most citedOptimal Singular Dividend Problem under the Sparre Anderson Model

1 citations · 2 across the 4 of their papers we have counts for

collaborators
Showing q-fin.MFShow all

1 paper · 1 filter

q-fin.MF2025★ 1 cited

A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs

Dong Yan, Nanyi Zhang, Junyi Guo

In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized…