118 citations · 425 across the 31 of their papers we have counts for
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math.OC2024★ 1 cited
Learning to Optimally Stop Diffusion Processes, with Financial Applications
Min Dai, Yu Sun, Zuo Quan Xu +1
We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), an…
cs.LG2024
Sublinear Regret for a Class of Continuous-Time Linear-Quadratic Reinforcement Learning Problems
Yilie Huang, Yanwei Jia, Xun Yu Zhou
We study reinforcement learning (RL) for a class of continuous-time linear-quadratic (LQ) control problems for diffusions, where states are scalar-valued and running control reward…