Reinforcement learning and stochastic optimisation (Q2072112): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-021-00467-2
+Normal rank
@@ Property / OpenAlex ID @@
+W4200081317
@@ Property / OpenAlex ID: W4200081317 / rank @@
+Normal rank
@@ Property / cites work @@
+Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Systemic Risk in Interbanking Networks
@@ Property / cites work: Systemic Risk in Interbanking Networks / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach
+Normal rank
@@ Property / cites work @@
+Deep hedging
@@ Property / cites work: Deep hedging / rank @@
+Normal rank
@@ Property / cites work @@
+The Master Equation and the Convergence Problem in Mean Field Games
+Normal rank
@@ Property / cites work @@
+Mean field game of controls and an application to trade crowding
+Normal rank
@@ Property / cites work @@
+Probabilistic Theory of Mean Field Games with Applications I
+Normal rank
@@ Property / cites work @@
+Probabilistic Theory of Mean Field Games with Applications II
+Normal rank
@@ Property / cites work @@
+Mean field games and systemic risk
@@ Property / cites work: Mean field games and systemic risk / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case
+Normal rank
@@ Property / cites work @@
+Incorporating order-flow into optimal execution
@@ Property / cites work: Incorporating order-flow into optimal execution / rank @@
+Normal rank
@@ Property / cites work @@
+Mean‐field games with differing beliefs for algorithmic trading
+Normal rank
@@ Property / cites work @@
+Trading algorithms with learning in latent alpha models
+Normal rank
@@ Property / cites work @@
+Deep Neural Networks, Generic Universal Interpolation, and Controlled ODEs
+Normal rank
@@ Property / cites work @@
+Approximation by superpositions of a sigmoidal function
+Normal rank
@@ Property / cites work @@
+Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
+Normal rank
@@ Property / cites work @@
+Neural networks-based backward scheme for fully nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis
+Normal rank
@@ Property / cites work @@
+Convergence of the deep BSDE method for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+Q5149257
@@ Property / cites work: Q5149257 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilayer feedforward networks are universal approximators
+Normal rank
@@ Property / cites work @@
+.1162/1532443041827880
@@ Property / cites work: 10.1162/1532443041827880 / rank @@
+Normal rank
@@ Property / cites work @@
+Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle
+Normal rank
@@ Property / cites work @@
+Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
+Normal rank
@@ Property / cites work @@
+Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
+Normal rank
@@ Property / cites work @@
+Mean-Field Game Strategies for Optimal Execution
@@ Property / cites work: Mean-Field Game Strategies for Optimal Execution / rank @@
+Normal rank
@@ Property / cites work @@
+Deep backward schemes for high-dimensional nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Arbitrage and equilibrium in economies with infinitely many commodities
+Normal rank
@@ Property / cites work @@
+Mean field games. I: The stationary case
@@ Property / cites work: Mean field games. I: The stationary case / rank @@
+Normal rank
@@ Property / cites work @@
+Mean field games. II: Finite horizon and optimal control
+Normal rank
@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+Incorporating signals into optimal trading
@@ Property / cites work: Incorporating signals into optimal trading / rank @@
+Normal rank
@@ Property / cites work @@
+A mean field view of the landscape of two-layer neural networks
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Explaining Variational Approximations
@@ Property / cites work: Explaining Variational Approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+Some methods of speeding up the convergence of iteration methods
+Normal rank
@@ Property / cites work @@
+Q4315289
@@ Property / cites work: Q4315289 / rank @@
+Normal rank
@@ Property / cites work @@
+Universal features of price formation in financial markets: perspectives from deep learning
+Normal rank
@@ Property / cites work @@
+DGM: a deep learning algorithm for solving partial differential equations
+Normal rank
@@ Property / cites work @@
+Mean Field Analysis of Neural Networks: A Law of Large Numbers
+Normal rank
@@ Property / cites work @@
+Q4626283
@@ Property / cites work: Q4626283 / rank @@
+Normal rank
@@ Property / cites work @@
+Asynchronous stochastic approximation and Q-learning
+Normal rank
@@ Property / cites work @@
+The Future of Data Analysis
@@ Property / cites work: The Future of Data Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q5149240
@@ Property / cites work: Q5149240 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous‐time mean–variance portfolio selection: A reinforcement learning framework
+Normal rank
@@ Property / cites work @@
+\({\mathcal Q}\)-learning
@@ Property / cites work: \({\mathcal Q}\)-learning / rank @@
+Normal rank
@@ Property / cites work @@
+DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
+Normal rank