11 citations · 14 across the 3 of their papers we have counts for
4 papers
On path-dependent multidimensional forward-backward SDEs
Kaitong Hu, Zhenjie Ren, Nizar Touzi
This paper extends the results of Ma, Wu, Zhang, Zhang [11] to the context of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-de…
Continuous-Time Principal-Agent Problem in Degenerate Systems
Kaitong Hu, Zhenjie Ren, Nizar Touzi
In this paper we present a variational calculus approach to Principal-Agent problem with a lump-sum payment on finite horizon in degenerate stochastic systems, such as filtered par…
Mean-field Langevin System, Optimal Control and Deep Neural Networks
Kaitong Hu, Anna Kazeykina, Zhenjie Ren
In this paper, we study a regularised relaxed optimal control problem and, in particular, we are concerned with the case where the control variable is of large dimension. We introd…
Mean-Field Langevin Dynamics and Energy Landscape of Neural Networks
Kaitong Hu, Zhenjie Ren, David Siska +1
Our work is motivated by a desire to study the theoretical underpinning for the convergence of stochastic gradient type algorithms widely used for non-convex learning tasks such as…