16 citations · 16 across the 6 of their papers we have counts for
6 papers
Catalan Numbers, Riccati Equations and Convergence
Yicheng Feng, Jean-Pierre Fouque, Tomoyuki Ichiba
We analyze both finite and infinite systems of Riccati equations derived from stochastic differential games on infinite networks. We discuss a connection to the Catalan numbers and…
Analysis of Multiscale Reinforcement Q-Learning Algorithms for Mean Field Control Games
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière +1
Mean Field Control Games (MFCG), introduced in [Angiuli et al., 2022a], represent competitive games between a large number of large collaborative groups of agents in the infinite l…
Multivariate Systemic Risk Measures and Computation by Deep Learning Algorithms
Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque +1
In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions. We discuss the key relate…
Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game
Andrea Angiuli, Nils Detering, Jean-Pierre Fouque +2
We propose a mean field control game model for the intra-and-inter-bank borrowing and lending problem. This framework allows to study the competitive game arising between groups of…
Deep Learning for Systemic Risk Measures
Yichen Feng, Ming Min, Jean-Pierre Fouque
The aim of this paper is to study a new methodological framework for systemic risk measures by applying deep learning method as a tool to compute the optimal strategy of capital al…
Systemic Risk and Stochastic Games with Delay
Rene Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi +1
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of banks is described by coupl…