Here you can find my writings on a range of quant topics, mostly informal and less academic.
August 25, 2024
These are my informal notes on the master equation in mean field game theory, closely following the accessible sketch in Delarue (2021) with the same notation and supplemented when necessary.
July 23, 2024
These are my quick refresher notes on Fokker-Planck (forward Kolmogorov) for the evolution of a probability density over time, and how this appears in mean field game theory.
June 23, 2024
This is a quick refresher on the basic formulation and ideas of Hamilton-Jacobi-Bellman (“HJB”) in optimal control, including dynamic programming for both deterministic and stochastic formulations.