73 citations · 279 across the 29 of their papers we have counts for
3 papers · 1 filter
Neural feedback approximation for stochastic control with degenerate diffusions: error estimates and numerical analysis
Olivier Bokanowski, Jean-François Chassagneux, Marco Scaratti +1
We study finite-horizon stochastic optimal control problems and approximate the resulting time-discrete formulation by a direct policy-learning problem over neural-network feedback…
Numerical Approximation for Path-Dependent McKean-Vlasov Control with Non-Asymptotic Error Estimates
Olivier Bokanowski, Jean-Francois Chassagneux, Xinyu Li +1
Path-dependent McKean--Vlasov (MKV) control models large interacting populations with history-dependent dynamics and costs. This paper develops a unified approximation-and-learning…
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
Lokman A Abbas-Turki, Jean-François Chassagneux, Jean-Fran{\c c}ois Chassagneux +4
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becom…