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Found 6 papers, 0 papers with code
State Constrained Stochastic Optimal Control for Continuous and Hybrid Dynamical Systems Using DFBSDE
We develop a computationally efficient learning-based forward-backward stochastic differential equations (FBSDE) controller for both continuous and hybrid dynamical (HD) systems subject to stochastic noise and state constraints.
A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs
When $\epsilon$ is small, we can implement an NN algorithm based on the expansion of the solution in powers of $\epsilon$.
State Constrained Stochastic Optimal Control Using LSTMs
In this paper, we propose a new methodology for state constrained stochastic optimal control (SOC) problems.
Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options
This article explores the relationship between the SPX and VIX options markets.
Singular Perturbation Expansion for Utility Maximization with Order-$ε$ Quadratic Transaction Costs
We present an expansion for portfolio optimization in the presence of small, instantaneous, quadratic transaction costs.
Consistent Time-Homogeneous Modeling of SPX and VIX Derivatives
This paper's main result is a method for the recovery of a stochastic volatility function by solving an inverse problem where the input is the VIX function given by a market model.
