Entropy-regularized relaxed controls yield a truncated Gaussian optimal policy and a solvable nonlinear parabolic PDE for constrained portfolio optimization under stochastic volatility, enabling an implementable RL algorithm via martingale methods.
Simulation of square-root processes made simple: applications to the Heston model
2 Pith papers cite this work. Polarity classification is still indexing.
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2026 2verdicts
UNVERDICTED 2representative citing papers
Diffusion bridges fitted to Ayu fish counts show daily migration is less randomized and intermittent than intraday migration via distinct Feller indices.
citing papers explorer
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Optimal Investment and Entropy-Regularized Learning Under Stochastic Volatility Models with Portfolio Constraints
Entropy-regularized relaxed controls yield a truncated Gaussian optimal policy and a solvable nonlinear parabolic PDE for constrained portfolio optimization under stochastic volatility, enabling an implementable RL algorithm via martingale methods.
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Multiple timescales in collective motion: daily and intraday upstream fish migration focusing on Feller condition
Diffusion bridges fitted to Ayu fish counts show daily migration is less randomized and intermittent than intraday migration via distinct Feller indices.