Reinforcement Learning for Continuous-Time Jump Markov Decision Processes with Applications to Network Dynamic Pricing

We study reinforcement learning (RL) in Continuous-Time Jump Markov Decision Processes (CTJMDPs) featuring general discrete state spaces (which need not possess a vector space structure) and continuous/discrete action spaces. The setup covers many well-known applications in operations such as multi-product dynamic pricing with capacitated resources (Gallego and van Ryzin 1997). To model the exploration-exploitation tradeoff, we formulate an entropy-regularized continuous-time control problem with stochastic policies. Recent continuous-time RL techniques such as $q$-learning for controlled diffusions in (Jia and Zhou 2023) focus on continuous state spaces $\mathbb{R}^d$ and rely heavily on semimartingale theory in $\mathbb{R}^d$ for their theoretical analysis. Consequently, their methods cannot be directly applied to CTJMDPs with general discrete state spaces, which may lack the algebraic addition and subtraction structures inherent to Euclidean spaces. To bridge this gap, we establish the theoretical foundations of $q$-learning for CTJMDPs and develop model-free $q$-learning algorithms. Compared to naïve time discretization and approximating CTJMDPs using discrete-time MDPs, our approach has several conceptual and empirical benefits. Numerical experiments in network dynamic pricing (Gallego and van Ryzin 1997) show that our proposed RL algorithm reliably learns near-optimal policies and consistently outperforms standard benchmark methods, demonstrating superior solution quality and effective scalability to large-scale network instances.

Continuous-Time Reinforcement Learning for Controlled Hawkes Jump-Diffusions

We study stochastic control of multivariate Hawkes-driven stochastic differential equations with machine learning algorithms in a non-Markovian setting. Due to the path dependence of the memory of the Hawkes intensity, this problem does not fall within classical stochastic control theory outside particular Markovian kernels. We first develop a finite-dimensional Markovianization procedure and algorithm to approximate multivariate Hawkes processes with mixtures of exponential kernels. We prove the convergence of the Markovianized approximation of the Hawkes process, its intensity, and the value of the problem to the original non-Markovian processes and the value of the primal problem. We then formulate continuous-time deterministic policy gradient learning on the Markovianized approximation of the problem, called Hawkes-CT DDPG. We propose a model-free algorithm to solve the non-Markovian Hawkes-driven optimization by observing only the event times of the process, the realization of the solution to the SDE, and a chosen set of decay filters, while the Hawkes kernel coefficients remain unknown. We compare our continuous time reinforcement learning Hawkes-CT DDPG method with discrete time reinforcement learning techniques under three different types of kernels: simple exponential, Erlang, and power-law kernels.

Entropy Regularization Improves Policy Robustness in Continuous-Time Reinforcement Learning

Entropy regularization is widely used in continuous-time reinforcement learning (RL) to reduce sensitivity to environmental perturbations, yet its robustness benefits lack a rigorous theoretical foundation. This paper establishes the first robustness guarantees for entropy-regularized continuous-time Markov decision processes. We show that maximizing an entropy-regularized objective yields a lower bound on a worst-case robust RL problem with joint reward and transition perturbations. We analytically characterize the induced robust sets and prove that they expand monotonically with the regularization strength, justifying the empirical observation that stronger entropy improves robustness. In contrast to prior discrete-time analyses, our results remove the intractable state-distribution entropy term and provide guarantees invariant to action frequency. Experiments on queueing network control and market making confirm our theory, showing that entropy-regularized policies outperform greedy and $ε$-greedy baselines under dynamics perturbations.