8 papers
Optimal exit strategies of CPT gamblers in unfair gambles
Sang Hu, Xun Yu Zhou
In this paper we study optimal exit strategies of gamblers with cumulative prospect theory (CPT) preferences in games where the expected payoff is strictly negative at each play, a…
Tweedie's Formulae and Diffusion Generative Models Beyond Gaussian
Wenpin Tang, Nizar Touzi, Zikun Zhang +1
Diffusion models have achieved remarkable success in generating samples from unknown data distributions. Most popular stochastic differential equation-based diffusion models pertur…
Continuous-time q-learning for mean-field control with common noise, part-II: q-learning algorithms
Zhenjie Ren, Xiaoli Wei, Xiang Yu +1
This paper is a continuation work of Ren et al. (2026) aiming to further devise q-learning algorithms for mean-field control (MFC) with controlled common noise. Based on the relaxe…
Continuous-time q-learning for mean-field control with common noise, part-I: Theoretical foundations
Zhenjie Ren, Xiaoli Wei, Xiang Yu +1
This paper investigates the continuous-time counterpart of the Q-function for entropy-regularized mean-field control (MFC) with controlled common noise, coined as q-function by Jia…
Generating solution paths of Markovian stochastic differential equations using diffusion models
Xuefeng Gao, Jiale Zha, Xun Yu Zhou
This paper introduces a new approach to generating sample paths of unknown Markovian stochastic differential equations (SDEs) using diffusion models, a class of generative AI metho…
Reinforcement Learning for Jump-Diffusions, with Financial Applications
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
We study continuous-time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump-diffusion processes. We formulate an entropy-regularized e…