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math.OC2024
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…
math.OC2023★ 1 cited
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…