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Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit.

Erhan BayraktarChristoph BelakSören ChristensenFrank Thomas Seifried
Published in: SIAM J. Control. Optim. (2022)
Keyphrases
  • fixed cost
  • decision making
  • machine learning
  • dynamic programming
  • probabilistic model
  • optimization problems
  • optimal control
  • infinite horizon