29 citations · 119 across the 29 of their papers we have counts for
6 papers · 1 filter
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
Chengfan Gao, Siping Gao, Ruimeng Hu +1
The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jen…
Higher-Order error estimates for physics-informed neural networks approximating the primitive equations
Ruimeng Hu, Quyuan Lin, Alan Raydan +1
Large-scale dynamics of the oceans and the atmosphere are governed by primitive equations (PEs). Due to the nonlinearity and nonlocality, the numerical study of the PEs is generall…
Pandemic Control, Game Theory and Machine Learning
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 AMS Notices article, we focus…
Learning High-Dimensional McKean-Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence
Jiequn Han, Ruimeng Hu, Jihao Long
One of the core problems in mean-field control and mean-field games is to solve the corresponding McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). Most…
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…
Local Martingale Solutions and Pathwise Uniqueness for the Three-dimensional Stochastic Inviscid Primitive Equations
Ruimeng Hu, Quyuan Lin
We study the stochastic effect on the three-dimensional inviscid primitive equations (PEs, also called the hydrostatic Euler equations). Specifically, we consider a larger class of…