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math.OC2025
A non-zero-sum game with reinforcement learning under mean-variance framework
Junyi Guo, Xia Han, Hao Wang +1
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a finan…
math.OC2018
Optimal Singular Dividend Problem under the Sparre Anderson Model
Linlin Tian, Lihua Bai, Junyi Guo
Consider an insurance company for which the reserve process follows the Sparre Anderson model. In this paper, we study the optimal dividend problem for such a company as Bai, Ma an…