Introduces an entropy-regularized Bellman operator for certainty-equivalent risk-sensitive market making, proves O(h + λ(1+|log λ|)) convergence to the continuous-time value, and establishes performance bounds for Gibbs policies under quadratic Hamiltonian growth.
Logarithmic regret in the ergodic avellaneda–stoikov market making model.SIAM Journal on Financial Mathematics, 2026
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.TR 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Entropy-Regularized Certainty-Equivalent Bellman Policies for Risk-Sensitive Market Making
Introduces an entropy-regularized Bellman operator for certainty-equivalent risk-sensitive market making, proves O(h + λ(1+|log λ|)) convergence to the continuous-time value, and establishes performance bounds for Gibbs policies under quadratic Hamiltonian growth.