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math.OC2026
Scalable Bi-causal Optimal Transport via KL Relaxation and Policy Gradients
Haoyang Cao, Jesse Hoekstra, Renyuan Xu +2
Bi-causal optimal transport (OT) is a natural framework for comparing and coupling stochastic processes under nonanticipative information constraints, with important applications i…
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…