This paper presents a principled way for dealing with occlusions in visual tracking which is a long-standing issue in computer vision but largely remains unsolved. As the major innovation, we develop a learning-based jump-diffusion process to jointly track object locations and estimate their visibility statuses over time. Our method employs in particular a set of jump dynamics to change object's visibility statuses and a set of diffusion dynamics to track objects in videos. Different from the traditional jump-diffusion process that stochastically generates dynamics, we utilize deep policy functions to determine the best dynamic at the present step and learn the optimal policies from raw videos using reinforcement learning methods.Our method is capable of tracking objects with severe occlusions in crowded scenes and thus recovers the complete trajectories of objects that undergo multiple interactions with others. We evaluate the proposed method on challenging video sequences and compare it to alternative methods. Significant improvements are obtained particularly for the videos including frequent interactions or occlusions.