6 citations · 11 across the 5 of their papers we have counts for
13 papers
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…
-player and Mean-field Games in Itô-diffusion Markets with Competitive or Homophilous Interaction
Ruimeng Hu, Thaleia Zariphopoulou
In Itô-diffusion environments, we introduce and analyze -player and common-noise mean-field games in the context of optimal portfolio choice in a common market. The players inve…
Signatured Deep Fictitious Play for Mean Field Games with Common Noise
Ming Min, Ruimeng Hu
Existing deep learning methods for solving mean-field games (MFGs) with common noise fix the sampling common noise paths and then solve the corresponding MFGs. This leads to a nest…
Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asympto…
Recurrent Neural Networks for Stochastic Control Problems with Delay
Jiequn Han, Ruimeng Hu
Stochastic control problems with delay are challenging due to the path-dependent feature of the system and thus its intrinsic high dimensions. In this paper, we propose and systema…
Optimal Policies for a Pandemic: A Stochastic Game Approach and a Deep Learning Algorithm
Yao Xuan, Robert Balkin, Jiequn Han +2
Game theory has been an effective tool in the control of disease spread and in suggesting optimal policies at both individual and area levels. In this paper, we propose a multi-reg…