Search Results for author:
Found 4 papers, 0 papers with code
Convergence analysis of controlled particle systems arising in deep learning: from finite to infinite sample size
Using these uniform regularity results, we show the convergence of the minima of objective functionals and optimal parameters of the neural SDEs as the sample size N tends to infinity.
Optimal Tracking Portfolio with A Ratcheting Capital Benchmark
We first transform the original problem with floor constraints into an unconstrained control problem, however, under a running maximum cost.
Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk.
Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk
The verification theorem can be concluded with the aid of our BSDE results, which in turn yields the uniqueness of the solution to the BSDE.
