Risk-Sensitive Q-Learning in Continuous Time with Application to Dynamic Portfolio Selection
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866918227785809920 |
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| author | Xie, Chuhan |
| author_facet | Xie, Chuhan |
| contents | This paper studies the problem of risk-sensitive reinforcement learning (RSRL) in continuous time, where the environment is characterized by a controllable stochastic differential equation (SDE) and the objective is a potentially nonlinear functional of cumulative rewards. We prove that when the functional is an optimized certainty equivalent (OCE), the optimal policy is Markovian with respect to an augmented environment. We also propose \textit{CT-RS-q}, a risk-sensitive q-learning algorithm based on a novel martingale characterization approach. Finally, we run a simulation study on a dynamic portfolio selection problem and illustrate the effectiveness of our algorithm. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_02386 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Risk-Sensitive Q-Learning in Continuous Time with Application to Dynamic Portfolio Selection Xie, Chuhan Machine Learning Optimization and Control This paper studies the problem of risk-sensitive reinforcement learning (RSRL) in continuous time, where the environment is characterized by a controllable stochastic differential equation (SDE) and the objective is a potentially nonlinear functional of cumulative rewards. We prove that when the functional is an optimized certainty equivalent (OCE), the optimal policy is Markovian with respect to an augmented environment. We also propose \textit{CT-RS-q}, a risk-sensitive q-learning algorithm based on a novel martingale characterization approach. Finally, we run a simulation study on a dynamic portfolio selection problem and illustrate the effectiveness of our algorithm. |
| title | Risk-Sensitive Q-Learning in Continuous Time with Application to Dynamic Portfolio Selection |
| topic | Machine Learning Optimization and Control |
| url | https://arxiv.org/abs/2512.02386 |