22 citations · 43 across the 21 of their papers we have counts for
6 papers · 1 filter
When Should a Human Take Back Control? Optimal Delegation under Turbulent AI Risk
Haoze Yan, Julien Roze, Ved Upadhyay +2
Deploying AI systems requires deciding when to delegate tasks and when humans should intervene to monitor and mitigate risk induced by AI operations. These decisions are challengin…
Continuous-Time Reinforcement Learning for Controlled Hawkes Jump-Diffusions
Tomasz R. Bielecki, Thibaut Mastrolia, Haoze Yan
We study stochastic control of multivariate Hawkes-driven stochastic differential equations with machine learning algorithms in a non-Markovian setting. Due to the path dependence…
Signature Methods for Optimal Market Making
Alberto Gennaro, Thibaut Mastrolia, Francesca Primavera
We propose a signature-based method to solve the optimal market-making problem under a mean-variance criterion. By exploiting signature linearization techniques, we reduce the mark…
Deep ZakaiJ: Structured Filtering for Jump-Diffusion Time Series Forecasting
Yan Leng, Thibaut Mastrolia, Hao Wang
Time series driven by unobserved latent states frequently exhibit abrupt jump discontinuities whose timing and magnitude cannot be predicted from observed history alone. Classical…
Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPs
Isabel Agostino, Thibaut Mastrolia
We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that th…
Learning Optimal Liquidation with Closing Auctions
Julius Graf, Thibaut Mastrolia
We study liquidation when continuous trading is followed by a closing auction. The trader first sells through a limit-order book, then submits signed auction schedules to adjust th…