2 citations · 4 across the 4 of their papers we have counts for
5 papers
Pricing and hedging of decentralised lending contracts
Lukasz Szpruch, Marc Sabaté Vidales, Tanut Treetanthiploet +1
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transac…
-Policy Gradient for Online Pricing
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
Combining model-based and model-free reinforcement learning approaches, this paper proposes and analyzes an -policy gradient algorithm for the online pricing learning task. The…
Entropy annealing for policy mirror descent in continuous time and space
Deven Sethi, David Šiška, Yufei Zhang
Entropy regularization has been widely used in policy optimization algorithms to enhance exploration and the robustness of the optimal control; however it also introduces an additi…
Mirror Descent for Stochastic Control Problems with Measure-valued Controls
Bekzhan Kerimkulov, David Šiška, Łukasz Szpruch +1
This paper studies the convergence of the mirror descent algorithm for finite horizon stochastic control problems with measure-valued control processes. The control objective invol…
A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces
Bekzhan Kerimkulov, James-Michael Leahy, David Siska +2
We study the global convergence of a Fisher-Rao policy gradient flow for infinite-horizon entropy-regularised Markov decision processes with Polish state and action space. The flow…