20 citations · 57 across the 19 of their papers we have counts for
4 papers · 1 filter
The microstructure of information through mean field learning interaction
Panagiotis E. Souganidis, Renyuan Xu, Thaleia Zariphopoulou
We study how knowledge about partially observable model parameters is being created and propagated in large scale systems. Information is generated from observational signals whose…
Forward recursive aggregator systems and the forward Epstein-Zin recursive paradigm
Zakaria Bensaid, Anis Matoussi, Thaleia Zariphopoulou
We introduce forward recursive aggregator systems in It{ô}-diffusion markets, bridging the theories of recursive utilities and of forward performance criteria. The resulting criter…
High-Order Expansions of the Optimizer Map via Bell Polynomials
Oleksii Mostovyi, Thaleia Zariphopoulou
Completely monotonic inverse marginal (CMIM) utilities, introduced in [MSZ24], constitute a tractable class of preferences that includes many of the most important utility function…
On the optimal portfolio problem with partial information and related mean field games with relative performance criteria
Panagiotis Souganidis, Thaleia Zariphopoulou
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach t…