4 citations · 7 across the 10 of their papers we have counts for
10 papers
Learning conditional distributions on continuous spaces
Cyril Bénézet, Ziteng Cheng, Sebastian Jaimungal
We investigate sample-based learning of conditional distributions on multi-dimensional unit boxes, allowing for different dimensions of the feature and target spaces. Our approach…
Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning
Ziteng Cheng, Anthony Coache, Sebastian Jaimungal
We investigate a framework for robo-advisors to estimate non-expert clients' risk aversion using adaptive binary-choice questionnaires. We model risk aversion using cost functions…
The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state space. Our study focuses on the joint distribution of the two-sided exit time and…
Distributional Method for Risk Averse Reinforcement Learning
Ziteng Cheng, Sebastian Jaimungal, Nick Martin
We introduce a distributional method for learning the optimal policy in risk averse Markov decision process with finite state action spaces, latent costs, and stationary dynamics.…
Risk-averse mean field games: exploitability and non-asymptotic analysis
Ziteng Cheng, Sebastian Jaimungal
In this paper, we use mean field games (MFGs) to investigate approximations of -player games (pGs) with uniformly symmetrically continuous heterogeneous closed-loop actions.…
Risk-Averse Markov Decision Processes through a Distributional Lens
Ziteng Cheng, Sebastian Jaimungal
By adopting a distributional viewpoint on law-invariant convex risk measures, we construct dynamics risk measures (DRMs) at the distributional level. We then apply these DRMs to in…
Wiener-Hopf Factorization for Arithmetic Brownian Motion with Time-Dependent Drift and Volatility
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
In this paper we obtain a Wiener-Hopf type factorization for a real-valued arithmetic Brownian motion with time-dependent drift and volatility. To the best of our knowledge, this p…
Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains
Tomasz R. Bielecki, Ziteng Cheng, Igor Cialenco +1
This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the…
Bayesian Estimations for Diagonalizable Bilinear SPDEs
Ziteng Cheng, Igor Cialenco, Ruoting Gong
The main goal of this paper is to study the parameter estimation problem, using the Bayesian methodology, for the drift coefficient of some linear (parabolic) SPDEs driven by a mul…
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
Tomasz R. Bielecki, Igor Cialenco, Ruoting Gong +1
In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investiga…