9 citations · 18 across the 11 of their papers we have counts for
3 papers · 1 filter
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…