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cs.LG2024
On Bellman equations for continuous-time policy evaluation I: discretization and approximation
Wenlong Mou, Yuhua Zhu
We study the problem of computing the value function from a discretely-observed trajectory of a continuous-time diffusion process. We develop a new class of algorithms based on eas…
math.OC2024
PhiBE: A PDE-based Bellman Equation for Continuous Time Policy Evaluation
Yuhua Zhu
In this paper, we study policy evaluation in continuous-time reinforcement learning (RL), where the state follows an unknown stochastic differential equation (SDE), but only discre…