4 papers
Mean-field games of speedy information access with observation costs
Dirk Becherer, Christoph Reisinger, Jonathan Tam
We investigate mean-field games (MFG) in which agents actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations…
A higher order sparse grid combination technique
Julia Muñoz-Echániz, Christoph Reisinger
We show that a generalised sparse grid combination technique which combines multi-variate extrapolation of finite difference solutions with the standard combination formula lifts a…
Mean-Field Generalisation Bounds for Learning Controls in Stochastic Environments
Boris Baros, Samuel N. Cohen, Christoph Reisinger
We consider a data-driven formulation of the classical discrete-time stochastic control problem. Our approach exploits the natural structure of many such problems, in which signifi…
Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model
Christoph Reisinger, Maria Olympia Tsianni
We analyse a Monte Carlo particle method for the simulation of the calibrated Heston-type local stochastic volatility (H-LSV) model. The common application of a kernel estimator fo…