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math.OC2024
Stochastic Control with Signatures
P. Bank, C. Bayer, P. P. Hager +2
This paper proposes to parameterize open loop controls in stochastic optimal control problems via suitable classes of functionals depending on the driver's path signature, a concep…
q-fin.MF2024
A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
Guanxing Fu, Paul P. Hager, Ulrich Horst
We consider both -player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially…