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06/07/2023
K-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control
We propose a novel K-nearest neighbor resampling procedure for estimatin...
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11/01/2022
Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems
We study the global linear convergence of policy gradient (PG) methods f...
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08/22/2022
An explicit Milstein-type scheme for interacting particle systems and McKean–Vlasov SDEs with common noise and non-differentiable drift coefficients
We propose an explicit drift-randomised Milstein scheme for both McKean–...
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06/29/2022
Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups
We consider two implicit approximation schemes of the one-dimensional su...
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05/31/2022
Hedging option books using neural-SDE market models
We study the capability of arbitrage-free neural-SDE market models to yi...
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03/22/2022
Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems
Despite its popularity in the reinforcement learning community, a provab...
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02/15/2022
Estimating risks of option books using neural-SDE market models
In this paper, we examine the capacity of an arbitrage-free neural-SDE m...
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01/19/2022
Markov decision processes with observation costs
We present a framework for a controlled Markov chain where the state of ...
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05/24/2021
Arbitrage-free neural-SDE market models
Modelling joint dynamics of liquid vanilla options is crucial for arbitr...
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12/17/2020
Simulation of conditional expectations under fast mean-reverting stochastic volatility models
In this short paper, we study the simulation of a large system of stocha...
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10/16/2020
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise
We prove the well-posedness of solutions to McKean-Vlasov stochastic dif...
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10/11/2020
Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem
The supercooled Stefan problem and its variants describe the freezing of...
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09/17/2020
Regularity and time discretization of extended mean field control problems: a McKean-Vlasov FBSDE approach
We analyze the solution regularity and discrete-time approximations of e...
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07/15/2020
A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Fully coupled McKean-Vlasov forward-backward stochastic differential equ...
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06/26/2020
Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift
In this paper, we first establish well-posedness results of McKean-Vlaso...
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06/24/2020
Understanding Deep Architectures with Reasoning Layer
Recently, there has been a surge of interest in combining deep learning ...
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05/31/2020
Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise
In this paper, we first establish well-posedness of McKean-Vlasov stocha...
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05/12/2020
An adaptive Euler-Maruyama scheme for McKean SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
In this paper, we introduce a fully implementable, adaptive Euler-Maruya...
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05/03/2020
Milstein schemes for delay McKean equations and interacting particle systems
In this paper, we derive fully implementable first order time-stepping s...
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04/07/2020
First order convergence of Milstein schemes for McKean equations and interacting particle systems
In this paper, we derive fully implementable first order time-stepping s...
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01/09/2020
Regularity and stability of feedback relaxed controls
This paper proposes a relaxed control regularization with general explor...
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06/05/2019
A neural network based policy iteration algorithm with global H^2-superlinear convergence for stochastic games on domains
In this work, we propose a class of numerical schemes for solving semili...
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03/15/2019
Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
In this paper, we establish that for a wide class of controlled stochast...
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02/28/2019