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Found 7 papers, 1 papers with code
Identifying the Reward Function by Anchor Actions
Moreover, the method allows for the state transitions to be stochastic.
Reinforcement Learning Paycheck Optimization for Multivariate Financial Goals
We study paycheck optimization, which examines how to allocate income in order to achieve several competing financial goals.
Formation of Optimal Interbank Lending Networks under Liquidity Shocks
The value of interbank loans jumps when banks suffer liquidity shortages, which can be caused by the arrival of large enough liquidity shocks.
Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors.
A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption
As a result of the state constraint the optimal time of absorption becomes part of the equilibrium.
Power mixture forward performance processes
We consider the forward investment problem in market models where the stock prices are continuous semimartingales adapted to a Brownian filtration.
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions
We name our method PQR, as it sequentially estimates the Policy, the $Q$-function, and the Reward function by deep learning.
