12 papers
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…
Dynamic Pricing for a Two-Sided Data Market Platform
Lijun Bo, Dongfang Yang, Yijie Huang
We study a continuous-time dynamic pricing problem for a data platform that purchases raw data from privacy-sensitive providers and sells data products to consumers. The platform c…
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…
Deterministic Policy Gradient for Learning Equilibrium in Time-Inconsistent Control Problems
Xin Guo, Yijie Huang, Xiang Yu
In this paper, we develop a continuous-time model-free reinforcement learning algorithm to learn deterministic equilibrium policies in general time-inconsistent control problems. U…
Continuous-time reinforcement learning for optimal switching over multiple regimes
Yijie Huang, Mengge Li, Xiang Yu +1
This paper studies the continuous-time reinforcement learning (RL) for optimal switching problems across multiple regimes. We consider a type of exploratory formulation under entro…
Mean Field Game of Optimal Tracking Portfolio
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark…
Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint
Lijun Bo, Yijie Huang, Kaixin Yan +1
This paper studies an optimal consumption problem with both relaxed benchmark tracking and consumption drawdown constraint, leading to a stochastic control problem with dynamic sta…
Continuous-time q-Learning for Jump-Diffusion Models under Tsallis Entropy
Lijun Bo, Yijie Huang, Xiang Yu +1
This paper studies the continuous-time reinforcement learning in jump-diffusion models by featuring the q-learning (the continuous-time counterpart of Q-learning) under Tsallis ent…
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies an infinite horizon optimal tracking portfolio problem using capital injection in incomplete market models. The benchmark process is modelled by a geometric Brow…
A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies the existence and uniqueness of a classical solution to a type of Robin boundary problems on the nonnegative orthant. We propose a new decomposition-homogenizati…
An extended Merton problem with relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund mana…
Stochastic control problems with state-reflections arising from relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Bro…