11 citations · 46 across the 19 of their papers we have counts for
6 papers · 1 filter
Scalable Bi-causal Optimal Transport via KL Relaxation and Policy Gradients
Haoyang Cao, Jesse Hoekstra, Renyuan Xu +2
Bi-causal optimal transport (OT) is a natural framework for comparing and coupling stochastic processes under nonanticipative information constraints, with important applications i…
Approximation of N-player stochastic games with singular controls by mean field games
Haoyang Cao, Xin Guo, Joon Seok Lee
This paper establishes that a class of -player stochastic games with singular controls, either of bounded velocity or of finite variation, can both be approximated by mean field…
Stationary Discounted and Ergodic Mean Field Games of Singular Control
Haoyang Cao, Jodi Dianetti, Giorgio Ferrari
We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted an…
MFGs for partially reversible investment
Haoyang Cao, Xin Guo
This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for t…
Nonzero-sum stochastic games and mean-field games with impulse controls
Matteo Basei, Haoyang Cao, Xin Guo
We consider a general class of nonzero-sum -player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a…
Approximation of Mean Field Games to N-Player Stochastic Games, with Singular Controls
Haoyang Cao, Xin Guo, Joon Seok Lee
This paper establishes that -player stochastic games with singular controls, either of bounded velocity or of finite variation, can both be approximated by mean field games (MFG…