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Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach

Citations

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Cited by:

  1. Zhou Fang, 2023. "Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction," Papers 2303.02298, arXiv.org.
  2. Wu, Bo & Li, Lingfei, 2024. "Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  3. Yanwei Jia & Xun Yu Zhou, 2021. "Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms," Papers 2111.11232, arXiv.org, revised Jul 2022.
  4. Bender, Christian & Thuan, Nguyen Tran, 2026. "Continuous time reinforcement learning: A random measure approach," Stochastic Processes and their Applications, Elsevier, vol. 194(C).
  5. Hanqing Jin & Renyuan Xu & Yanzhao Yang, 2025. "Adaptive Partitioning and Learning for Stochastic Control of Diffusion Processes," Papers 2512.14991, arXiv.org, revised Jul 2026.
  6. Lokman A Abbas-Turki & Jean-Franc{c}ois Chassagneux & Jean-Philippe Lemor & Gr'egoire Loeper & Simon Sananes, 2026. "Stochastic Policy Gradient Methods in the Uncertain Volatility Model," Papers 2605.06670, arXiv.org.
  7. Yilie Huang & Yanwei Jia & Xun Yu Zhou, 2024. "Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study," Papers 2412.16175, arXiv.org, revised Mar 2026.
  8. Yilie Huang, 2025. "Continuous-Time Reinforcement Learning for Asset-Liability Management," Papers 2509.23280, arXiv.org.
  9. Yanwei Jia, 2024. "Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty," Papers 2404.12598, arXiv.org, revised Mar 2026.
  10. Chen Ziyi & Gu Jia-wen, 2025. "Exploratory Utility Maximization Problem with Tsallis Entropy," Papers 2502.01269, arXiv.org.
  11. Yuling Max Chen & Bin Li & David Saunders, 2025. "Exploratory Mean-Variance with Jumps: An Equilibrium Approach," Papers 2512.09224, arXiv.org.
  12. Yuling Max Chen & Bin Li & David Saunders, 2025. "Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics," Papers 2501.16659, arXiv.org.
  13. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
  14. Sebastien Lleo & Wolfgang Runggaldier, 2025. "Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem," Papers 2501.06275, arXiv.org, revised Sep 2025.
  15. Junyan Ye & Hoi Ying Wong & Kyunghyun Park, 2025. "Robust Exploratory Stopping under Ambiguity in Reinforcement Learning," Papers 2510.10260, arXiv.org, revised Apr 2026.
  16. Wanting He & Wenyuan Li & Yunran Wei, 2025. "Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach," Papers 2508.05241, arXiv.org.
  17. Min Dai & Hanqing Jin & Xi Yang, 2024. "Data-driven Option Pricing," Papers 2401.11158, arXiv.org.
  18. Xiangyu Cui & Xun Li & Yun Shi & Si Zhao, 2023. "Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning," Papers 2312.15385, arXiv.org.
  19. Min Dai & Yuchao Dong & Yanwei Jia, 2023. "Learning equilibrium mean‐variance strategy," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1166-1212, October.
  20. Paulin Aubert & Etienne Chevalier & Vathana Ly Vath, 2025. "Optimal dividend and capital injection under self-exciting claims," Papers 2511.19701, arXiv.org, revised Jun 2026.
  21. Thai Nguyen & Pertiny Nkuize, 2026. "Optimal Investment and Entropy-Regularized Learning Under Stochastic Volatility Models with Portfolio Constraints," Papers 2604.22188, arXiv.org.
  22. Xuefeng Gao & Xunyu Zhou, 2026. "Square-Root Regret Bounds for Continuous-Time Episodic Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 51(1), pages 333-357, January.
  23. Zhou Fang & Haiqing Xu, 2023. "Option Market Making via Reinforcement Learning," Papers 2307.01814, arXiv.org, revised Mar 2025.
  24. Huy Chau & Duy Nguyen & Thai Nguyen, 2024. "Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach," Papers 2412.10692, arXiv.org.
  25. Min Dai & Yu Sun & Zuo Quan Xu & Xun Yu Zhou, 2024. "Learning to Optimally Stop Diffusion Processes, with Financial Applications," Papers 2408.09242, arXiv.org, revised Aug 2025.
  26. Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.
  27. Chau, Huy & Nguyen, Duy & Nguyen, Thai, 2026. "Continuous-time optimal investment with portfolio constraints: A reinforcement learning approach," European Journal of Operational Research, Elsevier, vol. 328(3), pages 1068-1092.
  28. Yanwei Jia & Xun Yu Zhou, 2022. "q-Learning in Continuous Time," Papers 2207.00713, arXiv.org, revised May 2025.
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