8 citations · 9 across the 6 of their papers we have counts for
6 papers
Mean convergence for Banach space-valued random elements indexed in measure spaces
Nguyen Thi Kim Sang, Nguyen Tran Thuan
This article studies mean convergence of Banach space-valued random elements indexed in a family of finite measure spaces. We derive -convergence theorems under (compact) unif…
On the grid-sampling limit SDE
Christian Bender, Nguyen Tran Thuan
In our recent work [3] we introduced the grid-sampling SDE as a proxy for modeling exploration in continuous-time reinforcement learning. In this note, we provide further motivatio…
Entropy-Regularized Mean-Variance Portfolio Optimization with Jumps
Christian Bender, Nguyen Tran Thuan
Motivated by the trade-off between exploitation and exploration in reinforcement learning, we study a continuous-time entropy-regularized mean variance portfolio selection problem…
Explicit Föllmer--Schweizer decomposition and discretization with jump correction in exponential Lévy models
Nguyen Tran Thuan
We investigate two hedging problems in exponential Lévy models. First, we provide an explicit representation for the Föllmer--Schweizer decomposition of European type options under…
Approximation of stochastic integrals with jumps via weighted BMO approach
Nguyen Tran Thuan
This article investigates discrete-time approximations of stochastic integrals driven by semimartingales with jumps via weighted bounded mean oscillation (BMO) approach. This appro…
An approach for metric space with a convex combination operation and applications
Nguyen Tran Thuan
In this paper, we embed metric space endowed with a convex combination operation, named convex combination space, into a Banach space and the embedding preserves the structures of…