Abstract:This paper develops a model-based framework for continuous-time policy evaluation (CTPE) in reinforcement learning, incorporating both Brownian and Lévy noise to model stochastic dynamics influenced by rare and extreme events. Our approach formulates the policy evaluation problem as solving a partial integro-differential equation (PIDE) for the value function with unknown coefficients. A key challenge in this setting is accurately recovering the unknown coefficients in the stochastic dynamics, particularly when driven by Lévy processes with heavy tail effects. To address this, we propose a robust numerical approach that effectively handles both unbiased and censored trajectory datasets. This method combines maximum likelihood estimation with an iterative tail correction mechanism, improving the stability and accuracy of coefficient recovery. Additionally, we establish a theoretical bound for the policy evaluation error based on coefficient recovery error. Through numerical experiments, including a real-data BTC price experiment, we demonstrate the effectiveness and robustness of our method in recovering heavy-tailed Lévy dynamics and verify the theoretical error analysis in policy evaluation.
From: Qihao Ye [view email]
[v1]
Wed, 2 Apr 2025 08:37:14 UTC (3,388 KB)
[v2]
Thu, 24 Apr 2025 07:39:44 UTC (3,391 KB)
[v3]
Mon, 22 Jun 2026 19:41:18 UTC (4,345 KB)
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