1 citations · 2 across the 3 of their papers we have counts for
4 papers
Learning to Solve Stochastic Controls with Unknown Drifts and Running Rewards: Theory, Algorithms and Convergence
Jin Ma, Gaozhan Wang, Jianfeng Zhang +1
We study continuous-time and possibly high-dimensional stochastic control problems where drift coefficients and running reward functions are unknown. Due to these missing model pri…
Convergence Analysis for Entropy-Regularized Control Problems: A Probabilistic Approach
Jin Ma, Gaozhan Wang, Jianfeng Zhang
In this paper we investigate the convergence of the Policy Iteration Algorithm (PIA) for a class of general continuous-time entropy-regularized stochastic control problems. In part…
Reinforcement Learning for optimal dividend problem under diffusion model
Lihua Bai, Thejani Gamage, Jin Ma +1
In this paper, we study the optimal dividend problem under the continuous time diffusion model with the bounded dividend rate from the Reinforcement Learning (RL) perspective. Unli…
Trading Signals In VIX Futures
M. Avellaneda, T. N. Li, A. Papanicolaou +1
We propose a new approach for trading VIX futures. We assume that the term structure of VIX futures follows a Markov model. Our trading strategy selects a position in VIX futures b…