3 papers
q-fin.MF2026
Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences
Kexin Chen, Kyunghyun Park, Hoi Ying Wong
In a continuous-time economy, this paper formulates the Epstein-Zin preference for discounted dividends received by an investor as an Epstein-Zin singular control utility. We intro…
math.OC2026
Robust Exploratory Stopping under Ambiguity in Reinforcement Learning
Junyan Ye, Hoi Ying Wong, Kyunghyun Park
We propose and analyze a continuous-time robust reinforcement learning framework for optimal stopping under ambiguity. In this framework, an agent chooses a robust exploratory stop…
math.OC2026
DeepMartingale: Duality of the Optimal Stopping Problem with Expressivity and High-Dimensional Hedging
Junyan Ye, Hoi Ying Wong
We propose \textit{DeepMartingale}, a deep-learning framework for the dual formulation of discrete-monitoring optimal stopping problems under continuous-time models. Leveraging a m…