3 citations · 3 across the 4 of their papers we have counts for
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q-fin.MF2020★ 3 cited
Duality for optimal consumption with randomly terminating income
Ashley Davey, Michael Monoyios, Harry Zheng
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that…
q-fin.CP2020
Deep Learning for Constrained Utility Maximisation
Ashley Davey, Harry Zheng
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovia…