Optimal Transport and Informed Trading
Lu Vy, UM Math
We investigate applications of optimal transport theory to Kyle–Back models. First, we introduce a general methodology for constructing...
Adapted Optimal Transport in Mathematical Finance: Structure, Stability and Transport Inequalities
Jonghwa Park, CMU
The Wasserstein distance is an important instance of an optimal transport cost. Its numerous mathematical properties as well as applications...
Markov Perfect Equilibria in discrete finite-player and mean-field games
Felix Hoefer, Princeton
Markov Perfect Equilibria in discrete finite-player and mean-field games...
Thompson Sampling Algorithm for Stochastic Differential Games
Ruolan He, UM
We study a stochastic differential game with $N$ competitive players in a linear-quadratic framework with ergodic cost, where...
On hypoellipticity of degenerate operators in testing and detection problems
Yuqiong Wang, UM.
We study a class of degenerate diffusion generators that arise in sequential testing and quickest detection problems with partial...
Mean-field analysis for the training of overparameterized Deep ResNet
Zhiyan Ding, UM
In this talk, I will present the mean-field analysis framework for overparameterized Deep ResNets. I will first establish the rigorous...
