A PINN-based policy iteration scheme is proposed for a two-dimensional HJB equation combining proportional and stochastic-liquidity transaction costs, then tested on power, log, and exponential utilities.
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A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs
A PINN-based policy iteration scheme is proposed for a two-dimensional HJB equation combining proportional and stochastic-liquidity transaction costs, then tested on power, log, and exponential utilities.