Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
Fuente:
arXiv
Saved in:
| Main Authors: | Gao, Zhongqin, Chen, Ping, Li, Xun, Lv, Yan, Zhang, Wenhao |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Reinforcement Learning for Dividend Optimization in Partially Observed Regime-Switching Diffusion Model
by: Gao, Zhongqin, et al.
Published: (2026)
by: Gao, Zhongqin, et al.
Published: (2026)
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)
Optimal Dividend Control with Transaction Costs under Exponential Parisian Ruin for a Refracted Levy Risk Model
by: Gao, Zhongqin, et al.
Published: (2025)
by: Gao, Zhongqin, et al.
Published: (2025)
An optimal level of Stubbornness to win a soccer match
by: Pramanik, Paramahansa
Published: (2025)
by: Pramanik, Paramahansa
Published: (2025)
Path integral control under McKean-Vlasov dynamics
by: Bennett, Timothy
Published: (2024)
by: Bennett, Timothy
Published: (2024)
Stability of long run functionals with respect to stationary Markov controls
by: Stettner, Lukasz
Published: (2024)
by: Stettner, Lukasz
Published: (2024)
A simple approach to the Løkka-Zervos dichotomy for absolutely continuous dividend strategies
by: Mastromonaco, Tommy, et al.
Published: (2026)
by: Mastromonaco, Tommy, et al.
Published: (2026)
Formalising the intentional stance 2: a coinductive approach
by: McGregor, Simon, et al.
Published: (2025)
by: McGregor, Simon, et al.
Published: (2025)
Formalising the intentional stance 1: attributing goals and beliefs to stochastic processes
by: McGregor, Simon, et al.
Published: (2024)
by: McGregor, Simon, et al.
Published: (2024)
De Finetti's Control for Refracted Skew Brownian Motion
by: Gao, Zhongqin, et al.
Published: (2024)
by: Gao, Zhongqin, et al.
Published: (2024)
Open-loop and closed-loop solvabilities for zero-sum stochastic linear quadratic differential games of Markovian regime switching system
by: Wu, Fan, et al.
Published: (2024)
by: Wu, Fan, et al.
Published: (2024)
Stochastic linear-quadratic differential game with Markovian jumps in an infinite horizon
by: Wu, Fan, et al.
Published: (2024)
by: Wu, Fan, et al.
Published: (2024)
A Pontryagin Maximum Principle on the Belief Space for Continuous-Time Optimal Control with Discrete Observations
by: Bayer, Christian, et al.
Published: (2025)
by: Bayer, Christian, et al.
Published: (2025)
Markov control of continuous time Markov processes with long run functionals by time discretization
by: Stettner, Lukasz
Published: (2025)
by: Stettner, Lukasz
Published: (2025)
Optimal control of Volterra integral diffusions and application to contract theory
by: Possamaï, Dylan, et al.
Published: (2025)
by: Possamaï, Dylan, et al.
Published: (2025)
The Ergodic Linear-Quadratic Optimal Control Problems for Stochastic Mean-Field Systems with Periodic Coefficients
by: Wu, Jiacheng, et al.
Published: (2025)
by: Wu, Jiacheng, et al.
Published: (2025)
Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases
by: Mei, Hongwei, et al.
Published: (2025)
by: Mei, Hongwei, et al.
Published: (2025)
Maximum Principles for Partially Observed Controls of Forward SPDEs and Backward SDEs with Jumps
by: Qian, Hongjiang, et al.
Published: (2026)
by: Qian, Hongjiang, et al.
Published: (2026)
Potential Games on Unimodular Random Graphs
by: Neuman, Eyal, et al.
Published: (2026)
by: Neuman, Eyal, et al.
Published: (2026)
Average Cost Optimality of Partially Observed MDPS: Contraction of Non-linear Filters, Optimal Solutions and Approximations
by: Demirci, Yunus Emre, et al.
Published: (2023)
by: Demirci, Yunus Emre, et al.
Published: (2023)
An irreversible investment problem with a learning-by-doing feature
by: Ekström, Erik, et al.
Published: (2024)
by: Ekström, Erik, et al.
