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

Risk-Aware Linear Bandits with Application in Smart Order Routing
with Jingwei Ji and Ruihao Zhu (2022)
ICAIF'22 | ACM International Conference on AI in Finance
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

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

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

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

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

Implicit Regularization and Convergence of Gradient Descent for 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)
Submitted | arXiv|

Model-free Analysis of Dynamic Trading Strategies
with Rama Cont and Anna Ananova (2023)
Submitted | arXiv|

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

Neural Network-based Score Estimation in Diffusion Models: Optimization and Generalization
with Yinbin Han and Meisam Razaviyayn (2023)
Submitted | arXiv|

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