Dynamic programming algorithms are developed for optimal capital allocation subject to budget constraints. We extend the work of Weingartner [17] and Weingartner and Ness [19] by including multilevel ...

This paper investigates conditions under which stochastic dynamic programs easily reduce to static deterministic programs. The conditions, though strict, are still rich enough to aid in the solution ...

Dynamic optimization and optimal control problems form the backbone of numerous applications in engineering, economics and the natural sciences. These methodologies involve determining a time-varying ...

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...

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