4 citations · 4 across the 7 of their papers we have counts for
4 papers · 1 filter
Learning under Opponent Unawareness in Linear-Quadratic Stochastic Games
Dantong Chu, Xuefeng Gao, Yufei Zhang
As firms increasingly deploy machine learning for strategic decision-making, understanding algorithmic interactions has become central to operations research and economics. This pa…
Convergence Rates of Time Discretization in Extended Mean Field Control
Christoph Reisinger, Wolfgang Stockinger, Maria Olympia Tsianni +1
Piecewise constant control approximation provides a practical framework for designing numerical schemes of continuous-time control problems. We analyze the accuracy of such approxi…
An Offline Learning Approach to Propagator Models
Eyal Neuman, Wolfgang Stockinger, Yufei Zhang
We consider an offline learning problem for an agent who first estimates an unknown price impact kernel from a static dataset, and then designs strategies to liquidate a risky asse…
Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
Christoph Reisinger, Yufei Zhang
This paper proposes penalty schemes for a class of weakly coupled systems of Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) arising from stochastic hybrid control…