| Publication | Date of Publication | Type |
|---|
Nonstandard stochastic control with nonlinear Feynman-Kac costs
Illinois Journal of Mathematics | 2024-11-06 | Paper |
Model-free mean-field reinforcement learning: mean-field MDP and mean-field Q-learning
The Annals of Applied Probability | 2024-01-19 | Paper |
| Non-standard Stochastic Control with Nonlinear Feynman-Kac Costs | 2023-12-01 | Paper |
Applications of Mean Field Games in financial engineering and economic theory
Proceedings of Symposia in Applied Mathematics | 2023-11-29 | Paper |
Synchronization in a Kuramoto mean field game
Communications in Partial Differential Equations | 2023-11-08 | Paper |
Optimal Execution with Quadratic Variation Inventories
SIAM Journal on Financial Mathematics | 2023-08-15 | Paper |
Optimal Execution with Identity Optionality
Applied Mathematical Finance | 2023-05-24 | Paper |
Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
The Annals of Applied Probability | 2022-12-20 | Paper |
Mean field models to regulate carbon emissions in electricity production
Dynamic Games and Applications | 2022-09-15 | Paper |
Stochastic graphon games. II: The linear-quadratic case
Applied Mathematics and Optimization | 2022-09-12 | Paper |
Stochastic graphon games. I: The static case
Mathematics of Operations Research | 2022-05-17 | Paper |
Optimal incentives to mitigate epidemics: a Stackelberg mean field game approach
SIAM Journal on Control and Optimization | 2022-05-03 | Paper |
Mean field game model for an advertising competition in a duopoly
International Game Theory Review | 2022-04-26 | Paper |
Finite state graphon games with applications to epidemics
Dynamic Games and Applications | 2022-04-22 | Paper |
Linear-quadratic zero-sum mean-field type games: optimality conditions and policy optimization
Journal of Dynamics and Games | 2022-01-20 | Paper |
A Probabilistic Approach to Extended Finite State Mean Field Games
Mathematics of Operations Research | 2021-07-15 | Paper |
Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. I: The ergodic case
SIAM Journal on Numerical Analysis | 2021-06-18 | Paper |
Erratum to: ``Mean field games with common noise
The Annals of Probability | 2020-11-24 | Paper |
The Dyson and Coulomb games
Annales Henri Poincaré | 2020-08-28 | Paper |
Jet lag recovery: synchronization of circadian oscillators as a mean field game
Dynamic Games and Applications | 2020-04-29 | Paper |
CEMRACS 2017: numerical probabilistic approach to MFG
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Price of anarchy for mean field games
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
The self-financing equation in limit order book markets
Finance and Stochastics | 2019-06-27 | Paper |
Systemic risk and stochastic games with delay
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
| Finite-State Contract Theory with a Principal and a Field of Agents | 2018-08-23 | Paper |
The master equation for large population equilibriums
Springer Proceedings in Mathematics & Statistics | 2018-04-09 | Paper |
An alternative approach to mean field game with major and minor players, and applications to herders impacts
Applied Mathematics and Optimization | 2017-11-17 | Paper |
Mean field games of timing and models for bank runs
Applied Mathematics and Optimization | 2017-11-17 | Paper |
Simulation of implied volatility surfaces via tangent Lévy models
SIAM Journal on Financial Mathematics | 2017-06-02 | Paper |
Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
Probability Theory and Stochastic Modelling | 2017-05-22 | Paper |
Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations
Probability Theory and Stochastic Modelling | 2017-05-22 | Paper |
Mean field games with common noise
The Annals of Probability | 2017-01-13 | Paper |
| Finite State Mean Field Games with Major and Minor Players | 2016-10-17 | Paper |
A probabilistic approach to mean field games with major and minor players
The Annals of Applied Probability | 2016-08-23 | Paper |
A probabilistic approach to mean field games with major and minor players
The Annals of Applied Probability | 2016-08-23 | Paper |
| Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications | 2016-05-19 | Paper |
An infinite dimensional stochastic analysis approach to local volatility dynamic models
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
The Annals of Probability | 2015-10-30 | Paper |
Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
The Annals of Probability | 2015-10-30 | Paper |
Mean field games and systemic risk
Communications in Mathematical Sciences | 2015-06-12 | Paper |
A probabilistic weak formulation of mean field games and applications
The Annals of Applied Probability | 2015-05-29 | Paper |
A probabilistic weak formulation of mean field games and applications
The Annals of Applied Probability | 2015-05-29 | Paper |
Mean field forward-backward stochastic differential equations
Electronic Communications in Probability | 2014-09-22 | Paper |
The valuation of clean spread options: linking electricity, emissions and fuels
Quantitative Finance | 2014-01-30 | Paper |
The valuation of clean spread options: linking electricity, emissions and fuels
Quantitative Finance | 2014-01-30 | Paper |
Risk-neutral models for emission allowance prices and option values
Management Science | 2014-01-20 | Paper |
Probabilistic analysis of mean-field games
