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Ben M. Hambly

University of Oxford - St. Ann's College

Woodstock Road

Oxford OX2 6HS

United Kingdom

  • University of Oxford - St. Ann's College

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SCHOLARLY PAPERS

4

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Top 44,431

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46

Scholarly Papers (4)

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1.

Recent Advances in Reinforcement Learning in Finance

Number of pages: 65 Posted: 28 Nov 2021 Last Revised: 28 Feb 2023
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, Stanford University - Department of Management Science & Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 2,884 (11,181)
Citation 36

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Reinforcement Learning, Finance, Machine Learning, Quantitative Finance, Stochastic Control

2.

Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon

Number of pages: 49 Posted: 09 Jan 2021 Last Revised: 02 Aug 2021
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, Stanford University - Department of Management Science & Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 421 (172,704)
Citation 8

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Linear-quadratic regulator, reinforcement learning, policy gradient method, stochastic control, optimal execution, optimal liquidation

3.

Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games

Number of pages: 48 Posted: 02 Aug 2021 Last Revised: 21 Jul 2022
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, Stanford University - Department of Management Science & Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 240 (317,870)

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Multi-agent reinforcement learning, linear-quadratic games, policy gradient methods, general-sum games, N-player games

4.

Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions

Number of pages: 34 Posted: 29 Jul 2023
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, Stanford University - Department of Management Science & Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 84 (783,685)
Citation 2

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Linear-quadratic games; Asymmetric information; private belief process; Nash equilibrium