9 papers
Deterministic Policy Gradient for Learning Equilibrium in Time-Inconsistent Control Problems
Xin Guo, Yijie Huang, Xiang Yu
In this paper, we develop a continuous-time model-free reinforcement learning algorithm to learn deterministic equilibrium policies in general time-inconsistent control problems. U…
Mean-field games with rough common noise: the compactification approach
Erhan Bayraktar, Xihao He, Xiang Yu +1
We study mean-field game (MFG) problems with rough common noise, in which the representative state dynamics are governed by a controlled rough stochastic differential equation driv…
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…
Equilibrium under Time-Inconsistency: A New Existence Theory by Vanishing Entropy Regularization
Zhenhua Wang, Xiang Yu, Jingjie Zhang +1
This paper develops a framework for establishing the existence of solutions to the equilibrium Hamilton-Jacobi-Bellman (EHJB) equation arising in time-inconsistent stochastic contr…
Policy Iteration Achieves Regularized Equilibrium under Time Inconsistency
Yu-Jui Huang, Xiang Yu, Keyu Zhang
For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy…