6 papers
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…
Policy Iteration for Exploratory Hamilton--Jacobi--Bellman Equations
Hung Vinh Tran, Zhenhua Wang, Yuming Paul Zhang
We study the policy iteration algorithm (PIA) for entropy-regularized stochastic control problems on an infinite time horizon with a large discount rate, focusing on two main scena…
Moderate Deviation Principle for Join-The-Shortest-Queue-d Systems
Zhenhua Wang, Ruoyu Wu
The Join-the-Shortest-Queue-d routing policy is considered for a large system with servers. Moderate deviation principles (MDP) for the occupancy process and the empirical queu…
Binomial-tree approximation for time-inconsistent stopping
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
For time-inconsistent stopping in a one-dimensional diffusion setup, we investigate how to use discrete-time models to approximate the original problem. In particular, we consider…
Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems
Yu-Jui Huang, Zhenhua Wang, Zhou Zhou
For a general entropy-regularized stochastic control problem on an infinite horizon, we prove that a policy iteration algorithm (PIA) converges to an optimal relaxed control. Contr…
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes
Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the…