4 papers
Reinforcement Learning for SBM Graphon Games with Re-Sampling
Peihan Huo, Oscar Peralta, Junyu Guo +2
The Mean-Field approximation is a tractable approach for studying large population dynamics. However, its assumption on homogeneity and universal connections among all agents limit…
Wong--Zakai approximation of regime-switching SDEs via rough path theory
Jasper Barr, Giang T. Nguyen, Oscar Peralta
This paper investigates the convergence of Wong--Zakai approximations to regime-switching stochastic differential equations, generated by a collection of finite-variation approxima…
Duration-dependent stochastic fluid processes and solar energy revenue modeling
Hamed Amini, Andreea Minca, Oscar Peralta
We endow the classical stochastic fluid process with a duration-dependent Markovian arrival process (DMArP). We show that this provides a flexible model for the revenue of a solar…
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Eric C. K. Cheung, Oscar Peralta, Jae-Kyung Woo
In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-exponential marginals is proposed. The class is shown to possess various attractive properties…