3 papers
math.OC2024
Multi-Agent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm
Liwei Lu, Ruimeng Hu, Xu Yang +1
This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion ma…
math.NA2024
Weak Collocation Regression for Inferring Stochastic Dynamics with Lévy Noise
Liya Guo, Liwei Lu, Zhijun Zeng +2
With the rapid increase of observational, experimental and simulated data for stochastic systems, tremendous efforts have been devoted to identifying governing laws underlying the…
math.NA2023
Temporal Difference Learning for High-Dimensional PIDEs with Jumps
Liwei Lu, Hailong Guo, Xu Yang +1
In this paper, we propose a deep learning framework for solving high-dimensional partial integro-differential equations (PIDEs) based on the temporal difference learning. We introd…