2023)
by: Bo, Lijun, et al.
Published: (2023)
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
by: Lleo, Sebastien, et al.
Published: (2026)
by: Lleo, Sebastien, et al.
Published: (2026)
Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
by: Anita, Stefana-Lucia, et al.
Published: (2025)
by: Anita, Stefana-Lucia, et al.
Published: (2025)
A monotone piecewise constant control integration approach for the two-factor uncertain volatility model
by: Dang, Duy-Minh, et al.
Published: (2024)
by: Dang, Duy-Minh, et al.
Published: (2024)
Fredholm Approach to Nonlinear Propagator Models
by: Jaber, Eduardo Abi, et al.
Published: (2025)
by: Jaber, Eduardo Abi, et al.
Published: (2025)
Default Contagion, Matrix Approximation, and Control in Sparse Financial Networks
by: Zhang, Aoxin, et al.
Published: (2026)
by: Zhang, Aoxin, et al.
Published: (2026)
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks
by: Guo, Ivan, et al.
Published: (2023)
by: Guo, Ivan, et al.
Published: (2023)
Dual Approaches to Stochastic Control via SPDEs and the Pathwise Hopf Formula
by: Laurière, Mathieu, et al.
Published: (2026)
by: Laurière, Mathieu, et al.
Published: (2026)
Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
by: Han, Bingyan, et al.
Published: (2023)
by: Han, Bingyan, et al.
Published: (2023)
Equilibrium Strategies for the N-agent Mean-Variance Investment Problem over a Random Horizon
by: Liang, Xiaoqing, et al.
Published: (2025)
by: Liang, Xiaoqing, et al.
Published: (2025)
Analysis and Control of Input-Affine Dynamical Systems using Infinite-Dimensional Robust Counterparts
by: Miller, Jared, et al.
Published: (2021)
by: Miller, Jared, et al.
Published: (2021)
Similar Items
-
S-shaped Utility Maximization with VaR Constraint and Partial Information
by: Zhu, Dongmei, et al.
Published: (2025) -
Equilibrium in Functional Stochastic Games with Mean-Field Interaction
by: Jaber, Eduardo Abi, et al.
Published: (2023) -
Explicit Signal-Adaptive Sequential Optimal Execution Quotes
by: Yu, Fenghui
Published: (2026) -
On stochastic control problems with higher-order moments
by: Wang, Yike, et al.
Published: (2024) -
Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
by: Wang, Yike, et al.
Published: (2025)