4 citations · 8 across the 9 of their papers we have counts for
11 papers
Finite-player Optimal Stopping Games: Randomization, -potentiality, and Learning
Xin Guo, Mehdi Talbi, Qinxin Yan
Finite-player nonzero-sum optimal stopping games typically lead to coupled equilibrium systems whose complexity grows rapidly with the number of players. We introduce an independen…
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…
Optimal control of Volterra integral diffusions and application to contract theory
Dylan Possamaï, Mehdi Talbi
This paper focuses on the optimal control of a class of stochastic Volterra integral equations. Here the coefficients are regular and not assumed to be of convolution type. We show…
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…
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…
Itō and Itō-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach
Assil Fadle, Mehdi Talbi, Nizar Touzi
We provide a general Itō\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along…
Mean-field games of optimal stopping: master equation and weak equilibria
Dylan Possamaï, Mehdi Talbi
We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimi…
A finite-dimensional approximation for partial differential equations on Wasserstein space
Mehdi Talbi
This paper presents a finite-dimensional approximation for a class of partial differential equations on the space of probability measures. These equations are satisfied in the sens…
From finite population optimal stopping to mean field optimal stopping
Mehdi Talbi, Nizar Touzi, Jianfeng Zhang
This paper analyzes the convergence of the finite population optimal stopping problem towards the corresponding mean field limit. Building on the viscosity solution characterizatio…
Viscosity solutions for obstacle problems on Wasserstein space
Mehdi Talbi, Nizar Touzi, Jianfeng Zhang
This paper is a continuation of our accompanying paper [Talbi, Touzi and Zhang (2021)], where we characterized the mean field optimal stopping problem by an obstacle equation on th…
Dynamic programming equation for the mean field optimal stopping problem
Mehdi Talbi, Nizar Touzi, Jianfeng Zhang
We study the optimal stopping problem of McKean-Vlasov diffusions when the criterion is a function of the law of the stopped process. A remarkable new feature in this setting is th…