| Publication | Date of Publication | Type |
|---|
Mean–field moral hazard for optimal energy demand response management
Mathematical Finance | 2023-09-27 | Paper |
A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times
Stochastic Processes and their Applications | 2023-09-15 | Paper |
Mean-field reflected backward stochastic differential equations
The Annals of Applied Probability | 2023-07-31 | Paper |
Evolutionary Dynamics and Phi-Regret Minimization in Games
Journal of Artificial Intelligence Research | 2022-08-02 | Paper |
| Fairness guarantee in multi-class classification | 2021-09-28 | Paper |
Contact rate epidemic control of COVID-19: an equilibrium view
Mathematical Modelling of Natural Phenomena | 2021-07-19 | Paper |
COVID-19 pandemic control: balancing detection policy and lockdown intervention under ICU sustainability
Mathematical Modelling of Natural Phenomena | 2021-07-19 | Paper |
| Conditional Loss and Deep Euler Scheme for Time Series Generation | 2021-02-10 | Paper |
A Tale of a Principal and Many, Many Agents
Mathematics of Operations Research | 2020-03-12 | Paper |
An adverse selection approach to power pricing
SIAM Journal on Control and Optimization | 2020-03-11 | Paper |
| Large Banking Systems with Default and Recovery: A Mean Field Game Model | 2020-01-28 | Paper |
Contracting theory with competitive interacting agents
SIAM Journal on Control and Optimization | 2019-03-29 | Paper |
On a Class of Path-Dependent Singular Stochastic Control Problems
SIAM Journal on Control and Optimization | 2018-09-25 | Paper |
BSDEs with mean reflection
The Annals of Applied Probability | 2018-05-25 | Paper |
Regularity of BSDEs with a convex constraint on the gains-process
Bernoulli | 2018-02-15 | Paper |
Regularity of BSDEs with a convex constraint on the gains-process
Bernoulli | 2018-02-15 | Paper |
Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift
Mathematical Finance | 2015-10-20 | Paper |
Approximate hedging for nonlinear transaction costs on the volume of traded assets
Finance and Stochastics | 2015-08-04 | Paper |
When terminal facelift enforces delta constraints
Finance and Stochastics | 2015-03-30 | Paper |
BSDEs with weak terminal condition
The Annals of Probability | 2015-03-27 | Paper |
BSDEs with weak terminal condition
The Annals of Probability | 2015-03-27 | Paper |
Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
BSDE representations for optimal switching problems with controlled volatility
Stochastics and Dynamics | 2014-07-18 | Paper |
On the expectation of normalized Brownian functionals up to first hitting times
Electronic Journal of Probability | 2014-05-02 | Paper |
A simple constructive approach to quadratic BSDEs with or without delay
Stochastic Processes and their Applications | 2014-04-28 | Paper |
A note on utility based pricing and asymptotic risk diversification
Mathematics and Financial Economics | 2013-02-26 | Paper |
Discrete-time approximation of multidimensional BSDEs with oblique reflections
The Annals of Applied Probability | 2012-07-08 | Paper |
Discrete-time approximation of multidimensional BSDEs with oblique reflections
The Annals of Applied Probability | 2012-07-08 | Paper |
A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
Electronic Communications in Probability | 2011-09-09 | Paper |
Stochastic target problems with controlled loss
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Optimal control under stochastic target constraints
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Probabilistic representation and approximation for coupled systems of variational inequalities
Statistics & Probability Letters | 2010-08-26 | Paper |
| Stochastic control and numerical methods in mathematical finance. | 2010-04-06 | Paper |
| scientific article; zbMATH DE number 5657859 (Why is no real title available?) | 2010-01-13 | Paper |
Double Kernel Estimation of Sensitivities
Journal of Applied Probability | 2009-10-08 | Paper |
Finite time Merton strategy under drawdown constraint: a viscosity solution approach
Applied Mathematics and Optimization | 2009-07-24 | Paper |
Optimal lifetime consumption and investment under a drawdown constraint
Finance and Stochastics | 2009-02-28 | Paper |
Discrete-time approximation of decoupled Forward-Backward SDE with jumps
Stochastic Processes and their Applications | 2008-02-06 | Paper |
Kernel estimation of Greek weights by parameter randomization
The Annals of Applied Probability | 2008-01-28 | Paper |
