10 papers
Dynamic Pricing for a Two-Sided Data Market Platform
Lijun Bo, Dongfang Yang, Yijie Huang
We study a continuous-time dynamic pricing problem for a data platform that purchases raw data from privacy-sensitive providers and sells data products to consumers. The platform c…
Optimal Consumption and Retirement Time under Shortfall Risk Measure
Lijun Bo, Yijie Huang, Tingting Zhang
This paper studies the optimal portfolio, consumption, and endogenous early retirement problem within a benchmark tracking framework by incorporating a new relative performance eva…
Deterministic Policy Gradient for Learning Equilibrium in Time-Inconsistent Control Problems
Xin Guo, Yijie Huang, Xiang Yu
In this paper, we develop a continuous-time model-free reinforcement learning algorithm to learn deterministic equilibrium policies in general time-inconsistent control problems. U…
Mean Field Game of Optimal Tracking Portfolio
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark…
Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy
Lijun Bo, Yijie Huang, Xiang Yu +1
This paper studies the continuous-time reinforcement learning in jump-diffusion models by featuring the q-learning (the continuous-time counterpart of Q-learning) under Tsallis ent…
Continuous-time reinforcement learning for optimal switching over multiple regimes
Yijie Huang, Mengge Li, Xiang Yu +1
This paper studies the continuous-time reinforcement learning (RL) for optimal switching problems across multiple regimes. We consider a type of exploratory formulation under entro…