42 citations · 300 across the 66 of their papers we have counts for
77 papers
Liquidity Provision and Rebate Design in Option Markets
Samuel N. Cohen, Lyndon Drake, Zihan Guo +1
We provide a model for the nested optimisation problem of market making and rebate design problems in option markets and find optimal strategies. A single market maker trades multi…
A stochastic Fokker--Planck equation for the mean-field limit of a population of noisy integrate-and-fire neurons
Ben Hambly, Aldaïr Petronilia, Christoph Reisinger +1
We study a densely connected system of excitatory integrate-and-fire neurons which are subject to common noise. The system incorporates a gradual transmission of action potentials…
Probabilistic estimates for a system of noisy integrate-and-fire neurons
Ben Hambly, Aldaïr Petronilia, Christoph Reisinger +1
In this note, we establish various probabilistic estimates for an interacting particle system that describes the evolution of the membrane potentials in a network of excitatory int…
Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
Ben Hambly, Aldaïr Petronilia, Christoph Reisinger +2
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback.…
Randomness and early termination: what makes a game exciting?
Gaoyue Guo, Sam D. Howison, Dylan Possamaï +1
In this paper we revisit an open problem posed by Aldous on the max-entropy win-probability martingale: given two players of equal strength, such that the win-probability is a mart…
-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control
Michael Giegrich, Roel Oomen, Christoph Reisinger
In this paper, we propose a novel -nearest neighbor resampling procedure for estimating the performance of a policy from historical data containing realized episodes of a decisi…