Showing math.OCShow all
2 papers · 1 filter
math.OC2026
A Two-fold Randomization Framework for Impulse Control Problems
Haoyang Cao, Yuchao Dong, Zhouhao Yang
We propose and analyze a randomization scheme for a general class of impulse control problems. The solution to this randomized problem is characterized as the fixed point of a comp…
math.OC2024
Inference of Utilities and Time Preference in Sequential Decision-Making
Haoyang Cao, Zhengqi Wu, Renyuan Xu
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investme…