5 papers
Neural Actor-Critic Methods for Hamilton-Jacobi-Bellman PDEs: Asymptotic Analysis and Numerical Studies
Samuel N. Cohen, Jackson Hebner, Deqing Jiang +1
We mathematically analyze and numerically study an actor-critic machine learning algorithm for solving high-dimensional Hamilton-Jacobi-Bellman (HJB) partial differential equations…
The Exponentially Weighted Signature
Alexandre Bloch, Samuel N. Cohen, Terry Lyons +2
The signature is a canonical representation of a multidimensional path over an interval. However, it treats all historical information uniformly, offering no intrinsic mechanism fo…
Linking Path-Dependent and Stochastic Volatility Models
Samuel N. Cohen, Cephas Svosve
We explore a link between stochastic volatility (SV) and path-dependent volatility (PDV) models. Using assumed density filtering, we map a given SV model into a corresponding PDV r…
Mean-Field Generalisation Bounds for Learning Controls in Stochastic Environments
Boris Baros, Samuel N. Cohen, Christoph Reisinger
We consider a data-driven formulation of the classical discrete-time stochastic control problem. Our approach exploits the natural structure of many such problems, in which signifi…
Hyperbolic contractivity and the Hilbert metric on probability measures
Samuel N. Cohen, Eliana Fausti
This paper gives a self-contained introduction to the Hilbert projective metric and its fundamental properties, with a particular focus on the space of probability me…