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20212026
most citedPolicy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms

17 citations · 17 across the 7 of their papers we have counts for

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2 papers · 1 filter

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

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…