Beyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting, Hojin Ko*, Jeonggyu Huh*, International Conference on Machine Learning (ICML), 2026
Papers in Progress
Knowing When Not to Act: Latent No-Action Region Recovery Hidden in Neural Control, submitted
Sobolev-Stable Regime-Conditioned DeepONet for Monthly Implied-Volatility Surface Forecasting, submitted
Finite-Horizon Stochastic Income and Optimal Policies via Pontryagin-Guided Direct Policy Optimization
Deep Hedging through Bellman-Guided Direct Policy Optimization
A Computational Framework for Decision-Aligned Conditional Betas in Cost-Aware Portfolio Optimization
Project in Progress
ELS Hedging Decision-Making System Using Neural Optimal Control, Jul. 2026–Jun. 2027, RiskX-led project, 2026 Seoul FinTech Technology Commercialization Support Program
Presentations
Knowing when not to act: Latent no-action region recovery hidden in neural control, Korean Society for Industrial and Applied Mathematics (KSIAM), Poster Presentation, Fall 2026 ** scheduled
Knowing when not to act: Latent no-action region recovery hidden in neural control, Korean Mathematical Society (KMS), Poster Presentation, Fall 2026 ** scheduled
Beyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting, The 2nd Sookmyung-TMU Mathematical Finance Workshop with Young Researchers, 2026
Breaking the Dimensional Barrier in Dynamic Portfolio Choice with Transaction Costs, The Korean Operations Research and Management Science Society (KORMS), Oral Presentation, Spring 2026
Beyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting, International Conference on Machine Learning (ICML), Poster, 2026