Thaleia Zariphopoulou

According to our database, Thaleia Zariphopoulou authored at least 25 papers between 1991 and 2022.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2022

Entropy Regularization for Mean Field Games with Learning.

Xin Guo, Renyuan Xu, Thaleia Zariphopoulou

Math. Oper. Res., November, 2022

Competition in Fund Management and Forward Relative Performance Criteria.

Michail Anthropelos, Tianran Geng, Thaleia Zariphopoulou

SIAM J. Financial Math., 2022

Personalized Robo-Advising: Enhancing Investment Through Client Interaction.

Agostino Capponi, Sveinn Ólafsson, Thaleia Zariphopoulou

Manag. Sci., 2022

2020

An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians.

Shuo Huang, Gechun Liang, Thaleia Zariphopoulou

SIAM J. Control. Optim., 2020

Predictable Forward Performance Processes: The Binomial Case.

Bahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou

SIAM J. Control. Optim., 2020

Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach.

Haoran Wang, Thaleia Zariphopoulou, Xun Yu Zhou

J. Mach. Learn. Res., 2020

2019

Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints.

Sergey Nadtochiy, Thaleia Zariphopoulou

SIAM J. Financial Math., 2019

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior.

Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou

Finance Stochastics, 2019

2018

Dynamically consistent investment under model uncertainty: the robust forward criteria.

Sigrid Källblad, Jan Oblój, Thaleia Zariphopoulou

Finance Stochastics, 2018

Exploration versus exploitation in reinforcement learning: a stochastic control approach.

Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou

CoRR, 2018

2017

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE.

Gechun Liang, Thaleia Zariphopoulou

SIAM J. Financial Math., 2017

2016

Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations.

Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou

SIAM J. Financial Math., 2016

2013

An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets.

Sergey Nadtochiy, Thaleia Zariphopoulou

SIAM J. Financial Math., 2013

2010

Maturity-Independent Risk Measures.

Thaleia Zariphopoulou, Gordan Zitkovic

SIAM J. Financial Math., 2010

Portfolio Choice under Space-Time Monotone Performance Criteria.

Marek Musiela, Thaleia Zariphopoulou

SIAM J. Financial Math., 2010

2004

Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random.

Ronnie Sircar, Thaleia Zariphopoulou

SIAM J. Control. Optim., 2004

A valuation algorithm for indifference prices in incomplete markets.

Marek Musiela, Thaleia Zariphopoulou

Finance Stochastics, 2004

An example of indifference prices under exponential preferences.

Marek Musiela, Thaleia Zariphopoulou

Finance Stochastics, 2004

2003

Pricing early exercise contracts in incomplete markets.

Adam M. Oberman, Thaleia Zariphopoulou

Comput. Manag. Sci., 2003

2001

Optimal Environmental Management in the Presence of Irreversibilities.

José A. Scheinkman, Thaleia Zariphopoulou

J. Econ. Theory, 2001

A solution approach to valuation with unhedgeable risks.

Thaleia Zariphopoulou

Finance Stochastics, 2001

1999

Optimal investment and consumption models with non-linear stock dynamics.

Thaleia Zariphopoulou

Math. Methods Oper. Res., 1999

Turnpike behavior of long-term investments.

Chi-Fu Huang, Thaleia Zariphopoulou

Finance Stochastics, 1999

Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences.

George M. Constantinides, Thaleia Zariphopoulou

Finance Stochastics, 1999

1991

An Optimal Investment/Consumption Model with Borrowing.

Wendell H. Fleming, Thaleia Zariphopoulou

Math. Oper. Res., 1991