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20072026
most citedA Convex Stochastic Optimization Problem Arising from Portfolio Selection

118 citations · 344 across the 34 of their papers we have counts for

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2 papers · 1 filter

math.OC2024

Competitive optimal portfolio selection in a non-Markovian financial market: A backward stochastic differential equation study

Guangchen Wang, Zuo Quan Xu, Panpan Zhang

This paper studies a competitive optimal portfolio selection problem in a model where the interest rate, the appreciation rate and volatility rate of the risky asset are all stocha…

math.OC2024★ 1 cited

Learning to Optimally Stop Diffusion Processes, with Financial Applications

Min Dai, Yu Sun, Zuo Quan Xu +1

We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), an…