MDP algorithms for portfolio optimization problems in pure jump markets
DOI10.1007/S00780-009-0093-0zbMATH Open1199.91169OpenAlexW2024680294MaRDI QIDQ964693FDOQ964693
Authors: Nicole Bäuerle, Ulrich Rieder 
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032916
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approximation algorithmsMarkov decision processportfolio optimizationpiecewise deterministic Markov processesoperator fixed points
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Cited In (17)
- Optimal control of a class of piecewise deterministic processes
- Markov decision processes under model uncertainty
- On optimal terminal wealth problems with random trading times and drawdown constraints
- Algorithmic trading, stochastic control, and mutually exciting processes
- Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
- Optimal liquidation problem in illiquid markets
- Optimal control of semi-Markov processes with a backward stochastic differential equations approach
- Liquidation in limit order books with controlled intensity
- Optimal control of infinite-dimensional piecewise deterministic Markov processes and application to the control of neuronal dynamics via optogenetics
- Optimal oil-owner behavior in piecewise deterministic models
- Optimal market making under partial information with general intensities
- A Fokker-Planck control framework for stochastic systems
- On risk-sensitive piecewise deterministic Markov decision processes
- On optimal investment in a reinsurance context with a point process market model
- Time-coherent risk measures for continuous-time Markov chains
- Pandemic portfolio choice
- Optimal liquidation under partial information with price impact
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