2 papers
math.PR2025
On the convergence of the Euler-Maruyama scheme for McKean-Vlasov SDEs
Noufel Frikha, Xuanye Song
Building on the well-posedness of the backward Kolmogorov partial differential equation in the Wasserstein space, we analyze the strong and weak convergence rates for approximating…
math.OC2024
Full error analysis of policy gradient learning algorithms for exploratory linear quadratic mean-field control problem in continuous time with common noise
Noufel Frikha, Huyên Pham, Xuanye Song
We consider reinforcement learning (RL) methods for finding optimal policies in linear quadratic (LQ) mean field control (MFC) problems over an infinite horizon in continuous time,…