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Near-continuous time Reinforcement Learning for continuous state-action spaces
In addition, we consider a generic reward function and model the state dynamics according to a jump process with an arbitrary transition kernel on $\mathbb{R}^d$.
Computation of Expected Shortfall by fast detection of worst scenarios
For the most naive scheme, we show that the L p-error of the estimator of the Expected Shortfall is bounded by a linear combination of the probabilities of inversion of favorable and unfavorable scenarios at each step, and of the last step Monte Carlo error associated to each scenario.
Simple Bounds for Utility Maximization with Small Transaction Costs
Using elementary arguments, we show how to derive $\mathbf{L}_p$-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs.
