2 papers
math.OC2026
Thompson Sampling Algorithm for Stochastic Games
Asaf Cohen, Ruolan He, Yuqiong Wang
We study a stochastic differential game with competitive players in a linear-quadratic framework with ergodic cost, where -dimensional diffusion processes govern the state d…
q-fin.TR2024
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges
Erhan Bayraktar, Asaf Cohen, April Nellis
We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choos…