Papers in Progress

• MarketGANs: Multivariate Financial Time-Series Data Augmentation Using Generative Adversarial Networks, with Hyeng-Keun Koo, Byung Hwa Lim,  Hyun-Gyoon Kim

• Decision-Based High-Dimensional Market Estimation via Pontryagin-Guided Neural Optimization, with Hyeng-Keun Koo

• Breaking the Dimensional Barrier for Continuous-Time Time-Inconsistent Control, with Hyeng-Keun Koo, Byung Hwa Lim

• A Unified Framework Linking Deep Learning and Optimal Control: Backpropagation Realizes Pontryagin’s Principle, with Hyeng-Keun Koo [GitHub]

• DeepONet Surrogate Modeling for Interest Rate Option Pricing, Greeks, and Robustness , with Sang-Hyun Lee, Seungwon Jeong

• Beyond Exponential Discounting: Pontryagin-Guided Direct Policy Optimization for Time-Inconsistent Control, with Hojin Ko

• Finite-Horizon Stochastic Income and Optimal Policies via Pontryagin-Guided Direct Policy Optimization, with Seyoung Park

*  Beyond its current scope, PG-DPO may admit natural extensions to  1) transaction costs, 2) Taxation, 3) mean-field control, 4) optimal stopping, 5) robust control, 6) EZ utility, 7) mean-field games, and 8) multi-agent frameworks.