6 papers
Sharp Wasserstein Convergence Rates for Empirical Path Laws of Itô Processes
Xihao He, Fengyi Yuan
We establish the sharp logarithmic order for the expected -Wasserstein distance, induced by the supremum norm, between the empirical law of independent cop…
Mean-field games with rough common noise: the compactification approach
Erhan Bayraktar, Xihao He, Xiang Yu +1
We study mean-field game (MFG) problems with rough common noise, in which the representative state dynamics are governed by a controlled rough stochastic differential equation driv…
Optimal consumption under loss-averse multiplicative habit-formation preferences
Bahman Angoshtari, Xiang Yu, Fengyi Yuan
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horiz…
Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model
Ahmad Aghapour, Erhan Bayraktar, Fengyi Yuan
We study dynamic data generation and its application to model-free dynamic portfolio selection. Existing score-based diffusion models are typically designed to learn a static data…
Unified continuous-time q-learning for mean-field game and mean-field control problems
Xiaoli Wei, Xiang Yu, Fengyi Yuan
This paper studies the continuous-time q-learning in mean-field jump-diffusion models in a setting where the environment simulator does not provide direct access to the population…
Time-inconsistent mean-field stopping problems: A regularized equilibrium approach
Xiang Yu, Fengyi Yuan
This paper studies the mean-field Markov decision process (MDP) with the centralized stopping under the non-exponential discount. The problem differs fundamentally from most existi…