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Deep Pontryagin Learning for Continuous-Time Stochastic Control with Jumps

Jean-Loup Dupret et al.
arXiv CS · Papers
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machine-learningneural-networks
We develop a deep Pontryagin learning framework for high-dimensional continuous-time stochastic control problems that naturally accommodates jump-diffusions. In contrast to direct policy optimization, which repeatedly differentiates the objective through the entire time-discretized dynamics, our met
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