| Publication | Date of Publication | Type |
|---|
Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
Applied Mathematics and Optimization | 2025-01-06 | Paper |
Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation
Mathematics and Financial Economics | 2024-11-01 | Paper |
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
Transactions of the American Mathematical Society | 2024-01-09 | Paper |
Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing
Applied Mathematical Finance | 2023-10-09 | Paper |
Equilibrium price in intraday electricity markets
Mathematical Finance | 2023-09-28 | Paper |
Quantitative propagation of chaos for mean field Markov decision process with common noise
Electronic Journal of Probability | 2023-08-02 | Paper |
Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
The Annals of Applied Probability | 2023-07-31 | Paper |
A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
Numerical Algebra, Control and Optimization | 2023-07-26 | Paper |
Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation
| 2023-06-28 | Paper |
Itô's formula for flows of measures on semimartingales
Stochastic Processes and their Applications | 2023-04-24 | Paper |
Rate of convergence for particle approximation of PDEs in Wasserstein space
Journal of Applied Probability | 2022-11-14 | Paper |
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Methodology and Computing in Applied Probability | 2022-06-03 | Paper |
Mean-field Markov decision processes with common noise and open-loop controls
The Annals of Applied Probability | 2022-05-06 | Paper |
Approximation error analysis of some deep backward schemes for nonlinear PDEs
SIAM Journal on Scientific Computing | 2022-01-13 | Paper |
Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation
The Annals of Applied Probability | 2021-11-04 | Paper |
Integral operator Riccati equations arising in stochastic Volterra control problems
SIAM Journal on Control and Optimization | 2021-05-28 | Paper |
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
SIAM Journal on Financial Mathematics | 2021-05-04 | Paper |
Neural networks-based backward scheme for fully nonlinear PDEs
SN Partial Differential Equations and Applications | 2021-05-03 | Paper |
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
SIAM Journal on Numerical Analysis | 2021-02-23 | Paper |
Algorithmic trading in a microstructural limit order book model
Quantitative Finance | 2020-12-07 | Paper |
It\^o's formula for flows of measures on semimartingales
| 2020-10-11 | Paper |
A Mckean-Vlasov approach to distributed electricity generation development
Mathematical Methods of Operations Research | 2020-06-15 | Paper |
Deep backward schemes for high-dimensional nonlinear PDEs
Mathematics of Computation | 2020-04-08 | Paper |
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Bayesian learning for the Markowitz portfolio selection problem
International Journal of Theoretical and Applied Finance | 2020-01-02 | Paper |
Linear-quadratic McKean-Vlasov stochastic differential games
| 2019-11-20 | Paper |
Zero-sum stochastic differential games of generalized McKean-Vlasov type
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2019-09-19 | Paper |
Neural networks-based backward scheme for fully nonlinear PDEs
| 2019-07-31 | Paper |
A class of finite-dimensional numerically solvable McKean-Vlasov control problems
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems
Journal of Optimization Theory and Applications | 2019-06-07 | Paper |
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
Mathematical Finance | 2019-05-08 | Paper |
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
Stochastic Processes and their Applications | 2019-01-25 | Paper |
Long time asymptotics for optimal investment
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Explicit investment rules with time-to-build and uncertainty
Journal of Economic Dynamics and Control | 2018-11-15 | Paper |
Semi-Markov model for market microstructure
Applied Mathematical Finance | 2018-09-18 | 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 |
Bellman equation and viscosity solutions for mean-field stochastic control problem
ESAIM: Control, Optimisation and Calculus of Variations | 2018-08-02 | Paper |
Regime-switching stochastic volatility model: estimation and calibration to VIX options
Applied Mathematical Finance | 2018-04-06 | 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 |
Linear-quadratic McKean-Vlasov stochastic control problems with random coefficients on finite and infinite horizon, and applications
| 2017-11-26 | Paper |
Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
SIAM Journal on Control and Optimization | 2017-06-23 | Paper |
Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Discrete time McKean-Vlasov control problem: a dynamic programming approach
Applied Mathematics and Optimization | 2017-04-03 | Paper |
Robust feedback switching control: dynamic programming and viscosity solutions
SIAM Journal on Control and Optimization | 2016-10-05 | Paper |
Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump
Electronic Communications in Probability | 2016-05-23 | Paper |
Optimal switching for the pairs trading rule: a viscosity solutions approach
Journal of Mathematical Analysis and Applications | 2016-04-25 | Paper |
Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach
Stochastic Processes and their Applications | 2016-04-20 | Paper |
An optimal trading problem in intraday electricity markets
Mathematics and Financial Economics | 2016-03-08 | Paper |
Optimization and statistical methods for high frequency finance
ESAIM: Proceedings and Surveys | 2016-01-29 | Paper |
Randomization method and backward SDEs for optimal control of partially observed path-dependent stochastic systems
| 2015-11-30 | Paper |
High frequency trading and asymptotics for small risk aversion in a Markov renewal model
SIAM Journal on Financial Mathematics | 2015-08-28 | Paper |
Dynamic programming for an investmentćonsumption problem in illiquid markets with regime-switching
Banach Center Publications | 2015-07-28 | Paper |
Feynman-Kac representation of fully nonlinear PDEs and applications
Acta Mathematica Vietnamica | 2015-07-28 | Paper |
Randomized and backward SDE representation for optimal control of non-Markovian SDEs
The Annals of Applied Probability | 2015-07-27 | Paper |
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
The Annals of Applied Probability | 2015-07-27 | Paper |
Optimal high-frequency trading in a pro rata microstructure with predictive information
Mathematical Finance | 2015-07-15 | Paper |
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
The Annals of Probability | 2015-07-10 | Paper |
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Stochastic Processes and their Applications | 2015-01-30 | Paper |
A probabilistic numerical method for optimal multiple switching problems in high dimension
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Optimal investment with counterparty risk: a default-density model approach
Finance and Stochastics | 2014-12-18 | Paper |
Optimal consumption policies in illiquid markets
Finance and Stochastics | 2014-12-17 | Paper |
Characterization of the optimal boundaries in reversible investment problems
SIAM Journal on Control and Optimization | 2014-11-21 | Paper |
Investment/consumption problem in illiquid markets with regime-switching
SIAM Journal on Control and Optimization | 2014-09-26 | Paper |
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Monte Carlo Methods and Applications | 2014-06-30 | Paper |
Optimal high-frequency trading with limit and market orders
Quantitative Finance | 2014-02-08 | Paper |
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
The Annals of Applied Probability | 2013-04-24 | Paper |
Swing options valuation: a BSDE with constrained jumps approach
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Time discretization and quantization methods for optimal multiple switching problem
Stochastic Processes and their Applications | 2012-06-01 | Paper |
scientific article; zbMATH DE number 5919882 (Why is no real title available?)
| 2011-07-13 | Paper |
A model of optimal consumption under liquidity risk with random trading times
Mathematical Finance | 2011-06-09 | Paper |
Optimal investment on finite horizon with random discrete order flow in illiquid markets
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
Stochastic Processes and their Applications | 2010-08-18 | Paper |
On some recent aspects of stochastic control and their applications
Probability Surveys | 2010-06-29 | Paper |
Backward SDEs with constrained jumps and quasi-variational inequalities
The Annals of Probability | 2010-04-21 | Paper |
Investment/consumption choice in illiquid markets with random trading times
| 2010-01-13 | Paper |
A coupled system of integrodifferential equations arising in liquidity risk model
Applied Mathematics and Optimization | 2009-08-06 | Paper |
Optimal portfolio liquidation with execution cost and risk
| 2009-06-14 | Paper |
Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
Continuous-time stochastic control and optimization with financial applications
Stochastic Modelling and Applied Probability | 2009-05-26 | Paper |
Impulse control problem on finite horizon with execution delay
Stochastic Processes and their Applications | 2009-05-06 | Paper |
MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Numerical approximation by quantization for optimization problems in finance under partial oberservations
| 2008-07-21 | Paper |
A mixed singular/switching control problem for a dividend policy with reversible technology investment
The Annals of Applied Probability | 2008-07-01 | Paper |
Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
SIAM Journal on Control and Optimization | 2008-04-03 | Paper |
Some Applications and Methods of Large Deviations in Finance and Insurance
Paris-Princeton Lectures on Mathematical Finance 2004 | 2008-01-14 | Paper |
Discretization and Simulation of the Zakai Equation
SIAM Journal on Numerical Analysis | 2008-01-07 | Paper |
A model of optimal portfolio selection under liquidity risk and price impact
Finance and Stochastics | 2007-12-16 | Paper |
On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
Lecture Notes in Mathematics | 2007-10-31 | Paper |
Stochastic optimisation and control applied to finance
Mathématiques & Applications (Berlin) | 2007-10-09 | Paper |
Explicit solution to an irreversible investment model with a stochastic production capacity
| 2006-10-23 | Paper |
A risk-sensitive control dual approach to a large deviations control problem
Systems & Control Letters | 2006-09-21 | Paper |
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
The Annals of Applied Probability | 2006-07-10 | Paper |
Optimal quantization methods for nonlinear filtering with discrete-time observations
Bernoulli | 2006-03-23 | Paper |
scientific article; zbMATH DE number 5010399 (Why is no real title available?)
| 2006-03-09 | Paper |
Optimal partially reversible investment with entry decision and general production function
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
| 2005-07-05 | Paper |
Wealth-path dependent utility maximization in incomplete markets
Finance and Stochastics | 2005-05-20 | Paper |
AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
Stochastics and Dynamics | 2005-03-21 | Paper |
Stochastic optimization under constraints.
Stochastic Processes and their Applications | 2004-11-26 | Paper |
A large deviations approach to optimal long term investment
Finance and Stochastics | 2004-03-16 | Paper |
A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment
Stochastics and Stochastic Reports | 2004-02-23 | Paper |
Optimal portfolio in partially observed stochastic volatility models.
The Annals of Applied Probability | 2003-05-06 | Paper |
Dual formulation of the utility maximization problem under transaction costs
The Annals of Applied Probability | 2003-05-06 | Paper |
Minimizing shortfall risk and applications to finance and insurance problems
The Annals of Applied Probability | 2003-05-06 | Paper |
Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
Applied Mathematics and Optimization | 2003-03-13 | Paper |
On Super-Replication in Discrete Time under Transaction Costs
Theory of Probability & Its Applications | 2002-04-25 | Paper |
Large deviations in estimation of an Ornstein-Uhlenbeck model
Journal of Applied Probability | 2002-02-05 | Paper |
On quadratic hedging in continuous time
Mathematical Methods of Operations Research | 2002-01-27 | Paper |
No arbitrage in discrete time under portfolio constraints.
Mathematical Finance | 2001-11-26 | Paper |
Local risk-minimization under transaction costs
Mathematics of Operations Research | 2001-11-26 | Paper |
Mean-variance hedging and numéraire
Mathematical Finance | 2001-03-29 | Paper |
Hedging in discrete time under transaction costs and continuous-time limit
Journal of Applied Probability | 2000-06-14 | Paper |
The fundamental theorem of asset pricing with cone constraints
Journal of Mathematical Economics | 2000-05-10 | Paper |
scientific article; zbMATH DE number 1438362 (Why is no real title available?)
| 2000-05-02 | Paper |
Super-replication in stochastic volatility models under portfolio constraints
Journal of Applied Probability | 2000-04-10 | Paper |
Dynamic L p-Hedging in Discrete Time under Cone Constraints
SIAM Journal on Control and Optimization | 2000-03-19 | Paper |
Sublinear price functionals under portfolio constraints
Journal of Mathematical Economics | 2000-01-01 | Paper |
Large deviation probabilities in estimation of Poisson random measures
Stochastic Processes and their Applications | 1999-11-18 | Paper |
Large deviation principle in nonparametric estimation of marked point processes
Statistics & Probability Letters | 1999-11-11 | Paper |
A closed-form solution to the problem of super-replication under transaction costs
Finance and Stochastics | 1999-09-14 | Paper |
Dynamic programming and mean-variance hedging
Finance and Stochastics | 1999-09-14 | Paper |
EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
Mathematical Finance | 1999-07-05 | Paper |
Mean-variance hedging for continuous processes: New proofs and examples
Finance and Stochastics | 1998-09-07 | Paper |
scientific article; zbMATH DE number 1147065 (Why is no real title available?)
| 1998-04-29 | Paper |
Large deviations in estimation of an Ornstein-Uhlenbeck model
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1997-09-04 | Paper |
scientific article; zbMATH DE number 972681 (Why is no real title available?)
| 1997-07-14 | Paper |
Optimal stopping, free boundary, and American option in a jump-diffusion model
Applied Mathematics and Optimization | 1997-07-08 | Paper |
scientific article; zbMATH DE number 777918 (Why is no real title available?)
| 1995-08-15 | Paper |
Nonlinear Graphon mean-field systems
| N/A | Paper |
