118 citations · 344 across the 34 of their papers we have counts for
4 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…
-robust utility maximization with intractable claims: A quantile optimization approach
Xinyu Chen, Zuo Quan Xu
This paper studies an -robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but uns…
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…