4 papers
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…
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…
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…
Tree-Sliced Wasserstein Distance: A Geometric Perspective
Viet-Hoang Tran, Trang Pham, Tho Tran +4
Many variants of Optimal Transport (OT) have been developed to address its heavy computation. Among them, notably, Sliced Wasserstein (SW) is widely used for application domains by…