Articles to appear
- Graphon particle system: Uniform-in-time concentration bounds, with Ruoyu Wu, to appear in Stochastic Processes and Their Applications [ArXiv], [Journal]
- A Potential-based Construction of the Increasing Spermartingale Coupling, with Dominykas Norgilas and Shuoqing Deng, to appear in Annals of Applied Probability. [ArXiv]
- Data-Driven Nonparametric Robust Control under Dependence Uncertainty, with Tao Chen, to appear in the Peter Carr Gedenkschrift. [SSRN]
- Graphon Mean Field Systems, with Suman Chakraborty and Ruoyu Wu, to appear in Annals of Applied Probability. [ArXiv].
- Stability of Equilibria in Time-inconsistent Stopping Problems with Zhenhua Wang and Zhou Zhou, to appear in the SIAM Journal on Control and Optimization. [ArXiv]
Preprints
- Stability and Sample Complexity of Divergence Regularized Optimal Transport, with Stephan Eckstein and Xin Zhang. [ArXiv]
- Deep Signature Algorithm for Path-Dependent American option pricing, with Qi Feng, Zhaoyu Zhang. [ArXiv]
- Finite Approximations and Q learning for Mean Field Type Multi Agent Control with Nicole Bauerle, Ali Devran Kara. [ArXiv]
- A neural network approach to high-dimensional optimal switching problem with jumps in energy markets, with Asaf Cohen and April Nellis. [SSRN]
- A smooth variational principle on Wasserstein space, with Ibrahim Ekren, Xin Zhang. [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]
- A PDE approach for regret bounds under partial monitoring, with Ibrahim Ekren and Xin Zhang [ArXiv]
- Supermartingale shadow couplings: the decreasing case, with Dominykas Norgilas and Shuoqing Deng. [ArXiv]
- Concentration of measure for Graphon particle system, with Donghan Kim. [ArXiv]
- Exponential Entropy dissipation for weakly self-consistent Vlasov-Fokker-Planck equations, with Qi Feng and Wuchen Li. [ArXiv]
- Diffusions on Graph as Time Changed Multi-parameter Processes, with Jingjie Zhang and Xin Zhang. [ArXiv]
- An Approximate Reinforcement Learning Algorithm for Controlled Diffusion Processes, with Ali Kara. [ArXiv]
- Nonparametric Adaptive Robust Control Under Model Uncertainty, with Tao Chen. [ArXiv]
- Propagation of Chaos of Forward-Backward Stochastic Differential Equations with Graphon Interactions, with Ruoyu Wu and Xin Zhang. [ArXiv]
- Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes, with Zhenhua Wang and Zhou Zhou. [ArXiv]
- Mean field control and finite dimensional approximation for regime-switching jump diffusions, with Alekos Cecchin and Prakash Chakraborty. [ArXiv]
- Countercyclical unemployment benefits: General Equilibrium Analysis of Transition Dynamics, with Indrajit Mitra and Jingjie Zhang. [SSRN]
- A Central Limit Theorem for Diffusion in Sparse Random Graphs, with Hamed Amini and Suman Chakraborty [ArXiv]
- K-core in percolated dense graph sequences, with Suman Chakraborty and Xin Zhang. [ArXiv]
- Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case, with Bahman Angoshtari and Jenny Young [SSRN]
- Optimal Stopping with Expectation Constraint, with Song Yao. [ArXiv]
- McKean-Vlasov equations involving hitting times: blow-ups and global solvability, with Gaoyue Guo, Wenpin Tang, Yuming (Paul) Zhang. [ArXiv]