Recent Articles

Articles to appear

  • Fitted Value Iteration Methods for Bicausal Optimal Transport, with Bingyan Han, to appear in Applied Mathematics and Optimization [ArXiv]
  • Probabilistic cellular automata with local transition matrices: synchronization, ergodicity, and inference, with Fei Lu, Mauro Maggioni, Ruoyu Wu, Sichen Yang, to appear in Bernoulli [ArXiv]
  • Finite Approximations and Q learning for Mean Field Type Multi-Agent Control with Nicole Bauerle, Ali Devran Kara, to appear in Applied Mathematics and Optimization [ArXiv]
  • Equilibrium transport with time-inconsistent costs: An application to matching problems in the job market, with Bingyan Han, to appear in Mathematics of Operations Research [SSRN], [Journal]
  • Systemic robustness: a mean-field particle system approach, with Gaoyue Guo, Wenpin Tang, Yuming Paul Zhang, to appear in Mathematical Finance [ArXiv], [Journal]
  • On Time-inconsistency in Mean Field Games, with Zhenhua Wang, to appear in Mathematical Finance [ArXiv], [Journal]
  • Non-parametric estimates for graphon mean-field particle systems, with Hongyi Zhou, to appear in Bernoulli. [ArXiv]
  • Relaxed Equilibria for Time-Inconsistent Markov Decision Processes, with Yu-Jui Huang, Zhenhua Wang and Zhou Zhou. [ArXiv], [Journal], to appear in Mathematics of Operations Research.

Preprints

  • Goal-based portfolio selection with mental accounting, with Bingyan Han. [SSRN]
  • Comparison for semi-continuous viscosity solutions for second order PDEs on the Wasserstein space, with Ibrahim Ekren, Xihao He, and Xin Zhang. [ArXiv]
  • Uniform-in-time weak propagation of chaos for consensus-based optimization, with Ibrahim Ekren, Hongyi Zhou [ArXiv]
  • The Learning Approach to Games, with Melih İşeri. [ArXiv]
  • Ergodicity and turnpike properties of linear-quadratic mean field control problems with Jiamin Jian [ArXiv]
  • Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space, with Hang Cheung, Ibrahim Ekren, Jinniao Qiu, Ho Man Tai, Xin Zhang [ArXiv]
  • On the mean-field limit of diffusive games through the master equation: extreme value analysis, with Nikolaos Kolliopoulos [ArXiv].
  • Learning with Linear Function Approximations in Mean-Field Control, with Ali Devran Kara [ArXiv]
  • Generalizing Super/Sub MOT using weak L1 transport, with Dominykas Norgilas [ArXiv]
  • DEX Specs: A Mean Field Approach to DeFi Currency Exchanges, with Asaf Cohen and April Nellis. [SSRN]
  • The McCormick martingale optimal transport, with Binghan Yan and Dominykas Norgilas. [ArXiv]
  • A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings, with, Clémence Alasseur, Roxana Dumitrescu, and Quentin Jacquet. [SSRN]