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09/19/2023
Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces
We present the development and analysis of a reinforcement learning (RL)...
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07/12/2023
Stochastic Delay Differential Games: Financial Modeling and Machine Learning Algorithms
In this paper, we propose a numerical methodology for finding the closed...
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04/25/2023
Directed Chain Generative Adversarial Networks
Real-world data can be multimodal distributed, e.g., data describing the...
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03/17/2023
Recent Developments in Machine Learning Methods for Stochastic Control and Games
Stochastic optimal control and games have found a wide range of applicat...
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10/08/2022
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
The optimal stopping problem is one of the core problems in financial ma...
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09/24/2022
Higher-Order Error estimates for physics-informed neural networks approximating the primitive equations
Large scale dynamics of the oceans and the atmosphere are governed by th...
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08/18/2022
Pandemic Control, Game Theory and Machine Learning
Game theory has been an effective tool in the control of disease spread ...
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04/25/2022
Learning High-Dimensional McKean-Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence
One of the core problems in mean-field control and mean-field games is t...
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06/06/2021
Signatured Deep Fictitious Play for Mean Field Games with Common Noise
Existing deep learning methods for solving mean-field games (MFGs) with ...
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04/24/2021
A Class of Dimensionality-free Metrics for the Convergence of Empirical Measures
This paper concerns the convergence of empirical measures in high dimens...
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01/05/2021
Recurrent Neural Networks for Stochastic Control Problems with Delay
Stochastic control problems with delay are challenging due to the path-d...
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12/12/2020
Optimal Policies for a Pandemic: A Stochastic Game Approach and a Deep Learning Algorithm
Game theory has been an effective tool in the control of disease spread ...
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08/12/2020
Convergence of Deep Fictitious Play for Stochastic Differential Games
Stochastic differential games have been used extensively to model agents...
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12/04/2019
Deep Fictitious Play for Finding Markovian Nash Equilibrium in Multi-Agent Games
We propose a deep neural network-based algorithm to identify the Markovi...
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03/22/2019
Deep Fictitious Play for Stochastic Differential Games
In this paper, we apply the idea of fictitious play to design deep neura...
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01/11/2019
Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems
In this paper, we propose deep learning algorithms for ranking response ...
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09/03/2015