16 citations · 103 across the 24 of their papers we have counts for
6 papers · 1 filter
Itô's formula for flows of measures on semimartingales
Xin Guo, Huyên Pham, Xiaoli Wei
We establish Itô's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on Itô processes. Ou…
Entropy Regularization for Mean Field Games with Learning
Xin Guo, Renyuan Xu, Thaleia Zariphopoulou
Entropy regularization has been extensively adopted to improve the efficiency, the stability, and the convergence of algorithms in reinforcement learning. This paper analyzes both…
Logarithmic regret for episodic continuous-time linear-quadratic reinforcement learning over a finite-time horizon
Matteo Basei, Xin Guo, Anran Hu +1
We study finite-time horizon continuous-time linear-quadratic reinforcement learning problems in an episodic setting, where both the state and control coefficients are unknown to t…
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
Rama Cont, Xin Guo, Renyuan Xu
We analyze a class of stochastic differential games of singular control, motivated by the study of a dynamic model of interbank lending with benchmark rates. We describe Pareto opt…
A General Framework for 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…
Mean-Field Controls with Q-learning for Cooperative MARL: Convergence and Complexity Analysis
Haotian Gu, Xin Guo, Xiaoli Wei +1
Multi-agent reinforcement learning (MARL), despite its popularity and empirical success, suffers from the curse of dimensionality. This paper builds the mathematical framework to a…