Source Themes

Mirror Descent algorithms for Risk Budgeting Portfolios

This paper introduces and examines numerical approximation schemes for computing risk budgeting portfolios associated to positive …

Martin Arnaiz Iglesias, Adil Rengim Cetingoz, Noufel Frikha

Mirror Descent algorithms for Risk Budgeting Portfolios

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk

Crépey, Frikha and Louzi (2023) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial …

Stéphane Crépey, Noufel Frikha, Azar Louzi, Jonathan Spence

Adaptive Multilevel Stochastic Approximation of the Value-at-Risk

Full error analysis of policy gradient learning algorithms for exploratory linear quadratic mean-field control problem in continuous time with common noise

We consider reinforcement learning (RL) methods for finding optimal policies in linear quadratic (LQ) mean field control (MFC) problems …

Noufel Frikha, Huyên Pham, Xuanye Song

Full error analysis of policy gradient learning algorithms for exploratory linear quadratic mean-field control problem in continuous time with common noise

Asymptotic Error Analysis of the Multilevel Stochastic Approximations of the Value-at-Risk and the Expected Shortfall

This article is a follow up to Crépey, Frikha, and Louzi (2023), where we introduced a nested stochastic approximation algorithm and …

Stéphane Crépey, Noufel Frikha, Azar Louzi, Gilles Pagès

Asymptotic Error Analysis of the Multilevel Stochastic Approximations of the Value-at-Risk and the Expected Shortfall

A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs

Relying on the classical connection between backward stochastic differential equations and nonlinear parabolic partial differential …

Jean-François Chassagneux, Junchao Chen, Noufel Frikha, Chao Zhou

A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs

A multilevel stochastic approximation scheme for Value-at-Risk and Expected Shortfall estimation

We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the Value-at-Risk (VaR) and the Expected …

Stéphane Crépey, Noufel Frikha, Azar Louzi

A multilevel stochastic approximation scheme for Value-at-Risk and Expected Shortfall estimation

Actor-Critic learning for mean-field control in continuous time

We study policy gradient for mean-field control in continuous time in a reinforcement learning setting. By considering randomised …

Noufel Frikha, Maximilien Germain, Mathieu Laurière, Huyên Pham, Xuanye Song

Actor-Critic learning for mean-field control in continuous time

Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space

In this paper, we investigate the well-posedness of the martingale problem associated to non-linear stochastic differential equations …

Paul-Eric Chaudru de Raynal, Noufel Frikha

Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space

Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift

In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a …

Junchao Chen, Noufel Frikha, Houzhi Li

Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift

From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs

This article is a continuation of our first work [6]. We here establish some new quantitative estimates for propagation of chaos of …

Paul-Eric Chaudru de Raynal, Noufel Frikha

From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs