Image de couverture de livre

Monotone 2D Integration Scheme for Mean-CVaR Optimization via Fourier-Trained Transition Kernels

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Dang, Duy-Minh, Zhou, Hao
Format:	Preprint
Publié:	2026
Sujets:	Optimization and Control Computational Finance 65M12, 65T50, 93E20, 60E10
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

A monotone piecewise constant control integration approach for the two-factor uncertain volatility model
par: Dang, Duy-Minh, et autres
Publié: (2024)

Multi-period Mean-Buffered Probability of Exceedance in Defined Contribution Portfolio Optimization
par: Dang, Duy-Minh, et autres
Publié: (2025)

An efficient gradient projection method for stochastic optimal control problem with expected integral state constraint
par: Wang, Qiming, et autres
Publié: (2024)

Optimal error estimates of the stochastic parabolic optimal control problem with integral state constraint
par: Wang, Qiming, et autres
Publié: (2024)

The one-shot problem: Solution to an open question of finite-fuel singular control with discretionary stopping
par: Moriarty, John, et autres
Publié: (2024)

Numerical analysis of American option pricing in a two-asset jump-diffusion model
par: Zhou, Hao, et autres
Publié: (2024)

On the Convergence Analysis of Yau-Yau Nonlinear Filtering Algorithm: from a Probabilistic Perspective
par: Sun, Zeju, et autres
Publié: (2024)

Particle-based algorithm for stochastic optimal control
par: Reich, Sebastian
Publié: (2023)

Model error moment estimation via data assimilation
par: Browne, P. A.
Publié: (2016)

Stochastic Linear-Quadratic Stackelberg Differential Game with Asymmetric Informational Uncertainties: Robust Optimization Approach
par: Xiang, Na, et autres
Publié: (2024)

G-BSDEs with non-Lipschitz coefficients and the corresponding stochastic recursive optimal control problem
par: He, Wei, et autres
Publié: (2025)

Maximum principle for robust utility optimization via Tsallis relative entropy
par: Huang, Xueying, et autres
Publié: (2025)

Mean-Variance Stackelberg Games with Asymmetric Information
par: Huang, Yu-Jui, et autres
Publié: (2025)

Robust Incentive Stackelberg Mean Field Stochastic Linear-Quadratic Differential Game with Model Uncertainty
par: Xiang, Na, et autres
Publié: (2025)

Stochastic Optimal Control Problems for the Cost-Optimal Management of a Standalone Microgrid
par: Takam, Paul Honore, et autres
Publié: (2025)

Neural Network Convergence for Variational Inequalities
par: Zhao, Yun, et autres
Publié: (2025)

The Optimal Control Problem of Stochastic Differential System with Extended Mixed Delays and Applications
par: Li, Xinpo, et autres
Publié: (2026)

Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
par: Negyesi, Balint, et autres
Publié: (2024)

Analysis of the Ensemble Kalman--Bucy Filter for correlated observation noise
par: Ertel, Sebastian, et autres
Publié: (2022)

On the mean field theory of Ensemble Kalman filters for SPDEs
par: Ertel, Sebastian
Publié: (2023)

An Improved Yau-Yau Algorithm for High Dimensional Nonlinear Filtering Problems
par: Yau, Shing-Tung, et autres
Publié: (2025)

Duality and DeepMartingale for High-Dimensional Optimal Switching: Computable Upper Bounds and Approximation-Expressivity Guarantees
par: Ye, Junyan, et autres
Publié: (2026)

An irreversible investment problem with a learning-by-doing feature
par: Ekström, Erik, et autres
Publié: (2024)

Filtering and 1/3 Power Law for Optimal Time Discretisation in Numerical Integration of Stochastic Differential Equations
par: Vladimirov, Igor G.
Publié: (2025)

A deep solver for BSDEs with jumps
par: Andersson, Kristoffer, et autres
Publié: (2022)

A stochastic Galerkin method for optimal Dirichlet boundary control problems with uncertain data
par: Winkler, Max, et autres
Publié: (2025)

Deep Quadratic Hedging
par: Gnoatto, Alessandro, et autres
Publié: (2022)

On the Singular Control of a Diffusion and Its Running Infimum or Supremum
par: Ferrari, Giorgio, et autres
Publié: (2025)

A model of strategic sustainable investment
par: De Angelis, Tiziano, et autres
Publié: (2024)

Integral equations for the optimal boundary surface of a mean-field game of capacity expansion
par: De Angelis, Tiziano, et autres
Publié: (2026)

Sequential Markov Chain Monte Carlo for Lagrangian Data Assimilation with Applications to Unknown Data Locations
par: Ruzayqat, Hamza, et autres
Publié: (2023)

Globally Solving Unbalanced Optimal Transport and Density Control for Gaussian Distributions
par: Nakashima, Haruto, et autres
Publié: (2026)

Existence of optimal controls for stochastic Volterra equations
par: Cárdenas, Andrés, et autres
Publié: (2022)

Three-Level Multi-Leader-Follower Incentive Stackelberg Differential Game with $H_\infty$ Constraint
par: Xiang, Na, et autres
Publié: (2024)

Extended mean field control: a global numerical solution via finite-dimensional approximation
par: Picarelli, Athena, et autres
Publié: (2025)

A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
par: Fu, Guanxing, et autres
Publié: (2024)

A New Compound Poisson Process and Its Fractional Versions
par: Vellaisamy, Palaniappan, et autres
Publié: (2024)

Closed-loop equilibria for Stackelberg games: a story about stochastic targets
par: Hernández, Camilo, et autres
Publié: (2024)

Stochastic algebraic Riccati equations are almost as easy as deterministic ones theoretically
par: Guo, Zhen-Chen, et autres
Publié: (2022)

Recursive Optimal Stopping with Poisson Stopping Constraints
par: Liang, Gechun, et autres
Publié: (2024)