Derives PAC-type upper bounds and matching lower bounds on sample complexity for value and policy learning under recursive entropic risk measures, with exponential dependence on |β|/(1-γ).
Risk-sensitive dynamic asset management
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Recursive Entropic Risk Optimization in Discounted MDPs: Sample Complexity Bounds with a Generative Model
Derives PAC-type upper bounds and matching lower bounds on sample complexity for value and policy learning under recursive entropic risk measures, with exponential dependence on |β|/(1-γ).