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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…
Deep-MKV-TS: Path-Dependent McKean--Vlasov Control for Financial Time Series Generation
Samer El Boustany, Théo Basseras, Samy Mekkaoui +3
We introduce Deep-MKV-TS, a path-dependent McKean-Vlasov framework for financial scenario generation. The stochastic dynamics are chosen by matching selected path and volatility fe…
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…
Trading in CEXs and DEXs with Priority Fees and Stochastic Delays
Philippe Bergault, Yadh Hafsi, Leandro Sánchez-Betancourt
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impul…