3 papers
cs.LG2026
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…
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
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…