Results 71 to 80 of about 8,689 (223)

Reinforcement learning with dynamic convex risk measures

Mathematical Finance, Volume 34, Issue 2, Page 557-587, April 2024.
Abstract We develop an approach for solving time‐consistent risk‐sensitive stochastic optimization problems using model‐free reinforcement learning (RL). Specifically, we assume agents assess the risk of a sequence of random variables using dynamic convex risk measures. We employ a time‐consistent dynamic programming principle to determine the value of
Anthony Coache, Sebastian Jaimungal
wiley   +1 more source

Finite-Series Solutions of Hybrid PDE Systems for Conditional Moments of Regime-Switching Extended CEV Processes with Applications in Finance

Mathematics
This paper develops finite-series solutions of a hybrid system of interconnected partial differential equations for computing the conditional moments of regime-switching extended constant elasticity of variance processes with generalized drift and ...
Parun Juntanon, Sanae Rujivan, Boualem Djehiche   +2 more
doaj   +1 more source

Semi-linear Degenerate Backward Stochastic Partial Differential Equations and Associated Forward Backward Stochastic Differential Equations [PDF]

, 2011
In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential equations (BSPDEs in short) under general settings without technical assumptions on the coefficients.
Du, Kai, Zhang, Qi
core  

Designing universal causal deep learning models: The geometric (Hyper)transformer

Mathematical Finance, Volume 34, Issue 2, Page 671-735, April 2024.
Abstract Several problems in stochastic analysis are defined through their geometry, and preserving that geometric structure is essential to generating meaningful predictions. Nevertheless, how to design principled deep learning (DL) models capable of encoding these geometric structures remains largely unknown.
Beatrice Acciaio, Anastasis Kratsios, Gudmund Pammer   +2 more
wiley   +1 more source

Mean-Variance Investment and Per-Loss Reinsurance Strategies in Contagion Financial Markets

Axioms
This paper investigates the optimal investment and reinsurance problem for insurers in a financial market with contagion risk. The prices of risky assets are assumed to follow a jump–diffusion model, where the jump component is driven by a ...
Xiuxian Chen, Zhongyang Sun
doaj   +1 more source

Regime-Switching Fischer–Margrabe Options Pricing with Liquidity Risk and Stochastic Volatility

Mathematics
This article presents a model for pricing an exchange option considering stochastic volatility and liquidity risk. The impact of liquidity risk on an asset price is considered by utilizing a liquidity discount process that is influenced by both market ...
Priya Mittal, Dharmaraja Selvamuthu, Guglielmo D’Amico   +2 more
doaj   +1 more source

Feynman-Kac formula for perturbations of order $\leq 1$ and noncommutative geometry [PDF]

, 2020
Sebastian Boldt, Batu Güneysu
openalex   +1 more source

Diffusion-mediated surface reactions, Brownian functionals and the Feynman-Kac formula [PDF]

, 2022
Paul C. Bressloff
openalex   +1 more source

Feynman-Kac formula under a finite entropy condition [PDF]

, 2022
C. Léonard
openalex   +1 more source

An Operator Bound Related to Feynman-Kac Formulae [PDF]

Proceedings of the American Mathematical Society, 1994
Those Fourier matrix multiplier operators which are convolutions with respect to a matrix valued measure are characterised in terms of an operator bound. As an application, the finite-dimensional distributions of the process associated with Dirac equation are shown to be unbounded on the algebra of cylinder sets.
openaire   +2 more sources