68 citations · 217 across the 38 of their papers we have counts for
4 papers · 1 filter
Convergence of Multi-Scale Reinforcement Q-Learning Algorithms for Mean Field Game and Control Problems
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière +1
We establish the convergence of the unified two-timescale Reinforcement Learning (RL) algorithm presented in a previous work by Angiuli et al. This algorithm provides solutions to…
Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces
Andrea Angiuli, Jean-Pierre Fouque, Ruimeng Hu +1
We present the development and analysis of a reinforcement learning (RL) algorithm designed to solve continuous-space mean field game (MFG) and mean field control (MFC) problems in…
Collective Arbitrage and the Value of Cooperation
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to coope…
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…