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math.OC2026
Robust mean field control: an application to optimal execution under composite uncertainty
Huafu Liao, Shuhui Liu, Chenchen Mou +1
We provide a framework for robust mean field control problems that describe multi-dimensional optimal liquidation problems under uncertainty from both the underlying stochastic pro…
math.OC2025
Convergence analysis of controlled particle systems arising in deep learning: from finite to infinite sample size
Huafu Liao, Alpár R. Mészáros, Alpár R. Mészáros +2
This paper deals with a class of neural SDEs and studies the limiting behavior of the associated sampled optimal control problems as the sample size grows to infinity. The neural S…
math.OC2024
Linear-Quadratic Mean Field Control with Non-Convex Data
Mengzhen Li, Chenchen Mou, Zhen Wu +1
In this manuscript, we study a class of linear-quadratic (LQ) mean field control problems with a common noise and their corresponding -particle systems. The mean field control p…