| Publication | Date of Publication | Type |
|---|
Propagation of chaos for mean field Schrödinger problems
SIAM Journal on Control and Optimization | 2025-01-14 | Paper |
A probabilistic approach to small noise limit for PDEs in the Wasserstein space
Indiana University Mathematics Journal | 2024-11-03 | Paper |
Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise
Mathematics and Financial Economics | 2024-11-01 | Paper |
On the population size in stochastic differential games
Notices of the American Mathematical Society | 2024-09-26 | Paper |
Optimal investment in a large population of competitive and heterogeneous agents
Finance and Stochastics | 2024-04-02 | Paper |
Laplace principle for large population games with control interaction
Stochastic Processes and their Applications | 2024-03-27 | Paper |
Nonasymptotic Convergence Rates for the Plug-in Estimation of Risk Measures
Mathematics of Operations Research | 2024-03-01 | Paper |
Maximum principle for stochastic control of SDEs with measurable drifts
Journal of Optimization Theory and Applications | 2023-07-07 | Paper |
| Propagation of chaos for mean field Schr\"odinger problems | 2023-04-18 | Paper |
| Quantitative convergence for displacement monotone mean field games with controlled volatility | 2023-04-10 | Paper |
Stochastic control of optimized certainty equivalents
SIAM Journal on Financial Mathematics | 2022-08-22 | Paper |
Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls
SIAM Journal on Mathematical Analysis | 2022-06-23 | Paper |
Backward propagation of chaos
Electronic Journal of Probability | 2022-06-13 | Paper |
| A probabilistic approach to vanishing viscosity for PDEs on the Wasserstein space | 2022-06-03 | Paper |
Strong solutions of forward-backward stochastic differential equations with measurable coefficients
Stochastic Processes and their Applications | 2022-01-17 | Paper |
| Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics | 2021-11-23 | Paper |
Representation of increasing convex functionals with countably additive measures
Studia Mathematica | 2021-09-20 | Paper |
Quadratic transportation inequalities for SDEs with measurable drift
Proceedings of the American Mathematical Society | 2021-06-10 | Paper |
| Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs | 2021-05-02 | Paper |
Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
The Annals of Applied Probability | 2021-03-18 | Paper |
Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
The Annals of Applied Probability | 2021-03-18 | Paper |
Efficient hedging under ambiguity in continuous time
Probability, Uncertainty and Quantitative Risk | 2021-01-28 | Paper |
Functional inequalities for forward and backward diffusions
Electronic Journal of Probability | 2020-09-29 | Paper |
Functional inequalities for forward and backward diffusions
Electronic Journal of Probability | 2020-09-29 | Paper |
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Mathematics and Financial Economics | 2020-06-18 | Paper |
Theoretical and empirical analysis of trading activity
Mathematical Programming. Series A. Series B | 2020-06-15 | Paper |
Computational aspects of robust optimized certainty equivalents and option pricing
Mathematical Finance | 2020-05-14 | Paper |
Strong solutions of some one-dimensional SDEs with random and unbounded drifts
SIAM Journal on Mathematical Analysis | 2019-10-23 | Paper |
Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients
Journal of Theoretical Probability | 2019-10-22 | Paper |
Duality for pathwise superhedging in continuous time
Finance and Stochastics | 2019-06-27 | Paper |
Concentration of dynamic risk measures in a Brownian filtration
Stochastic Processes and their Applications | 2019-06-27 | Paper |
Multidimensional Markovian FBSDEs with super-quadratic growth
Stochastic Processes and their Applications | 2019-03-06 | Paper |
| BSDEs driven by $|z|^2/y$ and applications to PDEs and decision theory | 2018-10-12 | Paper |
Duality Formulas for Robust Pricing and Hedging in Discrete Time
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Solvability of coupled FBSDEs with diagonally quadratic generators
Stochastics and Dynamics | 2017-09-29 | Paper |
Minimal supersolutions of convex BSDEs under constraints
ESAIM: Probability and Statistics | 2017-01-12 | Paper |
Duality for increasing convex functionals with countably many marginal constraints
Banach Journal of Mathematical Analysis | 2016-12-21 | Paper |
Duality for increasing convex functionals with countably many marginal constraints
Banach Journal of Mathematical Analysis | 2016-12-21 | Paper |
Portfolio optimization under nonlinear utility
International Journal of Theoretical and Applied Finance | 2016-08-26 | Paper |
Dual representation of minimal supersolutions of convex BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-06-27 | Paper |
Dual representation of minimal supersolutions of convex BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-06-27 | Paper |
Duality for increasing convex functionals with countably many marginal constraints
(available as arXiv preprint) | 2015-09-29 | Paper |
| BSDEs on finite and infinite horizon with time-delayed generators | 2015-09-07 | Paper |
Mean field games with common noise via Malliavin calculus
(available as arXiv preprint) | N/A | Paper |
