4 citations · 4 across the 6 of their papers we have counts for
6 papers
Catalan Numbers, Riccati Equations and Convergence
Yicheng Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
We analyze both finite and infinite systems of Riccati equations derived from stochastic differential games on infinite networks. We discuss a connection to the Catalan numbers and…
Multivariate Systemic Risk Measures and Computation by Deep Learning Algorithms
Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque +1
In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions. We discuss the key relate…
Deep Learning for Systemic Risk Measures
Yichen Feng, Ming Min, Jean-Pierre Fouque
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital al…
Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies
Yichen Feng, Jean-Pierre Fouque, Ruimeng Hu +1
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, w…
Linear-Quadratic Stochastic Differential Games on Random Directed Networks
Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
The study of linear-quadratic stochastic differential games on directed networks was initiated in Feng, Fouque \& Ichiba \cite{fengFouqueIchiba2020linearquadratic}. In that work, t…
Linear-Quadratic Stochastic Differential Games on Directed Chain Networks
Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
We study linear-quadratic stochastic differential games on directed chains inspired by the directed chain stochastic differential equations introduced by Detering, Fouque, and Ichi…