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q-fin.PM2024
Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study
Yilie Huang, Yanwei Jia, Xun Yu Zhou
We study continuous-time mean--variance portfolio selection in markets where stock prices are diffusion processes driven by observable factors that are also diffusion processes, ye…
cs.LG2024
Regret of exploratory policy improvement and -learning
Wenpin Tang, Xun Yu Zhou
We study the convergence of -learning and related algorithms introduced by Jia and Zhou (J. Mach. Learn. Res., 24 (2023), 161) for controlled diffusion processes. For explorator…
cs.LG2024
Reinforcement Learning for Jump-Diffusions, with Financial Applications
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
We study continuous-time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump-diffusion processes. We formulate an entropy-regularized e…