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math.PR2023
On the regularity of solutions of some linear parabolic path-dependent PDEs
Bruno Bouchard, Xiaolu Tan
We study a class of linear parabolic path-dependent PDEs (PPDEs) defined on the space of càdlàg paths , in which the coefficient functions at time depend on $x(…
cs.AI2023
Near-continuous time Reinforcement Learning for continuous state-action spaces
Lorenzo Croissant, Marc Abeille, Bruno Bouchard
We consider the Reinforcement Learning problem of controlling an unknown dynamical system to maximise the long-term average reward along a single trajectory. Most of the literature…