Learning to reflect: a unifying approach for data-driven stochastic control strategies

nonparametric statistics diffusion processes reinforcement learning overshoots sup-norm risk Lévy processes exploration vs. exploitation data-driven singular control

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

Cites work

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Cited in

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Data-driven rules for multidimensional reflection problems

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