| Publication | Date of Publication | Type |
|---|
Recent developments in machine learning methods for stochastic control and games
Numerical Algebra, Control and Optimization | 2024-10-08 | Paper |
Learning High-Dimensional McKean–Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence
SIAM Journal on Numerical Analysis | 2024-01-25 | Paper |
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
SIAM Journal on Financial Mathematics | 2024-01-05 | Paper |
Local martingale solutions and pathwise uniqueness for the three-dimensional stochastic inviscid primitive equations
Stochastic and Partial Differential Equations. Analysis and Computations | 2023-11-30 | Paper |
| On the Long-time Dynamics and Ergodicity of the Stochastic Nernst-Planck-Navier-Stokes System | 2023-10-31 | Paper |
A class of dimension-free metrics for the convergence of empirical measures
Stochastic Processes and their Applications | 2023-09-15 | Paper |
| Anisotropic Viscosities Estimation for the Stochastic Primitive Equations | 2023-09-13 | Paper |
Higher-order error estimates for physics-informed neural networks approximating the primitive equations
SN Partial Differential Equations and Applications | 2023-08-14 | Paper |
| Directed Chain Generative Adversarial Networks | 2023-04-25 | Paper |
Systemic risk models for disjoint and overlapping groups with equilibrium strategies
Statistics & Risk Modeling | 2023-01-19 | Paper |
| Pathwise Solutions for Stochastic Hydrostatic Euler Equations and Hydrostatic Navier-Stokes Equations Under the Local Rayleigh Condition | 2023-01-18 | Paper |
\(N\)-player and mean-field games in Itô-diffusion markets with competitive or homophilous interaction
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
Convergence of deep fictitious play for stochastic differential games
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets
SIAM Journal on Financial Mathematics | 2022-02-15 | Paper |
Recurrent neural networks for stochastic control problems with delay
MCSS. Mathematics of Control, Signals, and Systems | 2021-12-13 | Paper |
Deep fictitious play for stochastic differential games
Communications in Mathematical Sciences | 2021-12-08 | Paper |
Multiscale asymptotic analysis for portfolio optimization under stochastic environment
Multiscale Modeling & Simulation | 2021-02-09 | Paper |
Deep learning for ranking response surfaces with applications to optimal stopping problems
Quantitative Finance | 2020-12-07 | Paper |
Optimal portfolio under fractional stochastic environment
Mathematical Finance | 2019-10-31 | Paper |
Systemic risk and optimal fee for central clearing counterparty under partial netting
Operations Research Letters | 2019-06-11 | Paper |
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Applied Mathematical Finance | 2019-05-08 | Paper |
Optimal portfolio under fast mean-reverting fractional stochastic environment
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Sequential design for ranking response surfaces
SIAM/ASA Journal on Uncertainty Quantification | 2017-06-28 | Paper |
Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
SIAM Journal on Control and Optimization | 2017-06-23 | Paper |
Accuracy Analysis of Physics-Informed Neural Networks for Approximating the Critical SQG Equation
(available as arXiv preprint) | N/A | Paper |
Multi-Agent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm
(available as arXiv preprint) | N/A | Paper |
On the Three-dimensional Nernst-Planck-Boussinesq System
(available as arXiv preprint) | N/A | Paper |
