The following pages link to Nicolas Langrené (Q2120591):
Displaying 14 items.
- Robust utility maximization under model uncertainty via a penalization approach (Q2120592) (← links)
- Fast multivariate empirical cumulative distribution function with connection to kernel density estimation (Q2242044) (← links)
- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization (Q2248052) (← links)
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps (Q2354898) (← links)
- Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications (Q2671220) (← links)
- SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL (Q2816963) (← links)
- A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES (Q2847237) (← links)
- A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension (Q2940758) (← links)
- Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating (Q3391268) (← links)
- Portfolio optimization with a prescribed terminal wealth distribution (Q5068093) (← links)
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← links)
- Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis (Q5151934) (← links)
- Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (Q5234310) (← links)
- A mixture representation of the spectral distribution of isotropic kernels with application to random Fourier features (Q6752000) (← links)
