| Publication | Date of Publication | Type |
|---|
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
SIAM Journal on Control and Optimization | 2024-09-20 | Paper |
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
Transactions of the American Mathematical Society | 2024-01-09 | Paper |
Equilibrium price in intraday electricity markets
Mathematical Finance | 2023-09-28 | Paper |
On smooth approximations in the Wasserstein space
Electronic Communications in Probability | 2023-09-05 | Paper |
On smooth approximations in the Wasserstein space
Electronic Communications in Probability | 2023-09-05 | Paper |
Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
The Annals of Applied Probability | 2023-07-31 | Paper |
Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
The Annals of Applied Probability | 2023-07-31 | Paper |
Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
Bernoulli | 2022-02-01 | Paper |
Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
Bernoulli | 2022-02-01 | Paper |
| Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions | 2021-07-13 | Paper |
Backward SDEs and infinite horizon stochastic optimal control
ESAIM: Control, Optimisation and Calculus of Variations | 2020-04-29 | Paper |
Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
ESAIM: Control, Optimisation and Calculus of Variations | 2020-04-29 | Paper |
Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
ESAIM: Control, Optimisation and Calculus of Variations | 2020-04-29 | Paper |
The value of informational arbitrage
Finance and Stochastics | 2020-03-25 | Paper |
Zero-sum stochastic differential games of generalized McKean-Vlasov type
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2019-09-19 | Paper |
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
Electronic Journal of Probability | 2019-09-19 | Paper |
BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
Electronic Journal of Probability | 2019-09-19 | Paper |
Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
Probability on Algebraic and Geometric Structures | 2019-07-19 | Paper |
Strong-viscosity solutions: classical and path-dependent PDEs
Osaka Journal of Mathematics | 2019-07-12 | Paper |
Strong-viscosity solutions: classical and path-dependent PDEs
Osaka Journal of Mathematics | 2019-07-12 | Paper |
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
Stochastic Processes and their Applications | 2019-01-25 | Paper |
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Journal of Applied Probability | 2018-09-26 | Paper |
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Journal of Applied Probability | 2018-09-26 | Paper |
Portfolio choices and VaR constraint with a defaultable asset
Quantitative Finance | 2018-09-19 | Paper |
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
The Annals of Applied Probability | 2018-08-16 | Paper |
Path-dependent equations and viscosity solutions in infinite dimension
The Annals of Probability | 2018-04-27 | Paper |
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
Transactions of the American Mathematical Society | 2018-01-09 | Paper |
Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2017-01-18 | Paper |
Robust feedback switching control: dynamic programming and viscosity solutions
SIAM Journal on Control and Optimization | 2016-10-05 | Paper |
Backward SDE representation for stochastic control problems with nondominated controlled intensity
The Annals of Applied Probability | 2016-06-09 | Paper |
Backward SDE representation for stochastic control problems with nondominated controlled intensity
The Annals of Applied Probability | 2016-06-09 | Paper |
Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
Stochastic Processes and their Applications | 2016-04-20 | Paper |
| Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems | 2015-11-30 | Paper |
American option valuation in a stochastic volatility model with transaction costs
Stochastics | 2015-07-29 | Paper |
Path-dependent equations and viscosity solutions in infinite dimension
(available as arXiv preprint) | 2015-02-19 | Paper |
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Stochastic Processes and their Applications | 2015-01-30 | Paper |
| A regularization approach to functional It\^o calculus and strong-viscosity solutions to path-dependent PDEs | 2014-01-20 | Paper |
Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
SIAM Journal on Control and Optimization | 2013-09-26 | Paper |
| Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Equations | 2012-02-12 | Paper |
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
(available as arXiv preprint) | N/A | Paper |
