2 citations · 5 across the 6 of their papers we have counts for
9 papers
Optimal Control of McKean--Vlasov Branching Diffusion Processes
Julien Claisse, Jiazhi Kang, Tianxu Lan +1
We study an optimal control problem of McKean--Vlasov branching diffusion processes, in which the interaction term is determined by the marginal measure induced by all alive partic…
On McKean-Vlasov Branching Diffusion Processes
Julien Claisse, Jiazhi Kang, Xiaolu Tan
We study a nonlinear branching diffusion process in the sense of McKean, i.e., where particles are subjected to a mean-field interaction. We consider first a strong formulation of…
Mean Field Optimization Problem Regularized by Fisher Information
Julien Claisse, Giovanni Conforti, Zhenjie Ren +1
Recently there is a rising interest in the research of mean field optimization, in particular because of its role in analyzing the training of neural networks. In this paper by add…
Mean Field Games with Branching
Julien Claisse, Zhenjie Ren, Xiaolu Tan
Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical set…
Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method
Ankush Agarwal, Julien Claisse
We study semi-linear elliptic PDEs with polynomial non-linearity and provide a probabilistic representation of their solution using branching diffusion processes. When the non-line…
On the link between infinite horizon control and quasi-stationary distributions
Julien Claisse, Nicolas Champagnat
We study infinite horizon control of continuous-time non-linear branching processes with almost sure extinction for general (positive or negative) discount. Our main goal is to stu…
Some Results on Skorokhod Embedding and Robust Hedging with Local Time
Julien Claisse, Gaoyue Guo, Pierre Henry-Labordere
In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging…
Optimal control of branching diffusion processes: a finite horizon problem
Julien Claisse
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on…
A pseudo-Markov property for controlled diffusion processes
Julien Claisse, Denis Talay, Xiaolu Tan
In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used t…