Deep Learning for Dynamic Programming with Recursive Utility Using First-order Conditions

arXiv:2607.09461 · q-fin.CP, econ.EM, math.OC, stat.ML · Submitted 2026-07-10 · Read on arXiv

Xianhua Peng, Wu Guo, Songyan Wang, Jianfei Zhu

q-fin.CP, econ.EM, math.OC, stat.ML

Submitted: 2026-07-10

Comments: 86 pages, 44 figures

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Benchmark — 20× in this paper · explained in 2 episodes
• Consistency — 17× in this paper · explained in 3 episodes
• Calibration — 14× in this paper · explained in 9 episodes
• Robustness — 10× in this paper · explained in 6 episodes
• KKT conditions — 8× in this paper · explained in 2 episodes
• Accuracy — 7× in this paper · explained in 1 episode
• Reinforcement Learning — 6× in this paper · explained in 4 episodes
• Certainty-Equivalent First-Order Learning — 5× in this paper
• Deep Reinforcement Learning — 2× in this paper · explained in 3 episodes
• Benchmarking — 1× in this paper · explained in 4 episodes
• Computational Efficiency — 1× in this paper · explained in 2 episodes
• Core — 1× in this paper · explained in 2 episodes
• Curse of Dimensionality — 1× in this paper · explained in 6 episodes
• Model-Agnostic — 1× in this paper · explained in 2 episodes
• Modular Architecture — 1× in this paper · explained in 4 episodes
• Monotonicity — 1× in this paper · explained in 2 episodes
• Papers — 1× in this paper · explained in 3 episodes
• Stochastic Dynamics — 1× in this paper · explained in 3 episodes
• Uncertainty Quantification — 1× in this paper · explained in 9 episodes

Sources

• Economics-Inspired Neural Networks with Stabilizing Homotopies
• Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
• Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets
• Non-linear approximations of DSGE models with neural-networks and hard-constraints
• Stochastic dynamic programming under recursive Epstein-Zin preferences
• Deep Learning for Dynamic Programming with Recursive Utility

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