Related papers: Reinforcement Learning for Jump-Diffusions, with F…
Robotic control policies learned from human demonstrations have achieved impressive results in many real-world applications. However, in scenarios where initial performance is not satisfactory, as is often the case in novel open-world…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
This paper investigates the deep hedging framework, based on reinforcement learning (RL), for the dynamic hedging of swaptions, contrasting its performance with traditional sensitivity-based rho-hedging. We design agents under three…
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The…
We propose a reinforcement learning (RL) framework that leverages multimodal data including historical stock prices, sentiment analysis, and topic embeddings from news articles, to optimize trading strategies for SP100 stocks. Building upon…
Diffusion-based planning, learning, and control methods present a promising branch of powerful and expressive decision-making solutions. Given the growing interest, such methods have undergone numerous refinements over the past years.…
Reinforcement learning (RL) has achieved remarkable success in a wide range of sequential decision-making problems. Recent diffusion-based policies further improve RL by modeling complex, high-dimensional action distributions. However,…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
Reinforcement learning (RL) is gaining attention by more and more researchers in quantitative finance as the agent-environment interaction framework is aligned with decision making process in many business problems. Most of the current…
Maximum entropy reinforcement learning (MaxEnt-RL) has become the standard approach to RL due to its beneficial exploration properties. Traditionally, policies are parameterized using Gaussian distributions, which significantly limits their…
Reinforcement Learning (RL) has achieved state-of-the-art results in domains such as robotics and games. We build on this previous work by applying RL algorithms to a selection of canonical online stochastic optimization problems with a…
Learning-based control methods typically assume stationary system dynamics, an assumption often violated in real-world systems due to drift, wear, or changing operating conditions. We study reinforcement learning for control under…
Traditional portfolio management methods can incorporate specific investor preferences but rely on accurate forecasts of asset returns and covariances. Reinforcement learning (RL) methods do not rely on these explicit forecasts and are…
This paper describes a purely data-driven solution to a class of sequential decision-making problems with a large number of concurrent online decisions, with applications to computing systems and operations research. We assume that while…
Reinforcement Learning (RL)-based motion planning has recently shown the potential to outperform traditional approaches from autonomous navigation to robot manipulation. In this work, we focus on a motion planning task for an evasive target…
We consider the problem of learning a set of probability distributions from the empirical Bellman dynamics in distributional reinforcement learning (RL), a class of state-of-the-art methods that estimate the distribution, as opposed to only…
Learned representations in deep reinforcement learning (DRL) have to extract task-relevant information from complex observations, balancing between robustness to distraction and informativeness to the policy. Such stable and rich…
We perform a detailed comparison between a Markov Switching Jump Diffusion Model and a Markov Switching {\alpha}-Stable Distribution Model with respect to the analysis of non-stationary data. We show that the jump diffusion model is…
To date, distributional reinforcement learning (distributional RL) methods have exclusively focused on the discounted setting, where an agent aims to optimize a discounted sum of rewards over time. In this work, we extend distributional RL…
This paper presents a novel approach to reinforcement learning (RL) for control systems that provides probabilistic stability guarantees using finite data. Leveraging Lyapunov's method, we propose a probabilistic stability theorem that…