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Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
We validate the efficacy of the DPM through numerical tests conducted on a high-dimensional optimal stopping model in the area of American option pricing.
On the Time-Inconsistent Deterministic Linear-Quadratic Control
By studying the solvability of the Riccati equation, we show the existence and uniqueness of the linear equilibrium for the time-inconsistent LQ problem.
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