Learning to reflect: A unifying approach for data-driven stochastic control strategies
Author:
Affiliation:
1. Department of Mathematics, Kiel University, Kiel, Germany
2. Department of Mathematics, Aarhus University, Aarhus, Denmark
3. Institute of Mathematics, University of Mannheim, Mannheim, Germany
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Reference35 articles.
1. Sato, K. (2013). Lévy Processes and Infinitely Divisible Distributions. Cambridge Studies in Advanced Mathematics 68. Cambridge: Cambridge Univ. Press. Translated from the 1990 Japanese original, Revised edition of the 1999 English translation.
2. Grimmett, G.R. and Stirzaker, D.R. (2001). Probability and Random Processes, 3rd ed. New York: Oxford Univ. Press.
3. Kuznetsov, A. and Pardo, J.C. (2013). Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes. Acta Appl. Math. 123 113–139. 10.1007/s10440-012-9718-y
4. Bertoin, J. (1996). Lévy Processes. Cambridge Tracts in Mathematics 121. Cambridge: Cambridge Univ. Press.
5. Dalalyan, A. and Reiß, M. (2006). Asymptotic statistical equivalence for scalar ergodic diffusions. Probab. Theory Related Fields 134 248–282. 10.1007/s00440-004-0416-1
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