68 citations · 217 across the 38 of their papers we have counts for
3 papers · 1 filter
Reinforcement Learning for Mean Field Games, with Applications to Economics
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Lauriere
Mean field games (MFG) and mean field control problems (MFC) are frameworks to study Nash equilibria or social optima in games with a continuum of agents. These problems can be use…
Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asympto…
Optimal Trading with Signals and Stochastic Price Impact
Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and stud…