Learning High-Dimensional McKean-Vlasov Forward-Backward Stochastic
Differential Equations with General Distribution DependenceSIAM Journal on Numerical Analysis (SINUM), 2022 |
Signatured Deep Fictitious Play for Mean Field Games with Common NoiseInternational Conference on Machine Learning (ICML), 2021 |
A Class of Dimension-free Metrics for the Convergence of Empirical
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Recurrent Neural Networks for Stochastic Control Problems with DelayMCSS. Mathematics of Control, Signals and Systems (MCSS), 2021 |