Published: (2024)
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)
Reinforcement Learning Method for Zero-Sum Linear-Quadratic Stochastic Differential Games in Infinite Horizons
by: Wang, Yiyuan
Published: (2026)
by: Wang, Yiyuan
Published: (2026)
Dynamic Weight Optimization for Double Linear Policy: A Stochastic Model Predictive Control Approach
by: Hong, Tan Chin, et al.
Published: (2026)
by: Hong, Tan Chin, et al.
Published: (2026)
Optimal two-parameter portfolio management strategy with transaction costs
by: Ma, Chutian, et al.
Published: (2024)
by: Ma, Chutian, et al.
Published: (2024)
Stochastic Linear-Quadratic Optimal Control Problems with Markovian Regime Switching and $H_\infty$ Constraint under Partial Information
by: Xiang, Na, et al.
Published: (2026)
by: Xiang, Na, et al.
Published: (2026)
Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases
by: Mei, Hongwei, et al.
Published: (2025)
by: Mei, Hongwei, et al.
Published: (2025)
Superhedging under Proportional Transaction Costs in Continuous Time
by: Almuzaini, Atiqah, et al.
Published: (2025)
by: Almuzaini, Atiqah, et al.
Published: (2025)
Discrete-Time Approximations of Controlled Diffusions with Infinite Horizon Discounted and Average Cost
by: Pradhan, Somnath, et al.
Published: (2025)
by: Pradhan, Somnath, et al.
Published: (2025)
Reflected stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
by: Liu, Lu, et al.
Published: (2025)
by: Liu, Lu, et al.
Published: (2025)
Optimal Feedback Control in Social Networks in a McKean-Vlasov-Friedkin-Johnsen System
by: Pramanik, Paramahansa
Published: (2025)
by: Pramanik, Paramahansa
Published: (2025)
Stochastic Analysis of Overlapping Generations Models Under Incomplete Markets
by: Chen, Cangxiong, et al.
Published: (2025)
by: Chen, Cangxiong, et al.
Published: (2025)
Optimal portfolios with anticipating information on the stochastic interest rate
by: D'Auria, Bernardo, et al.
Published: (2017)
by: D'Auria, Bernardo, et al.
Published: (2017)
Hiring and firing -- a signaling game
by: Ekström, Erik, et al.
Published: (2024)
by: Ekström, Erik, et al.
Published: (2024)
Optimal Comfortable Consumption under Epstein-Zin utility
by: Tian, Dejian, et al.
Published: (2025)
by: Tian, Dejian, et al.
Published: (2025)
Impact Of Income And Leisure On Optimal Portfolio, Consumption, Retirement Decisions Under Exponential Utility
by: Gang, Tae Ung, et al.
Published: (2024)
by: Gang, Tae Ung, et al.
Published: (2024)
Forecasting and Manipulating the Forecasts of Others
by: Babichenko, Sam
Published: (2026)
by: Babichenko, Sam
Published: (2026)
Optimal drug application on stochastic cancer growth: an approach through path integral control
by: Farinacci, Noelymar
Published: (2024)
by: Farinacci, Noelymar
Published: (2024)
Value existence for zero-sum ergodic stochastic differential games
by: Li, Juan, et al.
Published: (2021)
by: Li, Juan, et al.
Published: (2021)
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
by: Liang, Gechun, et al.
Published: (2020)
by: Liang, Gechun, et al.
Published: (2020)
Similar Items
-
Reinforcement Learning for Dividend Optimization in Partially Observed Regime-Switching Diffusion Model
by: Gao, Zhongqin, et al.
Published: (2026) -
Asset-liability management with Epstein-Zin utility under stochastic interest rate and unknown market price of risk
by: Kuissi-Kamdem, Wilfried
Published: (2025) -
Optimal Dividend Control with Transaction Costs under Exponential Parisian Ruin for a Refracted Levy Risk Model
by: Gao, Zhongqin, et al.
Published: (2025) -
An optimal level of Stubbornness to win a soccer match
by: Pramanik, Paramahansa
Published: (2025) -
Path integral control under McKean-Vlasov dynamics
by: Bennett, Timothy
Published: (2024)