9 citations · 18 across the 11 of their papers we have counts for
11 papers
Asymptotic Analysis of Mean Field Games with Small Common Noise
Saran Ahuja, Weiluo Ren, Tzu-Wei Yang
In this paper, we consider a mean field game (MFG) model perturbed by small common noise. Our goal is to give an approximation of the Nash equilibrium strategy of this game using a…
Forward-backward stochastic differential equations with monotone functionals and mean field games with common noise
Saran Ahuja, Weiluo Ren, Tzu-Wei Yang
In this paper, we consider a system of forward-backward stochastic differential equations (FBSDEs) with monotone functionals. We show the existence and uniqueness of such a system…
Mean Field Model for Collective Motion Bistability
Josselin Garnier, George Papanicolaou, Tzu-Wei Yang
We consider the Czirók model for collective motion of locusts along a one-dimensional torus. In the model, each agent's velocity locally interacts with other agents' velocities in…
Limit order trading with a mean reverting reference price
Saran Ahuja, George Papanicolaou, Weiluo Ren +1
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting op…
A risk analysis for a system stabilized by a central agent
Josselin Garnier, George Papanicolaou, Tzu-Wei Yang
We formulate and analyze a multi-agent model for the evolution of individual and systemic risk in which the local agents interact with each other through a central agent who, in tu…
A reduced-form model for level-1 limit order books
Tzu-Wei Yang, Lingjiong Zhu
One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the bigge…
Consensus Convergence with Stochastic Effects
Josselin Garnier, George Papanicolaou, Tzu-Wei Yang
We consider a stochastic, continuous state and time opinion model where each agent's opinion locally interacts with other agents' opinions in the system, and there is also exogenou…
Asymptotics for a Class of Self-Exciting Point Processes
Tzu-Wei Yang, Lingjiong Zhu
In this paper, we study a class of self-exciting point processes. The intensity of the point process has a nonlinear dependence on the past history and time. When a new jump occurs…
Probability of Failure in Hypersonic Engines Using Large Deviations
George Papanicolaou, Nicholas West, Tzu-Wei Yang
We consider a reduced order model of an air-breathing hypersonic engine with a time-dependent stochastic inflow that may cause the failure of the engine. The probability of failure…
Anomalous Shock Displacement Probabilities for a Perturbed Scalar Conservation Law
Josselin Garnier, George Papanicolaou, Tzu-Wei Yang
We consider an one-dimensional conservation law with random space-time forcing and calculate using large deviations the exponentially small probabilities of anomalous shock profile…
Large deviations for a mean field model of systemic risk
Josselin Garnier, George Papanicolaou, Tzu-Wei Yang
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. T…