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cs.LG2026
Continuous-Time Reinforcement Learning for Controlled Hawkes Jump-Diffusions
Tomasz R. Bielecki, Thibaut Mastrolia, Haoze Yan
We study stochastic control of multivariate Hawkes-driven stochastic differential equations with machine learning algorithms in a non-Markovian setting. Due to the path dependence…
q-fin.PM2026
Robo-Advising in Motion: A Model Predictive Control Approach
Tomasz R. Bielecki, Igor Cialenco
Robo-advisors (RAs) are automated portfolio management systems that complement traditional financial advisors by offering lower fees and smaller initial investment requirements. Wh…