3 papers
q-fin.RM2025
Robust Bayesian Dynamic Programming for On-policy Risk-sensitive Reinforcement Learning
Shanyu Han, Yangbo He, Yang Liu
We propose a novel framework for risk-sensitive reinforcement learning (RSRL) that incorporates robustness against transition uncertainty. We define two distinct yet coupled risk m…
q-fin.MF2025
Risk-sensitive Reinforcement Learning Based on Convex Scoring Functions
Shanyu Han, Yang Liu, Xiang Yu
We propose a reinforcement learning (RL) framework under a broad class of risk objectives, characterized by convex scoring functions. This class covers many common risk measures, s…
econ.TH2024
Equilibrium in Style: A Modeling Framework on the Cash Flow and the Life Cycle of a Consumer Store
Shanyu Han, Jian Lei, Yang Liu
The consumer store is ubiquitous and plays an important role in our everyday lives. It is an open question why stores usually have such short life cycles (typically around 3 years…