4 papers
The -bounds for Derivatives of Unitary Developments of Random Continuous Geometric Rough Paths
Chong Liu, Zijiu Lyu, Hao Ni
In this paper we derive an explicit formula for derivatives of unitary developments of random continuous geometric rough paths of all orders and establish proper -bounds for t…
Mean-Field Games with Constraints
Anran Hu, Zijiu Lyu
This paper introduces a framework of Constrained Mean-Field Games (CMFGs), where each agent solves a constrained Markov decision process (CMDP). This formulation captures scenarios…
Policy Transfer for Continuous-Time Reinforcement Learning: A (Rough) Differential Equation Approach
Xin Guo, Zijiu Lyu
This paper studies policy transfer, one of the well-known transfer learning techniques adopted in large language models, for continuous-time reinforcement learning problems. In the…
Restricted Path Characteristic Function Determines the Law of Stochastic Processes
Siran Li, Zijiu Lyu, Hao Ni +1
A central question in rough path theory is characterising the law of stochastic processes on path spaces. It is established in [I. Chevyrev & T. Lyons, Characteristic functions of…