3 papers
math.OC2026
Optimal control of McKean-Vlasov systems under partial observation and hidden Markov switching
Marco Fuhrman, Huyên Pham, Silvia Ruda
We study a class of mean-field control problems under partial observation. The controlled dynamics are of McKean-Vlasov type and are subject to regime switching driven by a hidden…
cs.LG2025
Spherical Tree-Sliced Wasserstein Distance
Viet-Hoang Tran, Thanh T. Chu, Khoi N. M. Nguyen +3
Sliced Optimal Transport (OT) simplifies the OT problem in high-dimensional spaces by projecting supports of input measures onto one-dimensional lines and then exploiting the close…
math.OC2024
Trading with propagators and constraints: applications to optimal execution and battery storage
Eduardo Abi Jaber, Nathan De Carvalho, Huyên Pham
Motivated by optimal execution with stochastic signals, market impact and constraints in financial markets, and optimal storage management in commodity markets, we formulate and so…