30 citations · 119 across the 28 of their papers we have counts for
5 papers · 1 filter
Mean Field Games with Branching
Julien Claisse, Zhenjie Ren, Xiaolu Tan
Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical set…
Continuous-Time Principal-Agent Problem in Degenerate Systems
Kaitong Hu, Zhenjie Ren, Nizar Touzi
In this paper we present a variational calculus approach to Principal-Agent problem with a lump-sum payment on finite horizon in degenerate stochastic systems, such as filtered par…
Mean-field Langevin System, Optimal Control and Deep Neural Networks
Kaitong Hu, Anna Kazeykina, Zhenjie Ren
In this paper, we study a regularised relaxed optimal control problem and, in particular, we are concerned with the case where the control variable is of large dimension. We introd…
Mean-Field Langevin Dynamics and Energy Landscape of Neural Networks
Kaitong Hu, Zhenjie Ren, David Siska +1
Our work is motivated by a desire to study the theoretical underpinning for the convergence of stochastic gradient type algorithms widely used for non-convex learning tasks such as…
Principal-agent problem with multiple principals
Kaitong Hu, Zhenjie Ren, Junjian Yang
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal s…