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Randomized Optimal Stopping Problem in Continuous Time and Reinforcement Learning Algorithm.
Yuchao Dong
Published in:
SIAM J. Control. Optim. (2024)
Keyphrases
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optimal stopping
brownian motion
optimal control
finite horizon
stochastic processes
dynamical systems
markov chain
state space
differential equations
stochastic process
diffusion process
infinite horizon
optimal policy
steady state
dynamic programming
multiscale
machine learning
markov decision processes