Hambly, Ben
- Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon
2020/11/20 by Hambly, Ben, Xu, Renyuan, Yang, Huining · 8 citations
#37N35 #68Q32 #68T05 #91Bxx #93E35 #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG) #Statistical Finance (q-fin.ST)
- A McKean--Vlasov equation with positive feedback and blow-ups
2018/01/23 by Ben Hambly, Sean Ledger, Hambly, Ben +3 · 6 citations
Mathematics · Physics and Astronomy · #60H10 #60H30 #Advanced Thermodynamics and Statistical Mechanics #Analysis of PDEs (math.AP) #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Mathematical Biology Tumor Growth #Probability (math.PR)
- An SPDE Model for Systemic Risk with Endogenous Contagion
2018/01/30 by Ben Hambly, Hambly, Ben, Andreas Søjmark +1 · 3 citations
Economics, Econometrics and Finance · #60H15 #60H30 #82C22 #91G80 #Banking stability, regulation, efficiency #Credit Risk and Financial Regulations #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
- Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games
2021/07/27 by Ben Hambly, Hambly, Ben, Renyuan Xu +3 · 3 citations
Computer Science · Decision Sciences · #Adaptive Dynamic Programming Control #Advanced Bandit Algorithms Research #Computer Science and Game Theory (cs.GT) #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Optimization and Control (math.OC) #Reinforcement Learning in Robotics
- A Reflected Moving Boundary Problem Driven by Space-Time White Noise
2018/05/25 by Ben Hambly, Hambly, Ben, Jasdeep Kalsi +1 · 2 citations
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Parabolic Harnack Inequality and Local Limit Theorem for Percolation Clusters
2008/10/14 by Barlow, Martin, Hambly, Ben · 1 citation
#31C25 #60G50 #Analysis of PDEs (math.AP) #FOS: Mathematics #Probability (math.PR)
- Some notes on trees and paths
2008/09/08 by Hambly, Ben, Lyons, Terry · 1 citation
#05C05 #54F50 #Classical Analysis and ODEs (math.CA) #FOS: Mathematics #Probability (math.PR)
- Spectral asymptotics for stable trees
2010/06/08 by David A. Croydon, Croydon, David, Ben Hambly +1 · 1 citation
Mathematics · Physics and Astronomy · #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and statistical mechanics #Theoretical and Computational Physics
- Multilevel simulation of functionals of Bernoulli random variables with\n application to basket credit derivatives
2012/11/04 by Karolina Bujok, Ben Hambly, Bujok, Karolina +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Heat kernel estimates for FIN processes associated with resistance forms
2017/11/27 by Croydon, David, Hambly, Ben, Kumagai, Takashi · 1 citation
#28A80 #60J25 #60J35 (primary) #60K37 #FOS: Mathematics #Probability (math.PR)
- Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
2018/08/21 by Ben Hambly, Jasdeep Kalsi, Hambly, Ben +3 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
- Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity
2023/10/24 by Ben Hambly, Philipp Jettkant, Hambly, Ben +1 · 2 citations
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Market Dynamics and Volatility
- An Approximation of Solutions to Heat Equations defined by Generalized Measure Theoretic Laplacians
2020/02/10 by Ehnes, Tim, Hambly, Ben · 1 citation
#Analysis of PDEs (math.AP) #FOS: Mathematics
- Optimal Control of the Nonlinear Stochastic Fokker--Planck Equation
2024/06/24 by Ben Hambly, Philipp Jettkant, Hambly, Ben +1 · 2 citations
Physics and Astronomy · Economics, Econometrics and Finance · #Advanced Thermodynamics and Statistical Mechanics #Stochastic processes and financial applications #Statistical Mechanics and Entropy
- Semilinear BSPDEs and Applications to McKean-Vlasov Control with Killing
2023/12/20 by Ben Hambly, Hambly, Ben, Philipp Jettkant +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #93E20 #FOS: Mathematics #Mathematical Biology Tumor Growth #Primary 60H15 #Probability (math.PR) #Statistical Mechanics and Entropy #Stochastic processes and financial applications #secondary 60H30
- Particle Systems and McKean--Vlasov Dynamics with Singular Interaction through Local Times
2025/03/11 by Graeme Baker, Ben Hambly, Baker, Graeme +3 · 2 citations
Physics and Astronomy · Economics, Econometrics and Finance · #Advanced Thermodynamics and Statistical Mechanics #Statistical Mechanics and Entropy #Complex Systems and Time Series Analysis