Search Results for author:
Found 2 papers, 0 papers with code
An Offline Learning Approach to Propagator Models
We show that a trader who tries to minimise her execution costs by using a greedy strategy purely based on the estimated propagator will encounter suboptimality due to so-called spurious correlation between the trading strategy and the estimator and due to intrinsic uncertainty resulting from a biased cost functional.
Linear convergence of a policy gradient method for some finite horizon continuous time control problems
Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamics has been elusive.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
