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Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms

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. Kerimkulov, Bekzhan & Šiška, David & Szpruch, Łukasz & Zhang, Yufei, 2025. "Mirror descent for stochastic control problems with measure-valued controls," Stochastic Processes and their Applications, Elsevier, vol. 190(C).
  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. 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.
  6. 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.
  7. Yilie Huang, 2025. "Continuous-Time Reinforcement Learning for Asset-Liability Management," Papers 2509.23280, arXiv.org.
  8. Yanwei Jia, 2024. "Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty," Papers 2404.12598, arXiv.org, revised Mar 2026.
  9. Yun Zhao & Alex S. L. Tse & Harry Zheng, 2026. "Reinforcement Learning for Speculative Trading under Exploratory Framework," Papers 2604.02035, arXiv.org.
  10. Jodi Dianetti & Giorgio Ferrari & Renyuan Xu, 2024. "Exploratory Optimal Stopping: A Singular Control Formulation," Papers 2408.09335, arXiv.org, revised Mar 2026.
  11. Chen Ziyi & Gu Jia-wen, 2025. "Exploratory Utility Maximization Problem with Tsallis Entropy," Papers 2502.01269, arXiv.org.
  12. Sun, Zhongshi & Jia, Guangyan, 2026. "Robust policy iteration for the continuous-time stochastic H∞ control problem with unknown dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 241(PA), pages 430-448.
  13. Cardo-Miota, Javier & Khadem, Shafi & Bahloul, Mohamed, 2025. "Deep reinforcement learning based electricity bill minimization strategy for residential prosumer," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 238(C), pages 296-305.
  14. Junyan Ye & Hoi Ying Wong & Kyunghyun Park, 2025. "Robust Exploratory Stopping under Ambiguity in Reinforcement Learning," Papers 2510.10260, arXiv.org, revised Apr 2026.
  15. Wanting He & Wenyuan Li & Yunran Wei, 2025. "Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach," Papers 2508.05241, arXiv.org.
  16. Xiangyu Cui & Xun Li & Yun Shi & Si Zhao, 2023. "Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning," Papers 2312.15385, arXiv.org.
  17. Thai Nguyen & Pertiny Nkuize, 2026. "Optimal Investment and Entropy-Regularized Learning Under Stochastic Volatility Models with Portfolio Constraints," Papers 2604.22188, arXiv.org.
  18. Dianetti, Jodi & Ferrari, Giorgio & Xu, Renyuan, 2025. "Exploratory Optimal Stopping: A Singular Control Formulation," Center for Mathematical Economics Working Papers 740, Center for Mathematical Economics, Bielefeld University.
  19. 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.
  20. Zhou Fang & Haiqing Xu, 2023. "Option Market Making via Reinforcement Learning," Papers 2307.01814, arXiv.org, revised Mar 2025.
  21. Huy Chau & Duy Nguyen & Thai Nguyen, 2024. "Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach," Papers 2412.10692, arXiv.org.
  22. 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.
  23. Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.
  24. 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.
  25. Yanwei Jia & Xun Yu Zhou, 2022. "q-Learning in Continuous Time," Papers 2207.00713, arXiv.org, revised May 2025.
  26. Boyu Wang & Xuefeng Gao & Lingfei Li, 2026. "Reinforcement learning for continuous-time optimal execution: actor–critic algorithm and error analysis," Finance and Stochastics, Springer, vol. 30(2), pages 597-655, April.
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