SIAM Journal on Control and Optimization | 2013-11-15 | Paper |
Singular FBSDEs and scalar conservation laws driven by diffusion processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2013-11-06 | Paper |
Statistical analysis of financial data in R
Springer Texts in Statistics | 2013-09-20 | Paper |
Control of McKean-Vlasov dynamics versus mean field games
Mathematics and Financial Economics | 2013-07-25 | Paper |
Electricity price modeling and asset valuation: a multi-fuel structural approach
Mathematics and Financial Economics | 2013-07-25 | Paper |
Electricity price modeling and asset valuation: a multi-fuel structural approach
Mathematics and Financial Economics | 2013-07-25 | Paper |
Singular forward-backward stochastic differential equations and emissions derivatives
The Annals of Applied Probability | 2013-05-10 | Paper |
Singular forward-backward stochastic differential equations and emissions derivatives
The Annals of Applied Probability | 2013-05-10 | Paper |
Tangent Lévy market models
Finance and Stochastics | 2012-11-15 | Paper |
An introduction to particle methods with financial applications
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
The clean development mechanism and joint price formation for allowances and CERs
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
Optimal multiple stopping of linear diffusions
Mathematics of Operations Research | 2011-04-27 | Paper |
TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
Market design for emission trading schemes
SIAM Review | 2010-09-06 | Paper |
Optimal stochastic control and carbon price formation
SIAM Journal on Control and Optimization | 2010-08-16 | Paper |
PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
International Journal of Theoretical and Applied Finance | 2010-08-11 | Paper |
Valuation of energy storage: an optimal switching approach
Quantitative Finance | 2010-05-26 | Paper |
Interaction particle systems for the computation of rare credit portfolio losses
Finance and Stochastics | 2010-04-22 | Paper |
Monte Carlo Malliavin computation of the sensitivities of solutions of SPDEs
SIAM Journal on Applied Mathematics | 2010-01-06 | Paper |
Local volatility dynamic models
Finance and Stochastics | 2009-08-08 | Paper |
Pricing Asset Scheduling Flexibility using Optimal Switching
Applied Mathematical Finance | 2009-03-23 | Paper |
| From Markovian to partially observable models | 2009-03-16 | Paper |
| Applications to weather derivatives and energy contracts | 2009-03-16 | Paper |
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
Mathematical Finance | 2008-04-30 | Paper |
HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
Paris-Princeton Lectures on Mathematical Finance 2004 | 2008-01-14 | Paper |
Interest rate models: an infinite dimensional stochastic analysis perspective
Springer Finance | 2006-07-27 | Paper |
| Asymptotics for the boundary parabolic Anderson problem in a half space | 2006-05-24 | Paper |
PRICING PRECIPITATION BASED DERIVATIVES
International Journal of Theoretical and Applied Finance | 2005-12-15 | Paper |
| scientific article; zbMATH DE number 2133106 (Why is no real title available?) | 2005-02-09 | Paper |
| scientific article; zbMATH DE number 2104240 (Why is no real title available?) | 2004-09-29 | Paper |
A characterization of hedging portfolios for interest rate contingent claims.
The Annals of Applied Probability | 2004-09-15 | Paper |
Pricing and Hedging Spread Options
SIAM Review | 2004-01-20 | Paper |
BSDEs with polynomial growth generators
Journal of Applied Mathematics and Stochastic Analysis | 2002-02-17 | Paper |
Asymptotics for the almost sure Lyapunov exponent for the solution of the parabolic Anderson problem
Random Operators and Stochastic Equations | 2001-07-11 | Paper |
| scientific article; zbMATH DE number 1440276 (Why is no real title available?) | 2000-05-08 | Paper |
| scientific article; zbMATH DE number 1302004 (Why is no real title available?) | 2000-05-04 | Paper |
Parabolic Anderson problem and intermittency
Memoirs of the American Mathematical Society | 1999-08-30 | Paper |
Almost-sure exponential behavior of a stochastic anderson model with continuous space parameter
Stochastics and Stochastic Reports | 1998-08-05 | Paper |
| scientific article; zbMATH DE number 1154472 (Why is no real title available?) | 1998-05-24 | Paper |
Surface stretching for Ornstein Uhlenbeck velocity fields
Electronic Communications in Probability | 1998-03-09 | Paper |
Surface stretching for Ornstein Uhlenbeck velocity fields
Electronic Communications in Probability | 1998-03-09 | Paper |
Homogenization for time-dependent two-dimensional incompressible Gaussian flows
The Annals of Applied Probability | 1998-01-22 | Paper |
Diffusive hydrodynamic limits for systems of interacting diffusions with finite range random interaction
Communications in Mathematical Physics | 1997-12-10 | Paper |
| scientific article; zbMATH DE number 967291 (Why is no real title available?) | 1997-01-15 | Paper |
| scientific article; zbMATH DE number 967292 (Why is no real title available?) | 1997-01-15 | Paper |
Large deviations and exponential decay for the magnetization in a Gaussian random field
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-12-17 | Paper |
Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation
