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math.OC2023
Relative entropy-regularized robust optimal order execution
Meng Wang, Tai-Ho Wang
The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objectiv…
math.OC2023
Maximum principle for recursive optimal control problem of stochastic delay evolution equations
Guomin Liu, Jian Song, Meng Wang
For a class of stochastic delay evolution equations driven by cylindrical -Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal contr…