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We develop policy gradients methods for stochastic control with exit time in a model-free setting. We propose two types of algorithms for learning either directly the optimal policy or by learning alternately the value function (critic) and the optimal control (actor). The use of randomized...
We study a differential Riccati equation (DRE) with indefinite matrix coefficients, which arises in a wide class of practical problems. We show that the DRE solves an associated control problem, which is key to provide existence and uniqueness of a solution. As an application, we solve two...
In this article, we focus on the pricing of exchange options when the risk-neutral dynamic of log-prices follows either the well-known variance gamma or the recent variance gamma++ process introduced in Gardini et al. (2022. “The Variance Gamma++ Process and Applications to Energy Markets.”...
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