4 papers · 1 filter
Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method
Yuchao Dong, Harry Zheng
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of di…
Convergence of Proximal Policy Gradient Method for Problems with Control Dependent Diffusion Coefficients
Ashley Davey, Harry Zheng
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process…
Mean field games of major-minor agents with recursive functionals
Jianhui Huang, Wenqiang Li, Harry Zheng
This paper investigates a novel class of mean field games involving a major agent and numerous minor agents, where the agents' functionals are recursive with nonlinear backward sto…
Multistage Robust Average Randomized Spectral Risk Optimization
Qiong Wu, Huifu Xu, Harry Zheng
In this paper, we revisit the multistage spectral risk minimization models proposed by Philpott et al.~\cite{PdF13} and Guigues and Römisch \cite{GuR12} but with some new focuses.…