3 citations · 9 across the 18 of their papers we have counts for
6 papers · 1 filter
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method
Na Li, Xun Li, Jing Peng +1
This paper applies a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where drift and diffusion terms in the dynam…
State-Dependent Temperature Control for Langevin Diffusions
Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou
We study the temperature control problem for Langevin diffusions in the context of non-convex optimization. The classical optimal control of such a problem is of the bang-bang type…
A free boundary problem arising from a multi-state regime-switching stock trading model
Chonghu Guan, Jing Peng, Zuo Quan Xu
In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary prob…
Minimal Quantile Functions Subject to Stochastic Dominance Constraints
Xiangyu Wang, Jianming Xia, Zuo Quan Xu +1
We consider a problem of finding an SSD (second-order stochastic dominance)-minimal quantile function subject to the mixture of FSD (first-order stochastic dominance) and SSD const…
Optimal Investment, Heterogeneous Consumption and Best Time for Retirement
Hyun Jin Jang, Zuo Quan Xu, Harry Zheng
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The util…
Dynamic optimal reinsurance and dividend-payout in finite time horizon
Chonghu Guan, Zuo Quan Xu, Rui Zhou
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected…