Publications

2025

  • Heterogenous Macro-Finance Model: A Mean-field Game Approach - Tomoyuki Ichiba, Hoang Vu 
    [arXiv:2502.10666]

  • Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models - Tomoyuki Ichiba, Qijin Shi 
    [arXiv:2509.14529]

  • Strategic Inference in Stackelberg Games: Optimal Control for Revealing Adversary Intent, Ruimeng Hu, Daniel Ralston, Xu Yang, Haosheng Zhou [arXiv:2510.05641]

  • Finite-Agent Stochastic Differential Games on Large Graphs: II. Graph-Based Architectures, Ruimeng Hu, Jihao Long, Haosheng Zhou [arXiv:2509.12484]

  • Convergence of Actor-Critic Learning for Mean Field Games and Mean Field Control in Continuous Spaces, Jean-Pierre Fouque, Mathieu Laurière, Mengrui Zhang [arXiv:2511.06812]

  • Feynman Formula for Discrete-time Quantum Walks, Jean-Pierre Fouque, Tomoyuki Ichiba, Ka Lok Lam [arXiv:2510.12038]

  • Functional Analysis of Loss-development Patterns in P&C Insurance, Arthur Charpentier, Qiheng Guo, Michael Ludkovski [arXiv:2510.27204]

  • Selecting Critical Scenarios of DER Adoption in Distribution Grids Using Bayesian Optimization, Olivier Mulkin, Miguel Heleno, Michael Ludkovski [arXiv:2501.14118]

  • DeepPAAC: A New Deep Galerkin Method for Principal-Agent Problems, Changgen Xie, Zimu Zhu, Michael Ludkovki, [arxiv:2511:04309]

  • Hashpower allocation in Pay-per-Share blockchain mining pools, Pierre-Olivier Goffard, Hansjoerg Albrecher, Jean-Pierre Fouque [arXiv:2511.13777 ]

2024

  • The Quadratic Optimization Bias Of Large Covariance Matrices, Alexander D. Shkolnik, Alec Kercheval, Hubeyb Gurdogan, Lisa R. Goldberg, Haim Bar [arXiv:2410.03053]

  • Probabilistic Spatiotemporal Modeling of Day-Ahead Wind Power Generation with Input-Warped Gaussian Processes, Qiqi Li, Michael Ludkovski [arXiv:2409.16308]

  • Rank-Based Stochastic Differential Inclusions and Diffusion Limits for a Load Balancing Model Rami Atar, Tomoyuki Ichiba [arXiv:2409.15121]

  • Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market, Nicole Tianjiao Yang, Tomoyuki Ichiba [arXiv:2411.13558]

  • A New Compound Poisson Process and Its Fractional Versions, Tomoyuki Ichiba, Palaniappan Vellaisamy [arXiv:2407.18217]

  • Least-Cost Structuring of 24/7 Carbon-Free Electricity Procurements arXiv: 2312.07733, Saad Mouti, Mike Ludkovski, Glen Swindle

  • Analysis of Multiscale Reinforcement Q-Learning Algorithms for Mean Field Control Games, Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière, Mengrui Zhang, [arXiv:2405.17017 ]

  • Catalan Numbers, Riccati Equations and Convergence, Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba 
    [arXiv:2408.09079]

2023

  • Relative arbitrage opportunities in an extended mean-field system, Nicole Tianjiao Yang, Tomoyuki Ichiba [arXiv:2311.02690]

  • Expressive Mortality Models through Gaussian Process Kernels, Jimmy Risk, Michael Ludkovski [arXiv:2305.01728]

  • Analyzing State-Level Longevity Trends with the U.S. Mortality Database, D. Padilla, Michael Ludkovski [arXiv:2312.01518]

  •  Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces, Andrea Angiuli, Jean-Pierre Fouque, Ruimeng Hu, Alan Raydan, [arXiv:2309.10953] 

  • Multivariate Systemic Risk Measures and Computation by Deep Learning Algorithms, Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli [arXiv:2302.10183]

  • Collective Arbitrage and the Value of Cooperation, Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque, Marco Frittelli, Thilo Meyer-Brandis [arXiv:2306.11599]

  •  Convergence of Multi-Scale Reinforcement Q-Learning Algorithms for Mean Field Game and Control Problems,  Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière, Mengrui Zhang [arXiv:2312.06659]

2022

  • Regression Monte Carlo for Impulse Control, Michael Ludkovski [arXiv:2203.06539]

  • Joint Models for Cause-of-Death Mortality in Multiple Populations, N. Huynh, Michael Ludkovski [arXiv:2203.00143]

  •   Smoothness of Directed Chain Stochastic Differential Equations, Ming Min, Tomoyuki Ichiba [arXiv:2202.09354]

  •   On Parametric Optimal Execution and Machine Learning Surrogates, T Chen, M Ludkovski, M Voss [arXiv:2212.11413] 

  • Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game, Andrea Angiuli, Nils Detering, Jean-Pierre Fouque, Mathieu Laurière, Jimin Lin

  • Deep Learning for Systemic Risk Measures, Yichen Feng, Ming Min, Jean-Pierre Fouque [arXiv:2207.00739 ]

  • Reinforcement Learning Algorithm for Mixed Mean Field Control Games Andrea Angiuli, Nils Detering, Jean-Pierre Fouque, Mathieu Lauriere, Jimin Lin  [arXiv:2205.02330] 

  • Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies, Yichen Feng, Jean-Pierre Fouque, Ruimeng Hu, Tomoyuki Ichiba [arXiv:2202.00662]

2021

  • Reinforcement Learning for Mean Field Games, with Applications to Economics, Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière [arXiv:2106.13755]

  • Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market, Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar [arXiv:2106.11510]

  • Signatured Deep Fictitious Play for Mean Field Games with Common Noise, Ming Min, Ruimeng Hu [arXiv:2106.03272]

  • N-player and Mean-field Games in Itô-diffusion Markets with Competitive or Homophilous Interaction, Ruimeng Hu, Thaleia Zariphopoulou
    [arXiv:2106.00581

  • Optimal Trading with Signals and Stochastic Price Impact Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
    [arXiv:2101.10053]

  • Recurrent Neural Networks for Stochastic Control Problems with Delay, Jiequn Han, Ruimeng Hu [arXiv:2101.01385]

July 2020 -- December 2020

  • arXiv:2012.00975 Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in finance by Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu

  • arXiv:2012.00729  mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms by Mike Ludkovski

  • arXiv:2011.04279  Linear-Quadratic Stochastic Differential Games on Random Directed Networks by Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba

  • arXiv:2010.13245  Endogenous Representation of Asset Returns by Zhipu Zhou, Alexander Shkolnik, Sang-Yun Oh 

  • arXiv:2010.08407  KrigHedge: Gaussian Process Surrogates for Delta Hedging by Mike Ludkovski, Yuri Saporito

  • arXiv:2010.02483  Abstract polynomial processes by Fred Espen Benth, Nils Detering, Paul Kruhner

  • arXiv:2009.07788  Path Properties of a Generalized Fractional Brownian Motion by Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu

  • arXiv:2009.06719  Convolutional Signature for Sequential Data by Ming Min, Tomoyuki Ichiba

2019-20 Publications (July 2019 -- June 2020):

  • arXiv:2006.15158   Relative Arbitrage Opportunities in  N Investors and Mean-Field Regimes by Tomoyuki Ichiba, Tianjiao Yang

  • arXiv:2006.13912 Unified Reinforcement Q-Learning for Mean Field Game and Control Problems by Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière

  • arXiv:2006.08110 Suffocating Fire Sales by Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter

  • arXiv:2006.04970  Degenerate Competing Three-Particle Systems by Tomoyuki Ichiba, Ioannis Karatzas

  • arXiv:2006.04382   An Impulse-Regime Switching Game Model of Vertical Competition by René Aïd, Luciano Campi, Liangchen Li, Mike Ludkovski

  • arXiv:2006.01911  Accuracy of Deep Learning in Calibrating HJM Forward Curves by Fred Espen Benth, Nils Detering, Silvia Lavagnini

  • arXiv:2003.08840 Linear-Quadratic Stochastic Differential Games on Directed Chain Networks by Yichen Feng, Jean-Pierre Fouque, Tomoyuki Ichiba

  • arXiv:2003.08579   Adaptive Batching for Gaussian Process Surrogates with Application in Noisy Level Set Estimation by Xiong Lyu, Mike Ludkovski

  • arXiv:2003.02443  Multi-Output Gaussian Processes for Multi-Population Longevity Modeling by Nhan Huynh, Mike Ludkovski

  • ​arXiv:2001.10206 Large Banking Systems with Default and Recovery: A Mean Field Game Model by Romuald Élie, Tomoyuki Ichiba, Mathieu Laurière

  • arXiv:1912.00244  A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging by Tao Chen, Michael Ludkovski

  • arXiv:1908.07626 Optimal Investment with Correlated Stochastic Volatility Factors by Maxim Bichuch, Jean-Pierre Fouque

  • arXiv:1907.04257 Systemic Optimal Risk Transfer Equilibrium by Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque, Marco Frittelli, Thilo Meyer-Brandis

     

2018-19 Publications (July 2018 -- June 2019):

  • The Effect of Rate Design on Power Distribution Reliability Considering Adoption of DERs by M. Heleno, M. Ludkovski and A. Maheshwari), submitted June 2019

  • Gaussian Process Models for Incremental Loss Ratios by M. Ludkovski, H. Zail, submitted, April 2019

