Articles to appear
- DEX Specs: A Mean Field Approach to DeFi Currency Exchanges, with Asaf Cohen and April Nellis, to appear in SIAM Journal on Financial Mathematics. [SSRN]
- Graphon particle system with common noise, with Xihao He and Donghan Kim, to appear in Bernoulli. [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, to appear in SIAM Journal on Financial Mathematics. [SSRN]
- 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]
Preprints
- Mean-Field PhiBE: Continuous-Time Mean-Field Reinforcement Learning from Discrete-Time Data, with Martin Hernandez, Qinxin Yan, Yuhua Zhu. [ArXiv]
- A comparison principle for Wasserstein PDEs with state- and law-dependent common noise, with Ibrahim Ekren, Xihao He, Xin Zhang [ArXiv]
- Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences [ArXiv], with Emmet Lawless.
- Analytical Approach to Continuous-Time Causal Optimal Transport [ArXiv], with Julio Backhoff, Ibrahim Ekren, Antonios Zitridis
- Policy Gradient for Continuous-Time Mean-Field Control [ArXiv], with Martin Hernandez, Qinxin Yan, Yuhua Zhu.
- Equilibrium for Time-inconsistent Mean Field Games: A Systematic Analysis by Entropy Regularization [ArXiv], with Zhenhua Wang, Xiang Yu, Keyu Zhang.
- When Diffusion Model Can Ignore Dimension: An Entropy-Based Theory with Ahmad Aghapour [ArXiv]
- The Demand Externality of Automation [SSRN]
- Conditional Diffusion Under Linear Constraints: Langevin Mixing and Information-Theoretic Guarantees, with Ahmad Aghapour, and Asaf Cohen [ArXiv]
- Entropy-Based Dimension-Free Convergence and Loss-Adaptive Schedules for Diffusion Models, Ahmad Aghapour, Ziqing Zhang [ArXiv]
- Continuous-time Online Learning via Mean-Field Neural Networks: Regret Analysis in Diffusion Environments, with Bingyan Han, Ziqing Zhang. [ArXiv]
- Tractable bank capital structure: optimal control under Basel III constraints, with Etienne Chevalier, Vathana Ly Vath, Yuqiong Wang [ArXiv]
- Reinforcement Learning for Discounted and Ergodic Control of Diffusion Processes, with Ali D. Kara, Somnath Pradhan, Serdar Yuksel. [ArXiv]
- Mean-field games with rough common noise: the compactification approach, with Xihao He, Xiang Yu, Fengyi Yuan. [ArXiv]
- Uniform-in-time propagation of chaos for consensus-based minimax algorithm with Zhiyan Ding, Ibrahim Ekren, Hongyi Zhou. [ArXiv]
- Convergence and turnpike properties of linear-quadratic mean field control problems with common noise, with Jiamin Jian. [ArXiv]
- Quantitative convergence rates for extended mean field games with volatility control, with Hiroaki Horikawa. [ArXiv]
- Deep Neural Operator Learning for Probabilistic Models with Qi Feng, Zecheng Zhang, Zhaoyu Zhang. [ArXiv]
- On hypoellipticity of degenerate operators in testing and detection problems, with Yuqiong Wang. [ArXiv]
- Goal-based portfolio selection with fixed transaction costs, with Bingyan Han and Jingjie Zhang. [SSRN]
- Optimal Matching Strategies in Two-sided Markets: A Mean Field Approach with Dantong Chu, Bohan Li, Ho Man Tai. [ArXiv]
- Viscosity and minimax solutions for path-dependent Hamilton-Jacobi equations in infinite dimensions and related differential games, with Mikhail Gomoyunov, Christian Keller. [ArXiv]
- Solving dynamic portfolio selection problems via score-based diffusion models, Ahmad Aghapour and Fengyi Yuan. [SSRN]
- Contracting a Crowd of Heterogeneous Agents, with Guillermo Alvarez and Ibrahim Ekren. [SSRN]
- Goal-based portfolio selection with mental accounting, with Bingyan Han. [SSRN]
- The Learning Approach to Games, with Melih İşeri. [ArXiv]
- Ergodicity and turnpike properties of linear-quadratic mean field control problems with Jiamin Jian [ArXiv]