| Publication | Date of Publication | Type |
|---|
Deep quadratic hedging
Mathematics of Operations Research | 2025-11-26 | Paper |
A deep solver for BSDEs with jumps
SIAM Journal on Financial Mathematics | 2025-09-17 | Paper |
Quantization of stochastic volatility models: numerical tests and an open source implementation
Mathematics and Computers in Simulation | 2025-04-25 | Paper |
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Optimal management of pumped hydroelectric production with state constrained optimal control
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations
Numerische Mathematik | 2021-07-06 | Paper |
| On the set of robust sustainable thresholds for uncertain control systems | 2021-01-12 | Paper |
Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
Computers & Mathematics with Applications | 2020-11-20 | Paper |
A level-set approach for stochastic optimal control problems under controlled-loss constraints
Journal of Optimization Theory and Applications | 2020-09-10 | Paper |
A level-set approach for stochastic optimal control problems under controlled-loss constraints
Journal of Optimization Theory and Applications | 2020-09-10 | Paper |
Probabilistic error analysis for some approximation schemes to optimal control problems
Systems & Control Letters | 2020-04-22 | Paper |
Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
Journal of Differential Equations | 2020-03-24 | Paper |
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
Electronic Communications in Probability | 2019-09-19 | Paper |
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
Electronic Communications in Probability | 2019-09-19 | Paper |
| A Hamilton-Jacobi-Bellman approach for the numerical computation of probabilistic state constrained reachable sets | 2019-06-13 | Paper |
Boundary mesh refinement for semi-Lagrangian schemes
Hamilton-Jacobi-Bellman Equations | 2018-11-23 | Paper |
Infinite horizon stochastic optimal control problems with running maximum cost
SIAM Journal on Control and Optimization | 2018-09-25 | Paper |
High-order filtered schemes for time-dependent second order HJB equations
ESAIM: Mathematical Modelling and Numerical Analysis | 2018-08-10 | Paper |
Hamilton-Jacobi-Bellman equations
Optimal Control: Novel Directions and Applications | 2018-04-05 | Paper |
State-constrained stochastic optimal control problems via reachability approach
SIAM Journal on Control and Optimization | 2016-10-05 | Paper |
Zubov's method for controlled diffusions with state constraints
NoDEA. Nonlinear Differential Equations and Applications | 2015-11-09 | Paper |
Dynamic programming and error estimates for stochastic control problems with maximum cost
Applied Mathematics and Optimization | 2015-04-21 | Paper |
A patchy dynamic programming scheme for a class of Hamilton-Jacobi-Bellman equations
SIAM Journal on Scientific Computing | 2013-01-24 | Paper |
