20 citations · 57 across the 19 of their papers we have counts for
3 papers · 1 filter
Exploration versus exploitation in reinforcement learning: a stochastic control approach
Haoran Wang, Thaleia Zariphopoulou, Xunyu Zhou
We consider reinforcement learning (RL) in continuous time and study the problem of achieving the best trade-off between exploration of a black box environment and exploitation of…
Optimal contract for a fund manager, with capital injections and endogenous trading constraints
Sergey Nadtochiy, Thaleia Zariphopoulou
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in…
An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
Shuo Huang, Gechun Liang, Thaleia Zariphopoulou
We propose an approximation scheme for a class of semilinear parabolic equations that are convex and coercive in their gradients. Such equations arise often in pricing and portfoli…