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09/06/2023
An Offline Learning Approach to Propagator Models
We consider an offline learning problem for an agent who first estimates...
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02/10/2023
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean–Vlasov SDEs and associated particle systems
We study a class of McKean–Vlasov Stochastic Differential Equations (MV-...
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03/22/2022
Linear convergence of a policy gradient method for finite horizon continuous time stochastic control problems
Despite its popularity in the reinforcement learning community, a provab...
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09/17/2020
Regularity and time discretization of extended mean field control problems: a McKean-Vlasov FBSDE approach
We analyze the solution regularity and discrete-time approximations of e...
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07/15/2020
A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs
Fully coupled McKean-Vlasov forward-backward stochastic differential equ...
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06/26/2020
Well-posedness and numerical schemes for McKean-Vlasov equations and interacting particle systems with discontinuous drift
In this paper, we first establish well-posedness results of McKean-Vlaso...
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05/31/2020
Well-posedness and tamed schemes for McKean-Vlasov Equations with Common Noise
In this paper, we first establish well-posedness of McKean-Vlasov stocha...
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05/12/2020
An adaptive Euler-Maruyama scheme for McKean SDEs with super-linear growth and application to the mean-field FitzHugh-Nagumo model
In this paper, we introduce a fully implementable, adaptive Euler-Maruya...
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05/03/2020
Milstein schemes for delay McKean equations and interacting particle systems
In this paper, we derive fully implementable first order time-stepping s...
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04/07/2020