4 citations · 6 across the 11 of their papers we have counts for
12 papers
Dimension-free error estimate for diffusion model and optimal scheduling
Valentin de Bortoli, Romuald Elie, Anna Kazeykina +2
Diffusion generative models have emerged as powerful tools for producing synthetic data from an empirically observed distribution. A common approach involves simulating the time-re…
Deep Signature Approach for McKean-Vlasov FBSDEs in a Random Environment
Ruimeng Hu, Botao Jin, Mathieu Laurière +1
Mean-field games with common noise provide a powerful framework for modeling the collective behavior of large populations subject to shared randomness, such as systemic risk in fin…
Major-Minor Mean Field Game of Stopping: An Entropy Regularization Approach
Xiang Yu, Jiacheng Zhang, Keyu Zhang +1
This paper studies a discrete-time major-minor mean field game of stopping where the major player can choose either an optimal control or stopping time. We look for the relaxed equ…
Minimax-optimal trust-aware multi-armed bandits
Changxiao Cai, Jiacheng Zhang
Multi-armed bandit (MAB) algorithms have achieved significant success in sequential decision-making applications, under the premise that humans perfectly implement the recommended…
Deep Learning for Population-Dependent Controls in Mean Field Control Problems with Common Noise
Gokce Dayanikli, Mathieu Lauriere, Jiacheng Zhang
In this paper, we propose several approaches to learn the optimal population-dependent controls in order to solve mean field control problems (MFC). Such policies enable us to solv…
On time-consistent equilibrium stopping under aggregation of diverse discount rates
Shuoqing Deng, Xiang Yu, Jiacheng Zhang
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation…
Optimization frameworks and sensitivity analysis of Stackelberg mean-field games
Xin Guo, Anran Hu, Jiacheng Zhang
This paper proposes and studies a class of discrete-time finite-time-horizon Stackelberg mean-field games, with one leader and an infinite number of identical and indistinguishable…
Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents
Thibaut Mastrolia, Jiacheng Zhang
We investigate the existence of an optimal policy to monitor a mean field systems of agents managing a risky project under moral hazard with accidents modeled by Lévy processes mag…
Stationary solutions and local equations for interacting diffusions on regular trees
Daniel Lacker, Jiacheng Zhang
We study the invariant measures of infinite systems of stochastic differential equations (SDEs) indexed by the vertices of a regular tree. These invariant measures correspond to Gi…
Superposition and mimicking theorems for conditional McKean-Vlasov equations
Daniel Lacker, Mykhaylo Shkolnikov, Jiacheng Zhang
We consider conditional McKean-Vlasov stochastic differential equations (SDEs), such as the ones arising in the large-system limit of mean field games and particle systems with mea…
Inverting the Markovian projection, with an application to local stochastic volatility models
Daniel Lacker, Mykhaylo Shkolnikov, Jiacheng Zhang
We study two-dimensional stochastic differential equations (SDEs) of McKean--Vlasov type in which the conditional distribution of the second component of the solution given the fir…
Dynamics of observables in rank-based models and performance of functionally generated portfolios
Sergio A. Almada Monter, Mykhaylo Shkolnikov, Jiacheng Zhang
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite t…