4 papers
Limit theory for mean-field control problems with common noise adapted controls
Bruno Bouchard, Xiaolu Tan
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field co…
Unbiased simulation of Asian options
Bruno Bouchard, Xiaolu Tan
We provide an extension of the unbiased simulation method for SDEs developed in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to a class of path-dependent dynamics, pe…
On the regularity of solutions of some linear parabolic path-dependent PDEs
Bruno Bouchard, Xiaolu Tan
We study a class of linear parabolic path-dependent PDEs (PPDEs) defined on the space of càdlàg paths , in which the coefficient functions at time depend on $x(…
Near-continuous time Reinforcement Learning for continuous state-action spaces
Lorenzo Croissant, Marc Abeille, Bruno Bouchard
We consider the Reinforcement Learning problem of controlling an unknown dynamical system to maximise the long-term average reward along a single trajectory. Most of the literature…