3 papers
math.OC2025
Deep Learning for the Multiple Optimal Stopping Problem
Mathieu Laurière, Mehdi Talbi
This paper presents a novel deep learning framework for solving multiple optimal stopping problems in high dimensions. While deep learning has recently shown promise for single sto…
math.PR2025
Itô-Wentzell formulas for semimartingale conditional laws with applications to mean-field control
Nizar Touzi, Mehdi Talbi
The present paper is an extension of Fadle-Touzi (2024). Following the same methodology, merely based on Taylor expansions, we establish the Itô and Itô-Wentzell formulae for flows…
math.PR2025
Markov approximation for controlled Hawkes Jump-Diffusions with general kernels
Mahmoud Khabou, Mehdi Talbi
We present a Markov approximation for jump-diffusions whose jump part consists in a Hawkes process with intensity driven by a general (possibly non-monotone) kernel. Under minimal…