Random Operators and Stochastic Equations | 1996-11-07 | Paper |
| scientific article; zbMATH DE number 802855 (Why is no real title available?) | 1996-07-04 | Paper |
| scientific article; zbMATH DE number 802856 (Why is no real title available?) | 1996-04-25 | Paper |
| scientific article; zbMATH DE number 797346 (Why is no real title available?) | 1996-04-09 | Paper |
Stationary parabolic Anderson model and intermittency
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1995-12-04 | Paper |
| scientific article; zbMATH DE number 797345 (Why is no real title available?) | 1995-11-26 | Paper |
Reflecting Brownian motions and comparison theorems for Neumann heat kernels
Journal of Functional Analysis | 1994-10-10 | Paper |
A diffusion approximation result for two parameter processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-08-28 | Paper |
| scientific article; zbMATH DE number 503488 (Why is no real title available?) | 1994-08-11 | Paper |
Traces of random variables on Wiener space and the Onsager-Machlup functional
Journal of Functional Analysis | 1992-09-27 | Paper |
| scientific article; zbMATH DE number 48634 (Why is no real title available?) | 1992-09-17 | Paper |
| scientific article; zbMATH DE number 49027 (Why is no real title available?) | 1992-09-17 | Paper |
Relativistic Schrödinger operators: Asymptotic behavior of the eigenfunctions
Journal of Functional Analysis | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4171517 (Why is no real title available?) | 1989-01-01 | Paper |
Random nonlinear wave equations: Smoothness of the solutions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1988-01-01 | Paper |
Random nonlinear wave equations: Propagation of singularities
The Annals of Probability | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4026477 (Why is no real title available?) | 1987-01-01 | Paper |
Anderson localization for Bernoulli and other singular potentials
Communications in Mathematical Physics | 1987-01-01 | Paper |
Inverse spectral theory for random Jacobi matrices
Journal of Statistical Physics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4066078 (Why is no real title available?) | 1987-01-01 | Paper |
Can one hear the dimension of a fractal?
Communications in Mathematical Physics | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3981712 (Why is no real title available?) | 1986-01-01 | Paper |
Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1986-01-01 | Paper |
One-dimensional Schrödinger operators with random potentials: a survey
Acta Applicandae Mathematicae | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3897954 (Why is no real title available?) | 1984-01-01 | Paper |
One-dimensional Schrödinger operators with random potentials
Physica A | 1984-01-01 | Paper |
Exponential moments for hitting times of uniformly ergodic Markov processes
The Annals of Probability | 1983-01-01 | Paper |
One-dimensional Schrödinger operators with random or deterministic potentials: New spectral types
Journal of Functional Analysis | 1983-01-01 | Paper |
Schrödinger operators with an electric field and random or deterministic potentials
Communications in Mathematical Physics | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3759292 (Why is no real title available?) | 1982-01-01 | Paper |
Exponential localization in one dimensional disordered systems
Duke Mathematical Journal | 1982-01-01 | Paper |
Pointwise bounds on eigenfunctions and wave packets in N-body quantum systems. V: Lower bounds and path integrals
Communications in Mathematical Physics | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3812662 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3712946 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3631696 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3633488 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3633488 (Why is no real title available?) | 1979-01-01 | Paper |
Regularity properties of Schrödinger and Dirichlet semigroups
Journal of Functional Analysis | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3622719 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3622719 (Why is no real title available?) | 1979-01-01 | Paper |
Tensor Gaussian measures on \(L^p(E)\)
Journal of Functional Analysis | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3622720 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3622720 (Why is no real title available?) | 1979-01-01 | Paper |
Pointwise bounds for Schrödinger eigenstates
Communications in Mathematical Physics | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3600314 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3551643 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3551643 (Why is no real title available?) | 1977-01-01 | Paper |
Measurable norms and some Banach space valued Gaussian processes
Duke Mathematical Journal | 1977-01-01 | Paper |
Potentials on abstract Wiener space
Journal of Functional Analysis | 1977-01-01 | Paper |
[https://portal.mardi4nfdi.de/wiki/Publication:4084475 Convergence en loi et lois du logarithme it�r� pour les vecteurs gaussiens]
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3511288 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3465624 (Why is no real title available?) | 1974-01-01 | Paper |
Leveraging the turnpike effect for Mean Field Games numerics
(available as arXiv preprint) | N/A | Paper |
