2 papers
math.OC2026
Optimal Consumption and Retirement Time under Shortfall Risk Measure
Lijun Bo, Yijie Huang, Tingting Zhang
This paper studies the optimal portfolio, consumption, and endogenous early retirement problem within a benchmark tracking framework by incorporating a new relative performance eva…
math.OC2026
Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy
Lijun Bo, Yijie Huang, Xiang Yu +1
This paper studies the continuous-time reinforcement learning in jump-diffusion models by featuring the q-learning (the continuous-time counterpart of Q-learning) under Tsallis ent…