Continuity of utility maximization under weak convergence
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Publication:2024121
DOI10.1007/s11579-020-00274-xzbMath1461.91288arXiv1811.01420OpenAlexW3123274248MaRDI QIDQ2024121
Jia Guo, Erhan Bayraktar, Yan Dolinsky
Publication date: 3 May 2021
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.01420
Related Items (9)
Reinforcement Learning for Linear-Convex Models with Jumps via Stability Analysis of Feedback Controls ⋮ Convergence of optimal expected utility for a sequence of binomial models ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Robustness to Approximations and Model Learning in MDPs and POMDPs ⋮ Unnamed Item ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ Regularity and Stability of Feedback Relaxed Controls ⋮ Limit theorems and ergodicity for general bootstrap random walks
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