Dear all,
you are all invited to participate to the following seminar on *Thursday 23th of May 2024 at 15:00* in Aula Seminari Demografica 2062 at University of Milano Bicocca (via degli Arcimboldi 8, Milano - building U7, 2nd floor):
Speaker: *Nacira Agram (KTH Stockholm)*
Titolo: *Deep learning for conditional McKean-Vlasov Jump diffusions*
Abstract: My talk focuses on using deep learning methods to optimize the control of conditional McKean-Vlasov jump diffusions. We begin by exploring the dynamics of multi-particle jump-diffusion and presenting the propagation of chaos. The optimal control problem in the context of conditional McKean-Vlasov jump-diffusion is introduced along with the verification theorem (HJB equation). A linear quadratic conditional mean-field (LQ CMF) is discussed to illustrate these theoretical concepts. Then, we introduce a deep-learning algorithm that combines neural networks for optimization with path signatures for conditional expectation estimation. The algorithm is applied to practical examples, including LQ CMF and interbank systemic risk, and we share the resulting numerical outcomes.
Based on joint work with Jan Rems.
Best wishes,
Emanuela
****************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca
Tel. 02 64483208 e-mail: emanuela.rosazza1@unimib.it
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