  • Multi-Population Longevity Models: a Spatial Random Field Approach by N. Huynh, M. Ludkovski and H. Zail, submitted, April 2019

  • arXiv:1905.00358 Deep Learning Methods for Mean Field Control Problems with Delay by Jean-Pierre Fouque, Zhaoyu Zhang

  • arXiv:1905.00107 Statistical Learning for Probability-Constrained Stochastic Optimal Control by Alessandro Balata, Michael Ludkovski, Aditya Maheshwari, Jan Palczewski

  • Capital Allocation Techniques: Review and Comparison by Guo, Q., Bauer, D., Zanjani, G, submitted, April 2019 

  • arXiv:1903.05045  Stochastic Volterra integral equations and a class of first order stochastic partial differential equations by Fred Espen Benth, Nils Detering, Paul Kruehner 

  • arXiv:1902.06883  Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment by Jean-Pierre Fouque, Ruimeng Hu

  • An Integrated Model for Fire Sales and Default Contagion by N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter, submitted, 2019

  • ssrn:3282465 Better Betas by Lisa Goldberg, Alex Papanicolaou, Alex Shkolnik, submitted, 2018

  • arXiv:1809.01336  Multilinear processes in Banach space by Fred Espen Benth, Nils Detering, Paul Kruhner

  • arXiv:1807.09897 Dynamic Contagion in a Banking System with Births and Defaults by Tomoyuki Ichiba, Michael Ludkovski, Andrey Sarantsev

  • arXiv:1807.06712 Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation by Xiong Lyu, Mickael Binois, Michael Ludkovski

  • arXiv:1807.04795 Mean Field Game with Delay: a Toy Model by Jean-Pierre Fouque, Zhaoyu Zhang

  • arXiv:1807.03893 Stochastic Switching Games by Liangchen Li, Michael Ludkovski

  • arXiv:1807.00095 Probabilistic Bisection with Spatial Metamodels by Sergio Rodriguez, Mike Ludkovski

  • Suffocating Fire Sales by N. Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter, submitted, 2018

  • Different Shades of Risk: Mortality Trends Implied by Term Insurance Prices by D Bauer, Q. Guo,  to Appear in North American Actuarial Journal, 2018 
     

2017-18 Publications (July 2017 -- June 2018):

  • arxiv:1805.01962 : Directed Chain Stochastic Differential Equations by Nils Detering, Jean-Pierre Fouque, Tomoyuki Ichiba

  • arXiv:1804.07392 : Optimal investment with transient price impact by Peter Bank, Moritz Voss

  • arXiv:1804.03002 : Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment by Jean-Pierre Fouque, Ruimeng Hu

  • arXiv:1803.11309 : Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective by Michael Ludkovski, Aditya Maheshwari

  • arXiv:1803.08169 : Financial Contagion in a Generalized Stochastic Block Model by Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, and Daniel Ritter

  • arXiv:1803.09898 : On Fairness of Systemic Risk Measures by Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli, Thilo Meyer-Brandis

  • arXiv:1712.03468 : Two numerical methods to evaluate stop-loss premiums by Pierre-Olivier Goffard, Patrick J. Laub

  • arXiv:1711.00843  Generalized Probabilistic Bisection for Stochastic Root-Finding by Sergio Rodriguez, Michael Ludkovski

  • hal-01716687 : Fraud risk assessment within blockchain transactions by Pierre-Olivier Goffard

  • arXiv:1710.05204 : Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement by Michael Ludkovski, James Risk

  • arXiv:1710.05131 : Mean Field Game Approach to Production and Exploration of Exhaustible Commodities by Michael Ludkovski, Xuwei Yang

  • arXiv:1710.03206 : Replication or exploration? Sequential design for stochastic simulation experiments by Mickael Binois, Jiangeng Huang, Robert B Gramacy, Mike Ludkovski

  • arXiv:1710.01845 :  Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes by Pierre-Olivier Goffard, Andrey Sarantsev

  • arXiv:1709.07098 : Talagrand Concentration Inequalities for Stochastic Partial Differential Equations by Davar Khoshnevisan, Andrey Sarantsev

  • arXiv:1708.01918 : Brownian Particles with Rank-Dependent Drifts: Out-of-Equilibrium Behavior by Manuel Cabezas, Amir Dembo, Andrey Sarantsev, Vladas Sidoravicius

  • arXiv:1708.02715 : Order Flows and Limit Order Book Resiliency on the Meso-Scale by Kyle Bechler, Michael Ludkovski

  • arXiv:1707.03542 :   A Model of Interbank Flows, Borrowing, and Investing by Aditya Maheshwari, Andrey Sarantsev

  • arXiv:1707.01600 : Option Pricing with Delayed Information by Tomoyuki Ichiba, Seyyed Mostafa Mousavi

2016-17 Publications (Jan 2016 -- June 2017):