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math.OC2022
Diffusive limit approximation of pure jump optimal ergodic control problems
Marc Abeille, Bruno Bouchard, Lorenzo Croissant
Motivated by the design of fast reinforcement learning algorithms, we study the diffusive limit of a class of pure jump ergodic stochastic control problems. We show that, whenever…
math.OC2021
Diffusive limit approximation of pure-jump optimal stochastic control problems
Marc Abeille, Bruno Bouchard, Lorenzo Croissant
We consider the diffusive limit of a typical pure-jump Markovian control problem as the intensity of the driving Poisson process tends to infinity. We show that the convergence spe…