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math.OC2020★ 2 cited
Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension
Andrea Cosso, Fausto Gozzi, Idris Kharroubi +2
We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs. We first est…
cs.LG2020
Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process
Idris Kharroubi, Thomas Lim, Xavier Warin
We study the approximation of backward stochastic differential equations (BSDEs for short) with a constraint on the gains process. We first discretize the constraint by applying a…