4 papers
Existence of Optimal Stationary Singular Controls and Mean Field Game Equilibria
Asaf Cohen, Chuhao Sun
In this paper, we examine the stationary relaxed singular control problem within a multi-dimensional framework for a single agent, as well as its mean field game equivalent. We dem…
Quantum-inspired nonlinear Galerkin ansatz for high-dimensional HJB equations
Chuhao Sun, Asaf Cohen, James Stokes +1
Neural networks are increasingly recognized as a powerful numerical solution technique for partial differential equations (PDEs) arising in diverse scientific computing domains, in…
Quantum-inspired variational algorithms for partial differential equations: Application to financial derivative pricing
Tianchen Zhao, Chuhao Sun, Asaf Cohen +2
Variational quantum Monte Carlo (VMC) combined with neural-network quantum states offers a novel angle of attack on the curse-of-dimensionality encountered in a particular class of…
Optimal ergodic harvesting under ambiguity
Asaf Cohen, Alexandru Hening, Chuhao Sun
We consider an ergodic harvesting problem with model ambiguity that arises from biology. To account for the ambiguity, the problem is constructed as a stochastic game with two play…