Showing 2022Show all
2 papers · 1 filter
q-fin.MF2022
Exploratory Control with Tsallis Entropy for Latent Factor Models
Ryan Donnelly, Sebastian Jaimungal
We study optimal control in models with latent factors where the agent controls the distribution over actions, rather than actions themselves, in both discrete and continuous time.…
q-fin.TR2022
Dynamic Inventory Management with Mean-Field Competition
Ryan Donnelly, Zi Li
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as th…