Browsing University of Waterloo by Supervisor "Forsyth, Peter"
Now showing items 1-3 of 3
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Numerical Solutions of Two-factor Hamilton-Jacobi-Bellman Equations in Finance
(University of Waterloo, 2015-12-03)In this thesis, we focus on solving multidimensional HJB equations which are derived from optimal stochastic control problems in the financial market. We develop a fully implicit, unconditionally monotone finite difference ... -
Optimal Decumulation for Retirees using Tontines: a Dynamic Neural Network Based Approach
(University of Waterloo, 2023-09-19)We introduce a new approach for optimizing neural networks (NN) using data to solve a stochastic control problem with stochastic constraints. We utilize customized activation functions for the output layers of the NN, ... -
A Robust Neural Network Approach to Optimal Decumulation and Factor Investing in Defined Contribution Pension Plans
(University of Waterloo, 2023-09-18)In this thesis, we propose a novel data-driven neural network (NN) optimization framework for solving an optimal stochastic control problem under stochastic constraints. The NN utilizes customized output layer activation ...