42 citations · 87 across the 17 of their papers we have counts for
19 papers
Convergence Rates of Time Discretization in Extended Mean Field Control
Christoph Reisinger, Wolfgang Stockinger, Maria Olympia Tsianni +1
Piecewise constant control approximation provides a practical framework for designing numerical schemes of continuous-time control problems. We analyze the accuracy of such approxi…
An Offline Learning Approach to Propagator Models
Eyal Neuman, Wolfgang Stockinger, Yufei Zhang
We consider an offline learning problem for an agent who first estimates an unknown price impact kernel from a static dataset, and then designs strategies to liquidate a risky asse…
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems
Xingyuan Chen, Goncalo dos Reis, Wolfgang Stockinger
We study a class of McKean--Vlasov Stochastic Differential Equations (MV-SDEs) with drifts and diffusions having super-linear growth in measure and space -- the maps have general p…
Linear convergence of a policy gradient method for some finite horizon continuous time control problems
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Despite its popularity in the reinforcement learning community, a provably convergent policy gradient method for continuous space-time control problems with nonlinear state dynamic…
A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
We propose a PDE-based accelerated gradient algorithm for optimal feedback controls of McKean-Vlasov dynamics that involve mean-field interactions both in the state and action. The…
Path regularity of coupled McKean-Vlasov FBSDEs
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
This paper establishes Hölder time regularity of solutions to coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). This is not only of fundamental…
Optimal regularity of extended mean field controls and their piecewise constant approximation
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
We consider the control of McKean-Vlasov dynamics whose coefficients have mean field interactions in the state and control. We show that for a class of linear-convex mean field con…
A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Christoph Reisinger, Wolfgang Stockinger, Yufei Zhang
Fully coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs) arise naturally from large population optimization problems. Judging the quality of given…
Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
Gunther Leobacher, Christoph Reisinger, Wolfgang Stockinger
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-depe…
Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise
Chaman Kumar, Neelima, Christoph Reisinger +1
In this paper, we first establish well-posedness of McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs) with common noise, possibly with coefficients having super-…
An adaptive Euler-Maruyama scheme for McKean-Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
Christoph Reisinger, Wolfgang Stockinger
In this paper, we introduce adaptive Euler-Maruyama schemes for McKean-Vlasov stochastic differential equations (SDEs) assuming only a standard monotonicity condition on the drift…
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
Jianhai Bao, Christoph Reisinger, Panpan Ren +1
In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs),…
First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
Jianhai Bao, Christoph Reisinger, Panpan Ren +1
In this paper, we derive fully implementable first order time-stepping schemes for McKean--Vlasov stochastic differential equations (McKean--Vlasov SDEs), allowing for a drift term…
On Pair Correlation of Sequences
Gerhard Larcher, Wolfgang Stockinger
We give a survey on the concept of Poissonian pair correlation (PPC) of sequences in the unit interval, on existing and recent results and we state a list of open problems. Moreove…
On a multi-dimensional Poissonian pair correlation concept and uniform distribution
Aicke Hinrichs, Lisa Kaltenböck, Gerhard Larcher +2
The aim of the present article is to introduce a concept which allows to generalise the notion of Poissonian pair correlation, a second-order equidistribution property, to higher d…
Some negative results related to Poissonian pair correlation problems
Gerhard Larcher, Wolfgang Stockinger
We say that a sequence in has Poissonian pair correlations if \begin{equation*} \lim_{N \to \infty} \frac{1}{N} \# \left \lbrace 1 \leq l \neq m…
Pair correlation of sequences with maximal order of additive energy
Gerhard Larcher, Wolfgang Stockinger
We show for sequences of distinct positive integers with maximal order of additive energy, that the sequence $\left(\left\{a_{n} α\right\}\r…
The Champernowne constant is not Poissonian
Ísabel Pirsic, Wolfgang Stockinger
We say that a sequence in has Poissonian pair correlations if \begin{equation*} \lim_{N \to \infty} \frac{1}{N} \# \lbrace 1 \leq l \neq m \leq N…
A survey on M. B. Levin's proofs for the exact lower discrepancy bounds of special sequences and point sets
Lisa Kaltenböck, Wolfgang Stockinger
The goal of this overview article is to give a tangible presentation of recent breakthrough works in discrepancy theory by M. B. Levin. These works provide proofs for the exact low…