25 citations · 28 across the 4 of their papers we have counts for
5 papers
Utility Maximisation with Model-independent Constraints
Alexander M. G. Cox, Daniel Hernandez-Hernandez
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one pr…
A measure-valued HJB perspective on Bayesian optimal adaptive control
Alexander M. G. Cox, Sigrid Källblad, Chaorui Wang
We consider a Bayesian adaptive optimal stochastic control problem where a hidden static signal has a non-separable influence on the drift of a noisy observation. Being allowed to…
Linear and uniform in time bound for the binary branching model with Moran type interactions
A M G Cox, E Horton, D Villemonais
In this note, we recall the definition of the binary branching model with Moran type interactions (BBMMI) introduced in [8]. In this interacting particle system, particles evolve,…
Using Echo State Networks to Approximate Value Functions for Control
Allen G. Hart, Kevin R. Olding, A. M. G. Cox +2
An Echo State Network (ESN) is a type of single-layer recurrent neural network with randomly-chosen internal weights and a trainable output layer. We prove under mild conditions th…
Embedding laws in diffusions by functions of time
A. M. G. Cox, G. Peskir
We present a constructive probabilistic proof of the fact that if is standard Brownian motion started at , and is a given probability measure on $\mathbb{R…