3 citations · 3 across the 4 of their papers we have counts for
Showing 2025Show all
2 papers · 1 filter
q-fin.MF2025
S-shaped Utility Maximization with VaR Constraint and Partial Information
Dongmei Zhu, Ashley Davey, Harry Zheng
We study S-shaped utility maximisation with VaR constraint and unobservable drift coefficient. Using the Bayesian filter, the concavification principle, and the change of measure,…
math.OC2025
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…