activity
20102025
most citedSmall-time asymptotics for fast mean-reverting stochastic volatility models

68 citations · 217 across the 38 of their papers we have counts for

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2 papers · 1 filter

math.CA2024

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…

math.OC2024

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…