7 papers
Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method
Yuchao Dong, Harry Zheng
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of di…
S-shaped Utility Maximization with VaR Constraint and Partial Information
Dongmei Zhu, Ashley Davey, Harry Zheng
We study S-shaped utility maximisation with VaR constraint and unobservable drift coefficient. Using the Bayesian filter, the concavification principle, and the change of measure,…
Convergence of Proximal Policy Gradient Method for Problems with Control Dependent Diffusion Coefficients
Ashley Davey, Harry Zheng
We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process…
Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets
Zixin Feng, Dejian Tian, Harry Zheng
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is…
Mean field games of major-minor agents with recursive functionals
Jianhui Huang, Wenqiang Li, Harry Zheng
This paper investigates a novel class of mean field games involving a major agent and numerous minor agents, where the agents' functionals are recursive with nonlinear backward sto…
Deep Learning Methods for S Shaped Utility Maximisation with a Random Reference Point
Ashley Davey, Harry Zheng
We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We de…