2 papers
q-fin.MF2025
A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs
Dong Yan, Nanyi Zhang, Junyi Guo
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized…
math.OC2025
Adversarial Reinforcement Learning: A Duality-Based Approach To Solving Optimal Control Problems
Nan Chen, Mengzhou Liu, Xiaoyan Wang +1
We propose an adversarial deep reinforcement learning (ADRL) algorithm for high-dimensional stochastic control problems. Inspired by the information relaxation duality, ADRL reform…