:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Zhu, Dongmei, Davey, Ashley, Zheng, Harry
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Optimization and Control 93E20, 93E11, 91G80, 90C46, 49M29
Online Access:	https://arxiv.org/abs/2506.10103
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Deep Learning for Constrained Utility Maximisation
by: Davey, Ashley, et al.
Published: (2020)

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)

Partial Information in a Mean-Variance Portfolio Selection Game
by: Huang, Yu-Jui, et al.
Published: (2023)

Tractable bank capital structure: optimal control under Basel III constraints
by: Bayraktar, Erhan, et al.
Published: (2026)

Unwinding Toxic Flow with Partial Information
by: Barzykin, Alexander, et al.
Published: (2024)

Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective
by: Grigorian, Karen, et al.
Published: (2025)

Epstein-Zin Utility Maximization on a Random Horizon
by: Aurand, Joshua, et al.
Published: (2019)

Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional
by: Cao, Jingyi, et al.
Published: (2024)

A model of strategic sustainable investment
by: De Angelis, Tiziano, et al.
Published: (2024)

Estimation of VaR with jump process: application in corn and soybean markets
by: Lin, Minglian, et al.
Published: (2023)

Stochastic modeling of cyclic cancer treatments under common noise
by: Sonith, Jason
Published: (2024)

Asset-liability management with Epstein-Zin utility under stochastic interest rate and unknown market price of risk
by: Kuissi-Kamdem, Wilfried
Published: (2025)

Reinforcement Learning for Speculative Trading under Exploratory Framework
by: Zhao, Yun, et al.
Published: (2026)

From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems
by: Hsieh, Chung-Han
Published: (2022)

A continuous-time Kyle model with price-responsive traders
by: Noh, Eunjung
Published: (2026)

Callable convertible bonds under liquidity constraints and hybrid priorities
by: Hobson, David, et al.
Published: (2021)

A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients
by: Hounkpe, Onésime, et al.
Published: (2026)

Policy Gradient for Continuous-Time Mean-Field Control
by: Bayraktar, Erhan, et al.
Published: (2026)

Mean Field Equilibrium Asset Pricing Models With Exponential Utility
by: Sekine, Masashi
Published: (2026)

Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
by: Fießinger, Felix, et al.
Published: (2023)

Periodic portfolio selection with quasi-hyperbolic discounting
by: Hamaguchi, Yushi, et al.
Published: (2024)

Convergence and turnpike properties of linear-quadratic mean field control problems with common noise
by: Bayraktar, Erhan, et al.
Published: (2026)

Market Making with Exogenous Competition
by: Boyce, Robert, et al.
Published: (2024)

On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy
by: Ma, Chutian, et al.
Published: (2025)

Fredholm Approach to Nonlinear Propagator Models
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Mean-Variance Stackelberg Games with Asymmetric Information
by: Huang, Yu-Jui, et al.
Published: (2025)

Forecasting and Manipulating the Forecasts of Others
by: Babichenko, Sam
Published: (2026)

Habit Formation, Labor Supply, and the Dynamics of Retirement and Annuitization
by: Birungi, Criscent, et al.
Published: (2026)

Optimal Bubble Riding: A Mean Field Game with Varying Entry Times
by: Tangpi, Ludovic, et al.
Published: (2022)

Ergodicity and turnpike properties of linear-quadratic mean field control problems
by: Bayraktar, Erhan, et al.
Published: (2025)

A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
by: Kardaras, Constantinos, et al.
Published: (2025)

The Price of Information
by: Jaimungal, Sebastian, et al.
Published: (2024)

Dynamic Weight Optimization for Double Linear Policy: A Stochastic Model Predictive Control Approach
by: Hong, Tan Chin, et al.
Published: (2026)

On the Singular Control of a Diffusion and Its Running Infimum or Supremum
by: Ferrari, Giorgio, et al.
Published: (2025)

Dynamic Programming Principle and Stabilization for Mean-Field Quantum Filtering Systems
by: Chalal, Sofiane, et al.
Published: (2026)

Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
by: Lleo, Sebastien, et al.
Published: (2025)

Mean field social optimization: feedback person-by-person optimality and the dynamic programming equation
by: Huang, Minyi, et al.
Published: (2025)