Results 151 to 160 of about 2,460,837 (296)
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
On constraint qualifications with generalized convexity and optimality conditions [PDF]
This paper deals with a multiobjective programming problem involving both equality constraints in infinite dimensional spaces. It is shown that some constraint qualifications together with a condition of interior points are sufficient conditions for the ...
Do Van Luu, Manh-Hung Nguyen
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Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley +1 more source
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley +1 more source
Copie-Buch von Geh.-Rath. Professor Dr. phil. R. Lipschitz Bonn. No. 1
, 1881 Enthält 38 Briefdurchschläge von Briefen Lipschitz' an verschiedene Adressaten, auf Durchschlagpapier. Gezählte Blätter 1-102, 146-147. Alphabetisches Register (unvollständig) Teilweise schlecht, teilweise nicht lesbar.Nachträglich gebunden, vermutlich ...
Lipschitz, Rudolf
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Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley +1 more source
About Brezis-Merle Problem with Lipschitz condition.
, 2020 We give blow-up analysis for a Brezis-Merle's problem on the boundary. Also we give a proof of a compactness result with Lipschitz condition and weaker assumption on the regularity of the domain (smooth domain or $ C^{2,\alpha} $ domain)
Bahoura, Samy Skander
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Mathematical Finance, EarlyView.ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang +2 more
wiley +1 more source
, 1884 Adressat mutmaßlich ermittelt durch Inhalt des Briefes von Rudolf Lipschitz an Hermann Bonitz vom 23.12.1884.R ...
Lipschitz, Rudolf
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