4 papers
INEUS: Iterative Neural Solver for High-Dimensional PIDEs
Jean-Loup Dupret, Davide Gallon, Patrick Cheridito
In this paper, we introduce INEUS, a meshfree iterative neural solver for partial integro-differential equations (PIDEs). The method replaces the explicit evaluation of nonlocal ju…
General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework
Jean-Loup Dupret, Edouard Motte
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at i…
Deep Learning for Continuous-Time Stochastic Control with Jumps
Patrick Cheridito, Jean-Loup Dupret, Donatien Hainaut
In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural net…
ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Optimal Execution with Endogenous Liquidity
Patrick Cheridito, Jean-Loup Dupret, Zhexin Wu
Classical optimal execution models treat market impact as a pre-specified, exogenous process. However, when market makers adapt strategically, this assumption becomes a structural…