4 citations · 5 across the 8 of their papers we have counts for
8 papers
Optimal Control of Stochastic Partial Differential Equations with Partial Observations: Stochastic Maximum Principles and Numerical Approximation
Yanzhao Cao, Hongjiang Qian, George Yin
This work establishes a general stochastic maximum principle for partially observed optimal control of semi-linear stochastic partial differential equations in a nonconvex control…
Closed-loop Equilibria for Mean-Field Games in Randomly Switching Environments with General Discounting Costs
Hongwei Mei, Son Luu Nguyen, George Yin
This work is devoted to finding the closed-loop equilibria for a class of mean-field games (MFGs) with infinitely many symmetric players in a common switching environment when the…
A hybrid deep learning method for finite-horizon mean-field game problems
Yu Zhang, Zhuo Jin, Jiaqin Wei +1
This paper develops a new deep learning algorithm to solve a class of finite-horizon mean-field games. The proposed hybrid algorithm uses Markov chain approximation method combined…
Second-Order Fast-Slow Stochastic Systems
Nhu N. Nguyen, George Yin
This paper focuses on systems of nonlinear second-order stochastic differential equations with multi-scales. The motivation for our study stems from mathematical physics and statis…
Mean-Variance Type Controls Involving a Hidden Markov Chain: Models and Numerical Approximation
Zhixin Yang, George Yin, Qing Zhang
Motivated by applications arising in networked systems, this work examines controlled regime-switching systems that stem from a mean-variance formulation. A main point is that the…
Stability of Numerical Methods for Jump Diffusions and Markovian Switching Jump Diffusions
Zhixin Yang, G. Yin, Haibo Li
This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptoti…