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01/18/2022
Convergence of policy gradient for entropy regularized MDPs with neural network approximation in the mean-field regime
We study the global convergence of policy gradient for infinite-horizon,...
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07/08/2020
Robust pricing and hedging via neural SDEs
Mathematical modelling is ubiquitous in the financial industry and drive...
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06/10/2020
Gradient Flows for Regularized Stochastic Control Problems
This work is motivated by a desire to extend the theoretical underpinnin...
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12/11/2019
Mean-Field Neural ODEs via Relaxed Optimal Control
We develop a framework for the analysis of deep neural networks and neur...
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11/20/2019
Uniform error estimates for artificial neural network approximations for heat equations
Recently, artificial neural networks (ANNs) in conjunction with stochast...
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05/19/2019
Mean-Field Langevin Dynamics and Energy Landscape of Neural Networks
We present a probabilistic analysis of the long-time behaviour of the no...
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10/11/2018