| Publication | Date of Publication | Type |
|---|
Asymmetric attractive particle systems on \(\mathbf{Z}\): hydrodynamic limit for monotone initial profiles
Journal of Statistical Physics | 2026-04-27 | Paper |
Analysis of multiscale reinforcement Q-learning algorithms for mean field control games
Applied Mathematics and Optimization | 2026-02-23 | Paper |
Collective arbitrage and the value of cooperation
Finance and Stochastics | 2025-12-30 | Paper |
Deep reinforcement learning for infinite horizon mean field problems in continuous spaces
Journal of Machine Learning | 2025-07-22 | Paper |
Reinforcement learning algorithm for mixed mean field control games
Journal of Machine Learning | 2025-07-22 | Paper |
| Convergence of Multi-Scale Reinforcement Q-Learning Algorithms for Mean Field Game and Control Problems | 2023-12-11 | Paper |
Multivariate systemic risk measures and computation by deep learning algorithms
Quantitative Finance | 2023-11-07 | Paper |
Optimal investment with correlated stochastic volatility factors
Mathematical Finance | 2023-09-28 | Paper |
Systemic risk models for disjoint and overlapping groups with equilibrium strategies
Statistics & Risk Modeling | 2023-01-19 | Paper |
Optimal trading with signals and stochastic price impact
SIAM Journal on Financial Mathematics | 2022-08-22 | Paper |
| Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game | 2022-07-07 | Paper |
Unified reinforcement Q-learning for mean field game and control problems
MCSS. Mathematics of Control, Signals, and Systems | 2022-07-05 | Paper |
| Reinforcement Learning Algorithm for Mixed Mean Field Control Games | 2022-05-04 | Paper |
Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets
SIAM Journal on Financial Mathematics | 2022-02-15 | Paper |
Systemic optimal risk transfer equilibrium
Mathematics and Financial Economics | 2021-05-05 | Paper |
McMC estimation of multiscale stochastic volatility models with applications
Mathematics and Computers in Simulation | 2021-02-18 | Paper |
Probabilistic Theory of Mean Field Games, Volumes I & II
Notices of the American Mathematical Society | 2021-02-11 | Paper |
Multiscale asymptotic analysis for portfolio optimization under stochastic environment
Multiscale Modeling & Simulation | 2021-02-09 | Paper |
| Linear-Quadratic Stochastic Differential Games on Random Directed Networks | 2020-11-05 | Paper |
Directed chain stochastic differential equations
Stochastic Processes and their Applications | 2020-04-07 | Paper |
On fairness of systemic risk measures
Finance and Stochastics | 2020-03-25 | Paper |
| Linear-Quadratic Stochastic Differential Games on Directed Chain Networks | 2020-03-19 | Paper |
Optimal portfolio under fractional stochastic environment
Mathematical Finance | 2019-10-31 | Paper |
A unified approach to systemic risk measures via acceptance sets
Mathematical Finance | 2019-05-08 | Paper |
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Applied Mathematical Finance | 2019-05-08 | Paper |
| Deep Learning Methods for Mean Field Control Problems with Delay | 2019-05-01 | Paper |
Uncertain volatility models with stochastic bounds
SIAM Journal on Financial Mathematics | 2019-03-20 | Paper |
| Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models | 2019-01-15 | Paper |
Pricing Asian options with stochastic volatility
Quantitative Finance | 2019-01-14 | Paper |
Variance reduction for Monte Carlo simulation in a stochastic volatility environment
Quantitative Finance | 2019-01-14 | Paper |
Systemic risk and stochastic games with delay
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
Quantitative Finance | 2018-11-14 | Paper |
Optimal portfolio under fast mean-reverting fractional stochastic environment
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
| Mean Field Game with Delay: a Toy Model | 2018-07-12 | Paper |
Portfolio optimization and stochastic volatility asymptotics
Mathematical Finance | 2017-07-21 | Paper |
Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
SIAM Journal on Control and Optimization | 2017-06-23 | Paper |
Perturbation analysis for investment portfolios under partial information with expert opinions
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Portfolio optimization with ambiguous correlation and stochastic volatilities
SIAM Journal on Control and Optimization | 2016-09-14 | Paper |
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
Finance and Stochastics | 2016-09-07 | Paper |
Mean field games and systemic risk
Communications in Mathematical Sciences | 2015-06-12 | Paper |
Filtering and portfolio optimization with stochastic unobserved drift in asset returns
Communications in Mathematical Sciences | 2015-06-12 | Paper |
Multiscale stochastic volatility model for derivatives on futures
International Journal of Theoretical and Applied Finance | 2015-01-21 | Paper |
Approximation for option prices under uncertain volatility
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Option pricing under a stressed-beta model
Annals of Finance | 2014-11-12 | Paper |
Option pricing under hybrid stochastic and local volatility
Quantitative Finance | 2014-02-20 | Paper |
Stability in a model of interbank lending
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Small-time asymptotics for fast mean-reverting stochastic volatility models
The Annals of Applied Probability | 2012-09-19 | Paper |
Small-time asymptotics for fast mean-reverting stochastic volatility models
The Annals of Applied Probability | 2012-09-19 | Paper |
Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Time reversal super resolution in randomly layered media
Wave Motion | 2012-02-11 | Paper |
| Multiscale stochastic volatility for equity, interest rate, and credit derivatives. | 2011-10-27 | Paper |
Diversity and arbitrage in a regulatory breakup model
Annals of Finance | 2011-08-25 | Paper |
Calibration of Stock Betas from Skews of Implied Volatilities
Applied Mathematical Finance | 2011-06-03 | Paper |
A fast mean-reverting correction to Heston's stochastic volatility model
SIAM Journal on Financial Mathematics | 2011-05-02 | Paper |
Time-reversal refocusing for point source in randomly layered media
Wave Motion | 2010-07-01 | Paper |
Bond markets with stochastic volatility
Econometrics and Risk Management | 2010-06-30 | Paper |
Perturbed Gaussian copula
Econometrics and Risk Management | 2010-06-30 | Paper |
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
Interaction particle systems for the computation of rare credit portfolio losses
Finance and Stochastics | 2010-04-22 | Paper |
| Variance reduction for MC/QMC methods to evaluate option prices | 2010-01-13 | Paper |
Multiname and multiscale default modeling
Multiscale Modeling & Simulation | 2009-12-21 | Paper |
Asymmetric Variance Reduction for Pricing American Options
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
Financial modeling in a fast mean-reverting stochastic volatility environment
Asia-Pacific Financial Markets | 2009-04-15 | Paper |
MEAN-REVERTING STOCHASTIC VOLATILITY
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
A martingale control variate method for option pricing with stochastic volatility
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
A martingale control variate method for option pricing with stochastic volatility
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Wave propagation and time reversal in randomly layered media.
Stochastic Modelling and Applied Probability | 2007-09-20 | Paper |
Stochastic Volatility Effects on Defaultable Bonds
Applied Mathematical Finance | 2007-02-15 | Paper |
| Imaging of a dissipative layer in a random medium using a time reversal method | 2006-08-28 | Paper |
Time reversal detection in one-dimensional random media
Inverse Problems | 2006-07-13 | Paper |
Robustness of time reversal for waves in time-dependent random media
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Time-reversal simulations for detection in randomly layered media
Waves in Random and Complex Media | 2005-07-26 | Paper |
Maturity cycles in implied volatility
Finance and Stochastics | 2005-05-20 | Paper |
Multiscale Stochastic Volatility Asymptotics
Multiscale Modeling & Simulation | 2005-03-08 | Paper |
| scientific article; zbMATH DE number 2133111 (Why is no real title available?) | 2005-02-09 | Paper |
| scientific article; zbMATH DE number 2127974 (Why is no real title available?) | 2005-01-14 | Paper |
Time Reversal for Dispersive Waves in Random Media
SIAM Journal on Applied Mathematics | 2004-12-13 | Paper |
Shock structure due to stochastic forcing and the time reversal of nonlinear waves
Physica D | 2004-11-23 | Paper |
Stochastic Volatility Corrections for Interest Rate Derivatives
Mathematical Finance | 2004-11-16 | Paper |
Time-Reversal Aperture Enhancement
Multiscale Modeling & Simulation | 2004-07-22 | Paper |
Time-Reversed Refocusing of Surface Water Waves
Multiscale Modeling & Simulation | 2004-03-17 | Paper |
Singular Perturbations in Option Pricing
SIAM Journal on Applied Mathematics | 2003-09-28 | Paper |
| scientific article; zbMATH DE number 1642341 (Why is no real title available?) | 2001-09-09 | Paper |
Spectral analysis of randomly scattered signals using the wavelet transform
Wave Motion | 2001-08-30 | Paper |
| scientific article; zbMATH DE number 1500753 (Why is no real title available?) | 2000-11-16 | Paper |
| scientific article; zbMATH DE number 1517499 (Why is no real title available?) | 2000-10-16 | Paper |
| scientific article; zbMATH DE number 1329499 (Why is no real title available?) | 2000-05-10 | Paper |
Forward and Markov approximation: the strong-intensity-fluctuations regime revisited
Waves in Random and Complex Media | 1999-07-07 | Paper |
A time-reversal method for an acoustical pulse propagating in randomly layered media
Wave Motion | 1999-04-26 | Paper |
| scientific article; zbMATH DE number 1163738 (Why is no real title available?) | 1999-01-26 | Paper |
| scientific article; zbMATH DE number 1223766 (Why is no real title available?) | 1998-11-15 | Paper |
Pressure Fields Generated by Acoustical Pulses Propagating in Randomly Layered Media
SIAM Journal on Applied Mathematics | 1998-09-20 | Paper |
| scientific article; zbMATH DE number 1023136 (Why is no real title available?) | 1997-07-16 | Paper |
| scientific article; zbMATH DE number 953265 (Why is no real title available?) | 1997-05-25 | Paper |
| scientific article; zbMATH DE number 797345 (Why is no real title available?) | 1995-11-26 | Paper |
Estimation of local power spectral densities for non-stationary signals using wavelet transform
Mathematics and Computers in Simulation | 1995-09-04 | Paper |
Spreading of a pulse travelling in random media
The Annals of Applied Probability | 1995-06-22 | Paper |
Totally asymmetric attractive particle systems on \(\mathbb{Z}\): Hydrodynamic limit for general initial profiles
Stochastic Processes and their Applications | 1995-04-19 | Paper |
A limit theorem for linear boundary value problems in random media
The Annals of Applied Probability | 1994-12-12 | Paper |
A diffusion approximation result for two parameter processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-08-28 | Paper |
| scientific article; zbMATH DE number 19382 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 4209273 (Why is no real title available?) | 1991-01-01 | Paper |
Hydrodynamical limit for the symmetric zero-range process
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1988-01-01 | Paper |
Hydrodynamical limit for the symmetric zero-range process
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1988-01-01 | Paper |
Hydrodynamical limit for the asymmetric simple exclusion process
The Annals of Probability | 1987-01-01 | Paper |
La convergence en loi pour les processus à valeurs dans un espace nucléaire
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1984-01-01 | Paper |
La convergence en loi pour les processus à valeurs dans un espace nucléaire
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1984-01-01 | Paper |
The past of a stopping point and stopping for two-parameter processes
Journal of Multivariate Analysis | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3738641 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3676917 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3676919 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3676920 (Why is no real title available?) | 1980-01-01 | Paper |
