2 papers
math.NA2024
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu +1
In this paper, we introduce various machine learning solvers for (coupled) forward-backward systems of stochastic differential equations (FBSDEs) driven by a Brownian motion and a…
math.OC2024
Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
Robert Denkert, Huyên Pham, Xavier Warin
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control prob…