16 citations · 103 across the 24 of their papers we have counts for
4 papers · 1 filter
Dynamic Programming Principles for Mean-Field Controls with Learning
Haotian Gu, Xin Guo, Xiaoli Wei +1
Dynamic programming principle (DPP) is fundamental for control and optimization, including Markov decision problems (MDPs), reinforcement learning (RL), and more recently mean-fiel…
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…
Transaction Cost Analytics for Corporate Bonds
Xin Guo, Charles-Albert Lehalle, Renyuan Xu
The electronic platform has been increasingly popular for executing large corporate bond orders by asset managers, who in turn have to assess the quality of their executions via Tr…
Learning Mean-Field Games
Xin Guo, Anran Hu, Renyuan Xu +1
This paper presents a general mean-field game (GMFG) framework for simultaneous learning and decision-making in stochastic games with a large population. It first establishes the e…