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Ruimeng Hu
Ruimeng Hu
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Deep fictitious play for finding Markovian Nash equilibrium in multi-agent games
J Han, R Hu
Mathematical and scientific machine learning, 221-245, 2020
482020
Optimal portfolio under fast mean-reverting fractional stochastic environment
JP Fouque, R Hu
SIAM Journal on Financial Mathematics 9 (2), 564-601, 2018
482018
Deep fictitious play for stochastic differential games
R Hu
arXiv preprint arXiv:1903.09376, 2019
402019
Optimal portfolio under fractional stochastic environment
JP Fouque, R Hu
Mathematical Finance 29 (3), 697-734, 2019
362019
Sequential design for ranking response surfaces
R Hu, M Ludkovski
SIAM/ASA Journal on Uncertainty Quantification 5 (1), 212-239, 2017
332017
Recurrent neural networks for stochastic control problems with delay
J Han, R Hu
Mathematics of Control, Signals, and Systems 33 (4), 775-795, 2021
302021
Signatured deep fictitious play for mean field games with common noise
M Min, R Hu
arXiv preprint arXiv:2106.03272, 2021
272021
N-player and mean-field games in Itô-diffusion markets with competitive or homophilous interaction
R Hu, T Zariphopoulou
Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative …, 2022
242022
Convergence of deep fictitious play for stochastic differential games
J Han, R Hu, J Long
arXiv preprint arXiv:2008.05519, 2020
242020
Recent developments in machine learning methods for stochastic control and games
R Hu, M Lauriere
arXiv preprint arXiv:2303.10257, 2023
232023
Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
JP Fouque, R Hu
SIAM Journal on Control and Optimization 55 (3), 1990-2023, 2017
212017
Learning high-dimensional McKean–Vlasov forward-backward stochastic differential equations with general distribution dependence
J Han, R Hu, J Long
SIAM Journal on Numerical Analysis 62 (1), 1-24, 2024
162024
Deep learning for ranking response surfaces with applications to optimal stopping problems
R Hu
Quantitative Finance 20 (9), 1567-1581, 2020
132020
Optimal policies for a pandemic: A stochastic game approach and a deep learning algorithm
Y Xuan, R Balkin, J Han, R Hu, HD Ceniceros
Mathematical and Scientific Machine Learning, 987-1012, 2022
122022
Systemic risk and optimal fee for central clearing counterparty under partial netting
Z Cui, Q Feng, R Hu, B Zou
Operations Research Letters 46 (3), 306-311, 2018
12*2018
A class of dimensionality-free metrics for the convergence of empirical measures
J Han, R Hu, J Long
arXiv preprint arXiv:2104.12036 196, 2021
92021
Multiscale asymptotic analysis for portfolio optimization under stochastic environment
JP Fouque, R Hu
Multiscale Modeling & Simulation 18 (3), 1318-1342, 2020
92020
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
JP Fouque, R Hu
Applied Mathematical Finance 25 (4), 361-388, 2018
92018
Convergence of the backward deep BSDE method with applications to optimal stopping problems
C Gao, S Gao, R Hu, Z Zhu
SIAM Journal on Financial Mathematics 14 (4), 1290-1303, 2023
82023
Higher-order error estimates for physics-informed neural networks approximating the primitive equations
R Hu, Q Lin, A Raydan, S Tang
Partial Differential Equations and Applications 4 (4), 34, 2023
72023
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