2 papers
math.OC2025
Entropy-Regularized Mean-Variance Portfolio Optimization with Jumps
Christian Bender, Nguyen Tran Thuan
Motivated by the trade-off between exploitation and exploration in reinforcement learning, we study a continuous-time entropy-regularized mean variance portfolio selection problem…
stat.ML2024
On the grid-sampling limit SDE
Christian Bender, Nguyen Tran Thuan
In our recent work [3] we introduced the grid-sampling SDE as a proxy for modeling exploration in continuous-time reinforcement learning. In this note, we provide further motivatio…