Related papers: Systemic robustness: a mean-field particle system …
We study systems of Brownian particles on the real line, which interact by splitting the local times of collisions among themselves in an asymmetric manner. We prove the strong existence and uniqueness of such processes and identify them…
We study the regularity and long time behavior of the one-dimensional, local, first-order mean field games system and the planning problem, assuming a Hamiltonian of superlinear growth, with a non-separated, strictly monotone dependence on…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
Model Predictive Control (MPC) is a widely known control method that has proved to be particularly effective in multivariable and constrained control. Closed-loop stability and recursive feasibility can be guaranteed by employing accurate…
In this article, we focus on the global stabilizability problem for a class of second order uncertain stochastic control systems, where both the drift term and the diffusion term are nonlinear functions of the state variables and the…
In this paper, we present an approach to neural network mean-field-type control and its stochastic stability analysis by means of adversarial inputs (aka adversarial attacks). This is a class of data-driven mean-field-type control where the…
This paper establishes an indirect approximation theorem for the most probable transition pathway of a stochastic interacting particle system in the mean-field framework. This paper studied the problem of indirect approximation of the most…
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking…
Do governments adjust budgetary policy to rising public debt, precluding fiscal unsustainability? Using budget data for 52 industrial and emerging economies since 1990, we apply panel methods accounting for cross-sectional dependence and…
A mean field type control system is a dynamical system in the Wasserstein space describing an evolution of a large population of agents with mean-field interaction under a control of a unique decision maker. We develop the viability theorem…
We are interested in the long-time behaviour of the kinetic Vicsek equation, rigorously derived as the mean-field limit~\cite{bolley2012meanfield} of a coupled system of~$N$ stochastic differential equations describing particles moving at…
Models of many real-life applications, such as queuing models of communication networks or computing systems, have a countably infinite state-space. Algorithmic and learning procedures that have been developed to produce optimal policies…
The Random Batch Method proposed in our previous work [Jin et al., J. Comput. Phys., 400(1), 2020] is not only a numerical method for interacting particle systems and its mean-field limit, but also can be viewed as a model of particle…
In this paper, we investigate a mean-field singular stochastic optimal control problem for systems governed by mean-field regime-switching singular stochastic differential equations. The state process is assumed to depend on both a regular…
We consider a system of $N$ interacting particles, governed by transport and diffusion, that converges in a mean-field limit to the solution of a McKean-Vlasov equation. From the observation of a trajectory of the system over a fixed time…
This paper considers an $n$-particle jump-diffusion system with mean filed interaction, where the coefficients are locally Lipschitz continuous. We address the convergence as $n\to\infty$ of the empirical measure of the jump-diffusions to…
In this paper we study a rational inattention model in environments where the decision maker faces uncertainty about the true prior distribution over states. The decision maker seeks to select a stochastic choice rule over a finite set of…
Stochastic boundary conditions for interactions with a particle reservoir are discussed in many-particle systems. We introduce the boundary conditions with the injection rate and the momentum distribution of particles coming from a particle…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…