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Regularity and Stability of Feedback Relaxed Controls
3 references·0 citing·18 second hopsampled
Regularity and Stability of Feedback Relaxed Controls (2021)Regularity and Stability of Feedback Rela…Continuous‐time mean–variance portfolio selection: A reinforcement learning framework (2020)Continuous‐time mean–variance…All adapted topologies are equal (2020)All adapted topologies are eq…Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)Numerical methods for control…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Financial Modelling with Jump Processes (2003)Applied Stochastic Control of Jump Diffusions (2005)A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation (2007)A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance (2008)On the uniqueness of solutions of stochastic differential equations (1971)A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)Estimating processes in adapted Wasserstein distance (2022)Stability of martingale optimal transport and weak optimal transport (2022)Continuity of the martingale optimal transport problem on the real line (2023)PORTFOLIO SELECTION* (1952)The Econometrics of Financial Markets (1997)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Learning Equilibrium Mean-Variance Strategy (2020)Recent Advances in Reinforcement Learning in Finance (2021)Deep reinforcement learning for portfolio selection (2024)
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References

  • 2007Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance180 cited
  • 2020Continuous‐time mean–variance portfolio selection: A reinforcement learning framework130 cited
  • 2020All adapted topologies are equal53 cited

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