7 papers
Finite-player Optimal Stopping Games: Randomization, -potentiality, and Learning
Xin Guo, Mehdi Talbi, Qinxin Yan
Finite-player nonzero-sum optimal stopping games typically lead to coupled equilibrium systems whose complexity grows rapidly with the number of players. We introduce an independen…
Optimal control of Volterra integral diffusions and application to contract theory
Dylan Possamaï, Mehdi Talbi
This paper focuses on the optimal control of a class of stochastic Volterra integral equations. Here the coefficients are regular and not assumed to be of convolution type. We show…
Deep Learning for the Multiple Optimal Stopping Problem
Mathieu Laurière, Mehdi Talbi
This paper presents a novel deep learning framework for solving multiple optimal stopping problems in high dimensions. While deep learning has recently shown promise for single sto…
ItÅ and ItÅ-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach
Assil Fadle, Mehdi Talbi, Nizar Touzi
We provide a general ItÅ\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along…
Itô-Wentzell formulas for semimartingale conditional laws with applications to mean-field control
Nizar Touzi, Mehdi Talbi
The present paper is an extension of Fadle-Touzi (2024). Following the same methodology, merely based on Taylor expansions, we establish the Itô and Itô-Wentzell formulae for flo…
Mean-field games of optimal stopping: master equation and weak equilibria
Dylan Possamaï, Mehdi Talbi
We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimi…