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]

  • A groundwater market model, Igor Cialenco, Michael Ludkovski [arXiv:2501.14071]

  • 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 ]

  • Analyzing Pension Fund Mortality with Gaussian Processes in a Sub Population Framework, Eduardo F. L. de Melo, Michael Ludkovski, Rodrigo S. Targino [arXiv:2506.03584 ]

  • Intraday Battery Dispatch for Hybrid Renewable Energy Assets, Thiha Aung, Mike Ludkovski [arXiv:2503.12305]

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, Nhan 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, Mike Ludkovski, Moritz 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  [arXiv:2207.03449]

  • Percolation in Random Graphs of Unbounded Rank,  Nils Detering, Jimin Lin [arXiv:2205.14782]

  • 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] 

  • Pricing options on flow forwards by neural networks in Hilbert space, Fred Espen Benth, Nils Detering, Luca Galimberti [arXiv:2202.11606]

  • Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective, Maxim Bichuch, Nils Detering [arXiv:2201.12731]

  • 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]

  • Neural Networks in Fréchet spaces, Fred Espen Benth, Nils Detering, Luca Galimberti [arXiv:2109.13512]

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

July 2020 -- December 2020

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

    M. Ludkovski

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

    M. Ludkovski

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

    N. Huynh, M. Ludkovski

    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, , Jan Palczewski

    Michael LudkovskiAditya Maheshwari,

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

    Guo, Q

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

    Nils Detering,

    arXiv:1902.06883  Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment by , Ruimeng Hu

    Jean-Pierre Fouque

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

    N. Detering

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

    Alex Shkolnik

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

    Nils Detering

    arXiv:1807.09897 Dynamic Contagion in a Banking System with Births and Defaults by , Andrey Sarantsev

    Tomoyuki Ichiba, Michael Ludkovski

    arXiv:1807.06712 Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation by , Mickael Binois,

    Xiong LyuMichael 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 , T. Meyer-Brandis, K. Panagiotou, D. Ritter, submitted, 2018

    N. Detering

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

    Q. Guo

    (July 2017 -- June 2018):

    2017-18 Publications

      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

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

      arXiv:1803.08169NilsDetering

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

      Jean-Pierre Fouque

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

      Pierre-Olivier Goffard

      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

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

      arXiv:1710.05204

       : Mean Field Game Approach to Production and Exploration of Exhaustible Commodities by , 

      arXiv:1710.05131Michael LudkovskiXuwei Yang

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

      arXiv:1710.03206Mike Ludkovski

       :  Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes by , 

      arXiv:1710.01845Pierre-Olivier GoffardAndrey Sarantsev

       : Talagrand Concentration Inequalities for Stochastic Partial Differential Equations by Davar Khoshnevisan, 

      arXiv:1709.07098Andrey Sarantsev

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

      arXiv:1708.01918Andrey Sarantsev

       : Order Flows and Limit Order Book Resiliency on the Meso-Scale by , 

      arXiv:1708.02715Kyle BechlerMichael Ludkovski

       :   A Model of Interbank Flows, Borrowing, and Investing by , 

      arXiv:1707.03542Aditya MaheshwariAndrey Sarantsev

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

      arXiv:1707.01600

      (Jan 2016 -- June 2017):

      2016-17 Publications

        :  Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment by , 

        arXiv:1706.03139Jean-Pierre FouqueRuimeng Hu

        :  Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options by , 

        arXiv:1706.00873Jean-Pierre FouqueYuri F. Saporito

        : Convergence and Stationary Distributions for Walsh Diffusions by , 

        arXiv:1706.07127Tomoyuki IchibaAndrey Sarantsev

         :  Quadratic hedging with multiple assets under illiquidity with applications in energy markets b Panagiotis Christodoulou, , Thilo Meyer-Brandis

        arXiv:1705.06918Nils Detering

        : Optimal Portfolio under Fractional Stochastic Environment by , 

        arXiv:1703.06969Jean-Pierre FouqueRuimeng Hu

        :  Uncertain Volatility Models with Stochastic Bounds by , 

        arXiv:1702.05036Jean-Pierre FouqueNing Ning

         : Practical heteroskedastic Gaussian process modeling for large simulation experiments by Mickael Binois, Robert B. Gramacy, 

        arXiv:1611.05902Michael Ludkovski

         : Managing Default Contagion in Inhomogeneous Financial Networks by , Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter

        arXiv:1610.09542Nils Detering

        : Stable Systems of Competing Lévy Particles by Clayton Barnes, 

        arXiv:1610.04323Andrey Sarantsev

        : Yet Another Condition for Absence of Collisions for Competing Brownian Particles by , 

        arXiv:1608.07220Tomoyuki IchibaAndrey Sarantsev

        :  Gaussian Process Models for Mortality Rates and Improvement Factors by , , Howard Zail

        arXiv:1608.08291Mike LudkovskiJimmy Risk

         : Stationary Gap Distributions for Infinite Systems of Competing Brownian Particles by , 

        arXiv:1608.00628Andrey SarantsevLi-Cheng Tsai

        :  Systemic Risk and Stochastic Games with Delay by Rene Carmona, , , 

        arXiv:1607.06373Jean-Pierre FouqueSeyyed Mostafa MousaviLi-Hsien Sun

         : Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment by , 

        arXiv:1603.03538Jean-Pierre FouqueRuimeng Hu

         : Orthonormal polynomial expansions and lognormal sum densities by Søren Asmussen, , Patrick J. Laub

        arXiv:1601.01763Pierre-Olivier Goffard