Macroscopic market making
Shijia Jin, Monash
Trade execution and market making are two central problems in algorithmic trading that have largely been studied in separate literatures. In...
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...
Learning MFG via MFAC Flow
Ruimeng Hu, UCSB
We introduce the Mean-Field Actor-Critic (MFAC) flow, a continuous-time learning dynamics for solving mean-field games (MFGs), drawing on...
