3 papers
q-fin.PM2022
Relative growth rate optimization under behavioral criterion
Jing Peng, Pengyu Wei, Zuo Quan Xu
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability…
math.OC2020
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method
Na Li, Xun Li, Jing Peng +1
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynam…
math.AP2020
A free boundary problem arising from a multi-state regime-switching stock trading model
Chonghu Guan, Jing Peng, Zuo Quan Xu
In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary prob…