mlsanityData to 14 Oct 2026

Adaptive Partitioning and Learning for Stochastic Control of Diffusion Processes

arXiv 2512.14991 ↗First posted 17 Dec 2025cs.LG math.OC q-fin.PMcited by 1

On the map: Deep reinforcement learning methods → Adversarial robustness and RL in finance

Abstract (arXiv)

We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations research. To overcome the challenges of continuous and high-dimensional domains, we introduce a model-based algorithm that adaptively partitions the joint state-action space. The algorithm maintains estimators of drift, volatility, and rewards within each partition, refining the discretization whenever estimation bias exceeds statistical confidence. This adaptive scheme balances exploration and approximation, enabling efficient learning in unbounded domains. Our analysis establishes regret bounds that depend on the problem horizon, state dimension, reward growth order, and a newly defined notion of zooming dimension tailored to unbounded diffusion processes. The bounds recover existing results for bounded settings as a special case, while extending theoretical guarantees to a broader class of diffusion-type problems. Finally, we validate the effectiveness of our approach through numerical experiments, including applications to high-dimensional problems such as multi-asset mean-variance portfolio selection.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). Placed in Adversarial robustness and RL in finance, one of 15 directions in Deep reinforcement learning methods. First posted on arXiv 17 Dec 2025.

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