165 citations · 322 across the 37 of their papers we have counts for
42 papers
Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions
Ben Hambly, Renyuan Xu, Huining Yang
We consider two-player non-zero-sum linear-quadratic Gaussian games in which both players aim to minimize a quadratic cost function while controlling a linear and stochastic state…
Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
Ben Hambly, Aldaïr Petronilia, Christoph Reisinger +2
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback.…
An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line
Ben Hambly, Julian Meier, Andreas Sojmark
We consider a system of particles undergoing correlated diffusion with elastic boundary conditions on the half-line. By taking the large particle limit we establish existence and u…
McKean-Vlasov Equations with Positive Feedback through Elastic Stopping Times
Ben Hambly, Julian Meier
We prove existence and uniqueness of physical and minimal solutions to McKean-Vlasov equations with positive feedback through elastic stopping times. We do this by establishing a r…
Recent Advances in Reinforcement Learning in Finance
Ben Hambly, Renyuan Xu, Huining Yang
The rapid changes in the finance industry due to the increasing amount of data have revolutionized the techniques on data processing and data analysis and brought new theoretical a…
A Stochastic Model of Chemorepulsion with Additive Noise and Nonlinear Sensitivity
Ilya Chevyrev, Ben Hambly, Avi Mayorcas
We consider a stochastic partial differential equation (SPDE) model for chemorepulsion, with non-linear sensitivity on the one-dimensional torus. We show that for any suitable init…