5 papers
Dimension-free error estimate for diffusion model and optimal scheduling
Valentin de Bortoli, Romuald Elie, Anna Kazeykina +2
Diffusion generative models have emerged as powerful tools for producing synthetic data from an empirically observed distribution. A common approach involves simulating the time-re…
Deep Signature Approach for McKean-Vlasov FBSDEs in a Random Environment
Ruimeng Hu, Botao Jin, Mathieu Laurière +1
Mean-field games with common noise provide a powerful framework for modeling the collective behavior of large populations subject to shared randomness, such as systemic risk in fin…
On time-consistent equilibrium stopping under aggregation of diverse discount rates
Shuoqing Deng, Xiang Yu, Jiacheng Zhang
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation…
Major-Minor Mean Field Game of Stopping: An Entropy Regularization Approach
Xiang Yu, Jiacheng Zhang, Keyu Zhang +1
This paper studies a discrete-time major-minor mean field game of stopping where the major player can choose either an optimal control or stopping time. We look for the relaxed equ…
Minimax-optimal trust-aware multi-armed bandits
Changxiao Cai, Jiacheng Zhang
Multi-armed bandit (MAB) algorithms have achieved significant success in sequential decision-making applications, under the premise that humans perfectly implement the recommended…