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Found 4 papers, 1 papers with code
A Variational Analysis Approach to Solving the Merton Problem
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis.
Extensions of the Deep Galerkin Method
We extend the DGM algorithm to solve for the value function and the optimal control \simultaneously by characterizing both as deep neural networks.
Active and Passive Portfolio Management with Latent Factors
The solution in this case requires a filtering step to obtain posterior probabilities for the state of the Markov chain from asset price information, which are subsequently used to find the optimal allocation.
Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning
In this work we apply the Deep Galerkin Method (DGM) described in Sirignano and Spiliopoulos (2018) to solve a number of partial differential equations that arise in quantitative finance applications including option pricing, optimal execution, mean field games, etc.
