4 papers · 1 filter
Boundary-aware Reinforcement Learning for Hypercube State Spaces via Deterministic Policy Gradient
Lijun Bo, Yijie Huang, Chenhao Lu
We develop a continuous-time deterministic policy gradient framework for reinforcement learning with reflected state dynamics, where the state process is governed by a controlled r…
Model-free Reinforcement Learning for Continuous Time and State: A Stochastic Maximum Principle Approach
Lijun Bo, Yijie Huang, Jingfei Wang
This paper develops a model-free reinforcement learning (RL) algorithm based on the stochastic maximum principle for continuous-time stochastic control problems with continuous sta…
Mean Field Stackelberg Game for Production and Carbon Emission Reduction with State Reflections
Lijun Bo, Zhen Liu, Jingfei Wang +1
Global warming, driven by anthropogenic carbon emissions with transboundary pollution characteristics and irreversible damage, poses an existential threat to human society. This pa…
Optimal Consumption and Retirement Time under Shortfall Risk Measure
Lijun Bo, Yijie Huang, Tingting Zhang
This paper studies the optimal portfolio, consumption, and endogenous early retirement problem within a benchmark tracking framework by incorporating a new relative performance eva…