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Stochastic Maximum Principle for McKean-Vlasov Control with Discrete Path Dependence
Yadh Hafsi, Samy Mekkaoui, Huyên Pham
We study a class of McKean-Vlasov control problems with discrete path dependence. The coefficients and cost functional may depend on finitely many past values of the controlled sta…
Policy Gradient Learning for Distributionally Robust Markov Decision Processes under Wasserstein Ambiguity
Yadh Hafsi, Samy Mekkaoui, Huyên Pham +1
We study finite-horizon Markov decision processes under distributional uncertainty in the transition kernels and develop a policy-gradient framework for Wasserstein distributionall…
Learning Generative Dynamics with Soft Path-Law Constraints: A McKean-Vlasov FBSDE Approach
Samer El Boustany, Samy Mekkaoui, Yadh Hafsi +2
We introduce a unified framework for learning stochastic dynamics from distributional observations and discretely observed trajectories. The key contribution is to combine soft law…