Entropy Regularized Reinforcement Learning for Zero-Sum Stochastic Differential Games in a Regime-Switching Jump-Diffusion Process

arXiv:2606.28669v1 Announce Type: new Abstract: To address parameter misspecification and sudden structural environmental changes in conventional stochastic differential game (SDG) frameworks, this paper introduces a distributional control approach that characterizes optimal strategies as probability distributions over actions, conditioned on the continuous state, the discrete regime state, and parameters. This forms a reinforcement learning framework for entropy-regularized zero-sum stochastic ...