55 citations · 100 across the 27 of their papers we have counts for
33 papers
Retirement Planning with Minimum Guarantees for Both Beneficiaries and Fund Managers
Zhaojie Ren, Sheng Wang, Tak Kwong Wong +1
This article studies a retirement planning problem from a new perspective in which a retiree delegates an initial lump sum to a professional fund manager. The fund is managed dynam…
A Variational Approach to Mean Field Type Control
Alain Bensoussan, Ziyu Huang, Sheung Chi Phillip Yam
Variational methods have been used to study stochastic control for long, see Bensoussan (1982) and Bensoussan-Lions (1978) for the early works. More precisely, variational approach…
Mean Field Analysis of Mutual Insurance Market
Bohan Li, Wenyuan Li, Kenneth Tsz Hin Ng +1
A mutual insurance company (MIC) is a type of consumer cooperative owned by its policyholders. By purchasing insurance from an MIC, policyholders effectively become member-owners o…
Generalized Taylor's Law for Dependent and Heterogeneous Heavy-Tailed Data
Pok Him Cheng, Joel E. Cohen, Hok Kan Ling +1
Taylor's law, also known as fluctuation scaling in physics and the power-law variance function in statistics, is an empirical pattern widely observed across fields including ecolog…
On Convergence Rates of General -Player Stackelberg Games to their Mean Field Limits
Alain Bensoussan, Ziyu Huang, Sheng Wang +1
In this article, we establish precise convergence rates of a general class of -Player Stackelberg games to their mean field limits, which allows the response time delay of infor…
Mean Field Type Control Problems Driven by Jump-diffusions
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this article, we apply a probabilistic approach to study general mean field type control (MFTC) problems with jump-diffusions, and give the first global-in-time solution. We all…
Risk-minimizing reinsurance with adverse selection
Ka Chun Cheung, Sheung Chi Phillip Yam, Fei Lung Yuen +1
This paper provides a comprehensive characterization of optimal reinsurance mechanisms under adverse selection when a monopolistic reinsurer faces a continuum of insurers with mult…
Second Order Fully Nonlinear Mean Field Games with Degenerate Diffusions
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this article, we study the global-in-time well-posedness of second order mean field games (MFGs) with both nonlinear drift functions simultaneously depending on the state, distr…
On Mean Field Monotonicity Conditions from Control Theoretical Perspective
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this article, from the viewpoint of control theory, we discuss the relationships among the commonly used monotonicity conditions that ensure the well-posedness of the solutions…
A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method…
Optimal Savings and Value of Population in A Stochastic Environment: Transient Behavior
Hao Liu, Suresh P. Sethi, Tak Kwong Wong +1
We extend the work on optimal investment and consumption of a population considered in [2] to a general stochastic setting over a finite time horizon. We incorporate the Cobb-Dougl…
A Control Theoretical Approach to Mean Field Games and Associated Master Equations
Alain Bensoussan, Ho Man Tai, Tak Kwong Wong +1
We prove the global-in-time well-posedness for a broad class of mean field game problems, which is beyond the special linear-quadratic setting, as long as the mean field sensitivit…
Degenerate Mean Field Type Control with Linear and Unbounded Diffusion, and their Associated Equations
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
We study the well-posedness of a system of forward-backward stochastic differential equations (FBSDEs) corresponding to a degenerate mean field type control problem, when the diffu…
Global Well-Posedness of First-Order Mean Field Games and Master Equations with Nonlinear Dynamics
Alain Bensoussan, Tak Kwong Wong, Sheung Chi Phillip Yam +1
This article presents the variant of the approach introduced in the recent work of Bensoussan, Wong, Yam and Yuan [13] to the generic first-order mean field game problem. A major c…
Linear Quadratic Extended Mean Field Games and Control Problems
Alain Bensoussan, Bohan Li, Sheung Chi Phillip Yam
We provide a thorough study of a general class of linear-quadratic extended mean field games and control problems in any dimensions where the mean field terms are allowed to be unb…
Mean Field Analysis of Two-Party Governance: Competition versus Cooperation among Leaders
Dantong Chu, Kenneth Tsz Hin Ng, Sheung Chi Phillip Yam +1
This article studies linear-quadratic Stackelberg games between two dominating players (or equivalently, leaders) and a large group of followers, each of whom interacts under a mea…
Maximum Principle for Mean Field Type Control Problems with General Volatility Functions
Alain Bensoussan, Ziyu Huang, Sheung Chi Phillip Yam
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using o…
Mean Field Type Control Problems, Some Hilbert-space-valued FBSDEs, and Related Equations
Alain Bensoussan, Ho Man Tai, Sheung Chi Phillip Yam
In this article, we provide an original systematic global-in-time analysis of mean field type control problems on with generic cost functionals by the modified appro…
A Theory of First Order Mean Field Type Control Problems and their Equations
Alain Bensoussan, Tak Kwong Wong, Sheung Chi Phillip Yam +1
In this article, by using several new crucial {\it a priori} estimates which are still absent in the literature, we provide a comprehensive resolution of the first order generic me…
An Effective Multivariate Normality Test via Hessians of Empirical Cumulant Generating Functions
Kwun Chuen Gary Chan, Hok Kan Ling, Chuan-Fa Tang +1
In this article, we propose a new class of consistent tests for -variate normality. These tests are based on the characterization of the standard multivariate normal distributio…
Likelihood-based Spacings Goodness-of-Fit Statistics for Univariate Shape-constrained Densities
Kwun Chuen Gary Chan, Hok Kan Ling, Chuan-Fa Tang +1
A variety of statistics based on sample spacings have been studied for testing goodness-of-fit to parametric distributions. To test the goodness-of-fit to a nonparametric class of…
Control in Hilbert Space and First Order Mean Field Type Problem
Alain Bensoussan, Henry Hang Cheung, Sheung Chi Phillip Yam
We extend the work \cite{bensoussan2019control} by two of the coauthors, which dealt with a deterministic control problem for which the Hilbert space could be generic and investiga…
Value-Gradient based Formulation of Optimal Control Problem and Machine Learning Algorithm
Alain Bensoussan, Jiayue Han, Sheung Chi Phillip Yam +1
Optimal control problem is typically solved by first finding the value function through Hamilton-Jacobi equation (HJE) and then taking the minimizer of the Hamiltonian to obtain th…
Machine Learning and Control Theory
Alain Bensoussan, Yiqun Li, Dinh Phan Cao Nguyen +3
We survey in this article the connections between Machine Learning and Control Theory. Control Theory provide useful concepts and tools for Machine Learning. Conversely Machine Lea…