1 citations · 2 across the 10 of their papers we have counts for
10 papers · 1 filter
Model-Free Q-Learning for Infinite-Horizon Stochastic Linear Quadratic Problems with Regime Switching
Xinyue Zhang, Na Li, Xun Li +1
This paper addresses infinite-horizon continuous-time stochastic linear quadratic optimal control problems with regime switching. We propose a paradigm shift from model-based desig…
Inverse Optimal Control for Linear Quadratic Problem with Poisson Jumps: Model-Free Inverse Reinforcement Learning Approaches
Wen Du, Na Li, Xun Li +1
This paper addresses the inverse optimal control (IOC) problem for stochastic linear systems subject to both Brownian motion and Poisson jumps, using an inverse reinforcement learn…
Linear-quadratic mixed Stackelberg-zero-sum game for mean-field regime switching system
Pengyan Huang, Na Li, Zuo Quan Xu +1
Motivated by a green finance problem, a linear-quadratic Stackelberg differential game for a regime switching system involving one leader and two followers is studied. The two foll…
Competitive optimal portfolio selection in a non-Markovian financial market: A backward stochastic differential equation study
Guangchen Wang, Zuo Quan Xu, Panpan Zhang
This paper studies a competitive optimal portfolio selection problem in a model where the interest rate, the appreciation rate and volatility rate of the risky asset are all stocha…
Learning to Optimally Stop Diffusion Processes, with Financial Applications
Min Dai, Yu Sun, Zuo Quan Xu +1
We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework developed by Wang et al. (2020), an…
Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
Panpan Zhang, Zuo Quan Xu
This paper is concerned with zero-sum stochastic linear-quadratic differential games in a regime switching model. The coefficients of the games depend on the underlying noises, so…