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math.OC2024★ 1 cited
Unified continuous-time q-learning for mean-field game and mean-field control problems
Xiaoli Wei, Xiang Yu, Fengyi Yuan
This paper studies the continuous-time q-learning in mean-field jump-diffusion models in a setting where the environment simulator does not provide direct access to the population…
q-fin.MF2024
Optimal consumption under loss-averse multiplicative habit-formation preferences
Bahman Angoshtari, Xiang Yu, Fengyi Yuan
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horiz…