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20022026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

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Showing 2019 · math.PRShow all

4 papers · 2 filters

math.PR2019

Large fluctuations in multi-scale modeling for rest erythropoiesis

Celine Bonnet, Sylvie Méléard

Erythropoiesis is a mechanism for the production of red blood cells by cellular differentiation. It is based on amplification steps due to an interplay between renewal and differen…

math.PR2019★ 3 cited

Continuous-Time Principal-Agent Problem in Degenerate Systems

Kaitong Hu, Zhenjie Ren, Nizar Touzi

In this paper we present a variational calculus approach to Principal-Agent problem with a lump-sum payment on finite horizon in degenerate stochastic systems, such as filtered par…

math.PR2019★ 11 cited

Mean-field Langevin System, Optimal Control and Deep Neural Networks

Kaitong Hu, Anna Kazeykina, Zhenjie Ren

In this paper, we study a regularised relaxed optimal control problem and, in particular, we are concerned with the case where the control variable is of large dimension. We introd…

math.PR2019

Scaling Limit of Sub-ballistic 1D Random Walk among Biased Conductances: a Story of Wells and Walls

Quentin Berger, Michele Salvi

We consider a one-dimensional random walk among biased i.i.d. conductances, in the case where the random walk is transient but sub-ballistic: this occurs when the conductances have…