4 citations · 6 across the 5 of their papers we have counts for
5 papers
Mean Field Games with Reflected Dynamics: Penalization and Relaxed Control Approach
Ayoub Laayoun, Badr Missaoui
In this paper, we investigate a class of Mean Field Games (MFGs) in which the state dynamics are governed by multidimensional reflected stochastic differential equations (SDEs). We…
Deep Policy Iteration for High-Dimensional Mean Field Games
Mouhcine Assouli, Badr Missaoui
This paper introduces Deep Policy Iteration (DPI), a novel approach that integrates the strengths of Neural Networks with the stability and convergence advantages of Policy Iterati…
Szego Theorem for Operator Orthogonal Polynomials
Badr Missaoui, Nicholas H. Bingham
In this paper, we extend some classical results of the Szego theory of orthogonal polynomials on the unit circle to the infinite-dimensional case, and we establish the correspondin…
Deep Learning for Mean Field Games with non-separable Hamiltonians
Mouhcine Assouli, Badr Missaoui
This paper introduces a new method based on Deep Galerkin Methods (DGMs) for solving high-dimensional stochastic Mean Field Games (MFGs). We achieve this by using two neural networ…
Nonparametric and arbitrage-free construction of call surfaces using l1-recovery
Pierre M. Blacque-Florentin, Badr Missaoui
This paper is devoted to the application of an -minimisation technique to construct an arbitrage-free call-option surface. We propose a nononparametric approach to obtaining…