Zhou, Xun Yu
- Policy Evaluation and Temporal-Difference Learning in Continuous Time\n and Space: A Martingale Approach
2021/08/14 by Yanwei Jia, Xun Yu Zhou, Jia, Yanwei +1 · 15 citations
Computer Science · #Reinforcement Learning in Robotics
- Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances
2018/02/13 by José Blanchet, Blanchet, Jose, Lin Chen +3 · 11 citations
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #91G10 #91G70 #FOS: Computer and information sciences #Insurance, Mortality, Demography, Risk Management #Market Dynamics and Volatility #Methodology (stat.ME) #Risk and Portfolio Optimization
- Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms
2021/11/22 by Yanwei Jia, Jia, Yanwei, Xun Yu Zhou +1 · 14 citations
Computer Science · #Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Finance #Machine Learning (cs.LG) #Portfolio Management (q-fin.PM) #Reinforcement Learning in Robotics #and Science (cs.CE)
- q-Learning in Continuous Time
2022/07/02 by Jia, Yanwei, Zhou, Xun Yu · 13 citations
#Artificial Intelligence (cs.AI) #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG)
- Time-Inconsistent Stochastic Linear--Quadratic Control
2011/11/03 by Hu, Ying, Jin, Hanqing, Zhou, Xun Yu · 7 citations
#60H10 #91B28 #93E99 #Dynamical Systems (math.DS) #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR)
- Exploratory HJB equations and their convergence
2021/09/21 by Wenpin Tang, Paul Yuming Zhang, Tang, Wenpin +3 · 6 citations
Decision Sciences · Mathematics · #35F21 #60J60 #93E15 #93E20 #Advanced Bandit Algorithms Research #Analysis of PDEs (math.AP) #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Mathematical Biology Tumor Growth #Optimization and Control (math.OC) #Probability (math.PR)
- State-Dependent Temperature Control for Langevin Diffusions
2020/11/15 by Xuefeng Gao, Gao, Xuefeng, Zuo Quan Xu +3 · 3 citations
Mathematics · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Markov Chains and Monte Carlo Methods #Optimization and Control (math.OC) #Statistical Methods and Inference
- Learning to Optimally Stop Diffusion Processes, with Financial Applications
2024/08/17 by Min Dai, Yu Sun, Dai, Min +5 · 3 citations
Economics, Econometrics and Finance · Engineering · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Monetary Policy and Economic Impact #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Reservoir Engineering and Simulation Methods #Stochastic processes and financial applications
- Reward-Directed Score-Based Diffusion Models via q-Learning
2024/09/07 by Xuefeng Gao, Gao, Xuefeng, Jiale Zha +3 · 3 citations
Mathematics · #Artificial Intelligence (cs.AI) #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC) #Statistical Methods and Inference
- Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time
2020/06/02 by Hu, Ying, Jin, Hanqing, Zhou, Xun Yu · 1 citation
#91A40 #91B06 #91B16 #91G10 #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM)
- Data-Driven Merton's Strategies via Policy Randomization
2023/12/19 by Min Dai, Dai, Min, Yuchao Dong +5 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Advanced Bandit Algorithms Research #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Machine Learning (cs.LG) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
- Sublinear Regret for a Class of Continuous-Time Linear-Quadratic Reinforcement Learning Problems
2024/07/24 by Huang, Yilie, Jia, Yanwei, Zhou, Xun Yu · 2 citations
#Artificial Intelligence (cs.AI) #FOS: Computer and information sciences #FOS: Electrical engineering #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC) #Systems and Control (eess.SY) #electronic engineering #information engineering
- Reinforcement Learning for Jump-Diffusions, with Financial Applications
2024/05/26 by Xuefeng Gao, Gao, Xuefeng, Lingfei Li +3 · 1 citation
Engineering · #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Machine Learning (cs.LG) #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Traffic control and management
- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
2021/05/05 by He, Xue Dong, Zhou, Xun Yu · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
- Regret of exploratory policy improvement and q-learning
2024/11/02 by Tang, Wenpin, Zhou, Xun Yu · 1 citation
#FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC) #Probability (math.PR)
- Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study
2024/12/08 by Yilie Huang, Yanwei Jia, Huang, Yilie +3 · 1 citation
Decision Sciences · #68Q25 #68T05 #91G10 #93E20 #93E35 #FOS: Computer and information sciences #FOS: Economics and business #FOS: Electrical engineering #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stock Market Forecasting Methods #Systems and Control (eess.SY) #electronic engineering #information engineering