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20172026
most citedOptimal investment under partial information and robust VaR-type constraint

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math.OC2026

Markov Decision Processes of the Third Kind: Learning Distributions by Policy Gradient Descent

Nicole Bäuerle, Athanasios Vasileiadis

The goal of this paper is to analyze distributional Markov Decision Processes as a class of control problems in which the objective is to learn policies that steer the distribution…