Decision Making Under Costly Sequential Information Acquisition: The Paradigm of Reversible and Irreversible Decisions
with Thaleia Zariphopoulou and Luhao Zhang (2023)
Submitted | SSRN|

Fast Policy Learning for Linear Quadratic Control with Entropy Regularization
with Xin Guo and Xinyu Li (2023)
Submitted | SSRN|

Risk-sensitive Markov Decision Process and Learning under General Utilities
with Zhengqi Wu (2023)
Submitted | SSRN|

Implicit Regularization and Convergence of Gradient Descent for Deep Residual Networks
with Rama Cont and Alain Rossier (2022)
Submitted | arXiv|

Asymptotic Analysis of Deep Residual Networks
with Rama Cont and Alain Rossier (2022)
Submitted | arXiv|

Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions
with Huining Yang and Ben Hambly (2023)
Revision, SIAM Journal on Control and Optimization | arXiv|

Model-free Analysis of Dynamic Trading Strategies
with Rama Cont and Anna Ananova (2023)
Revision, SIAM Journal on Financial Mathematics | arXiv|

Policy Gradient Finds Global Optimum of Nearly Linear-quadratic Control Systems
with Yinbin Han amd Meisam Razaviyayn (2022)
Revision, SIAM Journal on Control and Optimization| arXiv|

Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routing
with Jingwei Ji and Ruihao Zhu (2023)
Revision, Operations Research| arXiv|

TailGAN: Nonparametric Scenario Generation for Tail Risk Estimation
with Rama Cont, Mihai Cucuringu and Chao Zhang (2022)
Major revision, Management Science | arXiv|

Mean-Field Multi-Agent Reinforcement Learning: A Decentralized Network Approach
with Xin Guo, Haotian Gu and Xiaoli Wei (2021)
Accepted, Mathematics of Operations Research (2024) | arXiv|

Recent Advances in Reinforcement Learning in Finance
with Ben Hambly and Huining Yang (2021)
Mathematical Finance (2023)
arXiv| DOI

Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games
with Ben Hambly and Huining Yang (2021)
Journal of Machine Learning Research (2022)
arXiv| DOI

Modelling COVID-19 Contagion: Risk Assessment and Targeted Mitigation Policies
with Rama Cont and Artur Kotlicki (2020)
Royal Society Open Science (2021)
medRxiv| DOI

Interbank Lending with Benchmark Rates: Pareto Optima for a Class of Singular Control Games
with Xin Guo and Rama Cont (2020)
Mathematical Finance (2021)
arXiv| DOI

Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon
with Ben Hambly and Huining Yang (2020)
SIAM Journal on Control and Optimization (2021)
arXiv| DOI

Entropy Regularization for Mean Field Games with Learning
with Xin Guo and Thaleia Zariphopoulou (2020)
Mathematics of Operations Research (2022)
arXiv| DOI

Mean-Field Controls with Q-learning for Cooperative MARL: Convergence and Complexity Analysis
with Xin Guo, Haotian Gu and Xiaoli Wei (2020)
SIAM Journal on Mathematics of Data Science (2021)
arXiv| DOI

A General Framework for Learning Mean-Field Games
with Xin Guo, Anran Hu and Junzi Zhang (2020)
Mathematics of Operations Research (2022)
arXiv| DOI

Delay-Adaptive Learning in Generalized Linear Contextual Bandits
with Jose Blanchet and Zhengyuan Zhou (2020)
Mathematics of Operations Research (2022)
arXiv| DOI

Dynamic Programming Principles for Mean-Field Controls with Learning
with Xin Guo, Haotian Gu and Xiaoli Wei (2019)
Operations Research (2022)
arXiv| DOI

Transaction Cost Data Analytics for Corporate Bonds
with Xin Guo and Charles-Albert Lehalle (2019)
Quantitative Finance (2022)
arXiv| DOI

A Class of Stochastic Games and Moving Free Boundary Problems
with Xin Guo and Wenpin Tang (2018)
SIAM Journal on Control and Optimization (2022)
arXiv| DOI

Stochastic Games for Fuel Followers Problem: N versus MFG
with Xin Guo (2018)
SIAM Journal on Control and Optimization (2019)
arXiv| DOI

Neural Network-based Score Estimation in Diffusion Models: Optimization and Generalization
with Yinbin Han and Meisam Razaviyayn (2023)
International Conference on Learning Representation (ICLR) '24 | arXiv|

Risk-Aware Linear Bandits with Application in Smart Order Routing
with Jingwei Ji and Ruihao Zhu (2022)
proceeding

Scaling Properties of Deep Residual Networks
with Alain–Sam Cohen, Rama Cont, and Alain Rossier (2021)
ICML'21 | International Conference on Machine Learning
arXiv| proceeding

Learning in Generalized Linear Contextual Bandits with Stochastic Delays
with Jose Blanchet and Zhengyuan Zhou (2019)
NeurIPS'19 (Spotlight) | Conference on Neural Information Processing Systems
proceeding

Learning Mean-Field Games
with Xin Guo, Anran Hu and Junzi Zhang (2019)
NeurIPS'19 | Conference on Neural Information Processing Systems
arXiv| proceeding