10 papers
Mean Field Competition of Optimal Switching: The Vanishing Entropy Regularization Approach
Zongxia Liang, Shu Wang, Xiang Yu
This paper studies a type of rank-based mean field game in which competing agents strategically switch among multiple effort regimes. We propose an entropy regularized auxiliary pr…
Equilibrium for Time-inconsistent Mean Field Games: A Systematic Analysis by Entropy Regularization
Erhan Bayraktar, Zhenhua Wang, Xiang Yu +1
This paper studies the existence and approximation of equilibria for general time-inconsistent mean field game (MFG) problems in continuous time. To handle the intricate nonlocal e…
Mean-field game of mean-variance portfolio optimization with peer-based risk aversion
Weilun Cheng, Zongxia Liang, Sheng Wang +1
This paper investigates a class of mean-field game (MFG) for mean-variance (MV) portfolio optimization, highlighting a new type of relative performance encoded by the peer-based ri…
A Reinforcement Learning Framework for Some Singular Stochastic Control Problems
Zongxia Liang, Xiaodong Luo, Xiang Yu
We develop a continuous-time reinforcement learning framework for a class of singular stochastic control problems without entropy regularization. The optimal singular control is ch…
Reinforcement learning for irreversible reinsurance problems: the randomized singular control approach
Zongxia Liang, Xiaodong Luo, Xiang Yu
This paper studies the continuous-time reinforcement learning for stochastic singular control with the application to an infinite-horizon irreversible reinsurance problem. The sing…
Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets
Yue Cao, Zongxia Liang, Sheng Wang +1
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective…