| Publication | Date of Publication | Type |
|---|
Neural operators can play dynamic Stackelberg games
Journal of Machine Learning Research (JMLR) | 2026-08-04 | Paper |
Uniform-in-time weak propagation of chaos for consensus-based optimization
The Annals of Applied Probability | 2026-07-28 | Paper |
Viscosity solutions of fully second-order HJB equations in the Wasserstein space
SIAM Journal on Control and Optimization | 2026-07-08 | Paper |
Comparison for semi-continuous viscosity solutions for second order PDEs on the Wasserstein space
Journal of Differential Equations | 2026-01-16 | Paper |
Comparison of viscosity solutions for a class of non-linear PDEs on the space of finite nonnegative measures
(available as arXiv preprint) | 2026-01-01 | Paper |
Uniform-in-time propagation of chaos for consensus-based minimax algorithm
(available as arXiv preprint) | 2026-01-01 | Paper |
Analytical Approach to Continuous-Time Causal Optimal Transport
(available as arXiv preprint) | 2026-01-01 | Paper |
A comparison principle for Wasserstein PDEs with state- and law-dependent common noise
(available as arXiv preprint) | 2026-01-01 | Paper |
Quantitative homogenization of convex Hamilton-Jacobi equations in the Wasserstein space
(available as arXiv preprint) | 2026-01-01 | Paper |
Multidimensional stochastic liquidity in Kyle's model of informed trading
(available as arXiv preprint) | 2026-01-01 | Paper |
Quantitative Particle Approximation for Controlled Nonlinear Filtering
(available as arXiv preprint) | 2026-01-01 | Paper |
Kullback-Leibler Mirror-Prox for Measure-Valued Variational Inequalities and Mean-Field Equilibria
(available as arXiv preprint) | 2026-01-01 | Paper |
Mean-field optimal stopping with endogenous quantile cutoffs
(available as arXiv preprint) | 2026-01-01 | Paper |
Prediction with Five Experts and Geometric Stopping: A Probabilistic Construction and Analytic Verification
(available as arXiv preprint) | 2026-01-01 | Paper |
Target-Generated Dirichlet Problems in State-Constrained Stochastic Control
(available as arXiv preprint) | 2026-01-01 | Paper |
Kyle's model with stochastic liquidity
Finance and Stochastics | 2025-09-23 | Paper |
Convergence rate of particle system for second-order PDEs on Wasserstein space
SIAM Journal on Control and Optimization | 2025-06-05 | Paper |
Comparison of viscosity solutions for a class of second-order PDEs on the Wasserstein space
Communications in Partial Differential Equations | 2025-05-11 | Paper |
Sequential optimal contracting in continuous time
Frontiers of Mathematical Finance | 2025-04-07 | Paper |
Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space
(available as arXiv preprint) | 2025-01-01 | Paper |
Solvability of the Gaussian Kyle model with imperfect information and risk aversion
(available as arXiv preprint) | 2025-01-01 | Paper |
Kyle-back models with risk aversion and non-Gaussian beliefs
The Annals of Applied Probability | 2024-01-16 | Paper |
Convergence Rate of Particle System for Second-order PDEs On Wasserstein Space
(available as arXiv preprint) | 2024-01-01 | Paper |
Consistency of MLE in partially observed diffusion models on a torus
(available as arXiv preprint) | 2024-01-01 | Paper |
Liquidity in competitive dealer markets
Mathematical Finance | 2023-09-28 | Paper |
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
Mathematical Finance | 2023-09-28 | Paper |
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
Mathematical Finance | 2023-09-27 | Paper |
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
Mathematical Finance | 2023-09-27 | Paper |
| Comparison of viscosity solutions for a class of second order PDEs on the Wasserstein space | 2023-09-10 | Paper |
A smooth variational principle on Wasserstein space
Proceedings of the American Mathematical Society | 2023-06-27 | Paper |
| A unified approach to informed trading via Monge-Kantorovich duality | 2022-10-31 | Paper |
| Kyle's Model with Stochastic Liquidity | 2022-04-23 | Paper |
A unified approach to informed trading via Monge-Kantorovich duality
(available as arXiv preprint) | 2022-01-01 | Paper |
On the asymptotic optimality of the comb strategy for prediction with expert advice
The Annals of Applied Probability | 2021-11-04 | Paper |
On the asymptotic optimality of the comb strategy for prediction with expert advice
The Annals of Applied Probability | 2021-11-04 | Paper |
| Multidimensional Kyle-Back model with a risk averse informed trader | 2021-11-02 | Paper |
scientific article; zbMATH DE number 7370589 (Why is no real title available?)
(available as arXiv preprint) | 2021-07-09 | Paper |
| scientific article; zbMATH DE number 7370589 (Why is no real title available?) | 2021-07-09 | Paper |
A Hörmander condition for delayed stochastic differential equations
Annales Henri Lebesgue | 2020-11-11 | Paper |
Finite-time 4-expert prediction problem
Communications in Partial Differential Equations | 2020-11-09 | Paper |
Prediction against a limited adversary
(available as arXiv preprint) | 2020-10-30 | Paper |
Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Portfolio choice with small temporary and transient price impact
Mathematical Finance | 2019-12-05 | Paper |
Finite-Time 4-Expert Prediction Problem
(available as arXiv preprint) | 2019-11-21 | Paper |
On the asymptotic optimality of the comb strategy for prediction with expert advice
(available as arXiv preprint) | 2019-02-06 | Paper |
Existence of invariant measures for the stochastic damped KdV equation
Indiana University Mathematics Journal | 2018-11-02 | Paper |
Optimal rebalancing frequencies for multidimensional portfolios
Mathematics and Financial Economics | 2018-04-16 | Paper |
Constrained optimal transport
Archive for Rational Mechanics and Analysis | 2018-02-28 | Paper |
Existence of invariant measures for the stochastic damped Schrödinger equation
Stochastic and Partial Differential Equations. Analysis and Computations | 2017-12-19 | Paper |
Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
Stochastic Processes and their Applications | 2017-11-09 | Paper |
Existence of invariant measures for some damped stochastic dispersive equations
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2017-07-19 | Paper |
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
The Annals of Probability | 2016-09-30 | Paper |
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
The Annals of Probability | 2016-09-30 | Paper |
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
The Annals of Probability | 2016-05-12 | Paper |
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
The Annals of Probability | 2016-05-12 | Paper |
Optimal stopping under nonlinear expectation
Stochastic Processes and their Applications | 2014-09-04 | Paper |
On viscosity solutions of path dependent PDEs
The Annals of Probability | 2014-03-06 | Paper |
On viscosity solutions of path dependent PDEs
The Annals of Probability | 2014-03-06 | Paper |
