Discretization error from regularized Reinforcement Learning to continuous-time stochastic control

Huyên Pham; Yuming Paul Zhang; Yuhua Zhu

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arXiv · 2604.21179

Discretization error from regularized Reinforcement Learning to continuous-time stochastic control

Huyên Pham·Yuming Paul Zhang·Yuhua Zhu

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Abstract

This paper establishes a rigorous connection between regularized discrete-time reinforcement learning (RL) and continuous-time stochastic optimal control. Specifically, classical RL algorithms are typically solving a regularized discrete-time Bellman equation. We study the discretization error, namely, the gap between the optimal policy induced by the regularized discrete-time Bellman equation and the true optimal feedback control of the underlying continuous-time stochastic control problem. By deriving quantitative convergence rates for this gap, we provide a rigorous foundation for understanding the stability and implementation of exploratory RL policies in stochastic continuous-time environments.

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BibTeX RIS

Huyên Pham, Yuming Paul Zhang, Yuhua Zhu. 2026-04-23. Discretization error from regularized Reinforcement Learning to continuous-time stochastic control. https://arxiv.org/abs/2604.21179

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