A. Max Reppen

Publication Activity (10 Years)

Years Active: 2017-2024
Publications (10 Years): 8

Top Topics

Transaction Costs

Partially Observable

Inverse Reinforcement Learning

Bias Variance Decomposition

Top Venues

SIAM J. Control. Optim.

Math. Oper. Res.

Publications

Zongxi Li, A. Max Reppen, Ronnie Sircar
A Mean Field Games Model for Cryptocurrency Mining. Manag. Sci. 70 (4) (2024)
Julio D. Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi
Stochastic Control of Optimized Certainty Equivalents. SIAM J. Financial Math. 13 (3) (2022)
Jussi Keppo, A. Max Reppen, H. Mete Soner
Discrete Dividend Payments in Continuous Time. Math. Oper. Res. 46 (3) (2021)
Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions. ICML (2020)
Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen, H. Mete Soner
Viscosity Solutions for Controlled McKean-Vlasov Jump-Diffusions. SIAM J. Control. Optim. 58 (3) (2020)
Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar
Identifying Reward Functions using Anchor Actions. CoRR (2020)
A. Max Reppen, H. Mete Soner
Bias-Variance Trade-off and Overlearning in Dynamic Decision Problems. CoRR (2020)
Albert Altarovici, A. Max Reppen, H. Mete Soner
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs. SIAM J. Control. Optim. 55 (3) (2017)