Search Results - "Pham, Huyên"

Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix by Ismail, Amine, Pham, Huyên

“…This paper studies a robust continuous‐time Markowitz portfolio selection problem where the model uncertainty affects the covariance matrix of multiple risky…”
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Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics by BAYRAKTAR, ERHAN, COSSO, ANDREA, PHAM, HUYÊN

“…We analyze a stochastic optimal control problem, where the state process follows a McKean-Vlasov dynamics and the diffusion coefficient can be degenerate. We…”
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Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation by Abi Jaber, Eduardo, Miller, Enzo, Pham, Huyên

“…We provide an exhaustive treatment of linear-quadratic control problems for a class of stochastic Volterra equations of convolution type, whose kernels are…”
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Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications by Bachouch, Achref, Huré, Côme, Langrené, Nicolas, Pham, Huyên

“…This paper presents several numerical applications of deep learning-based algorithms for discrete-time stochastic control problems in finite time horizon that…”
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Mean-field Markov decision processes with common noise and open-loop controls by Motte, Médéric, Pham, Huyên

“…We develop an exhaustive study of Markov decision process (MDP) under mean field interaction both on states and actions in the presence of common noise, and…”
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Optimal consumption with reference to past spending maximum by Deng, Shuoqing, Li, Xun, Pham, Huyên, Yu, Xiang

“…This paper studies the infinite-horizon optimal consumption problem with a path-dependent reference under exponential utility. The performance is measured by…”
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BACKWARD SDES FOR OPTIMAL CONTROL OF PARTIALLY OBSERVED PATH-DEPENDENT STOCHASTIC SYSTEMS: A CONTROL RANDOMIZATION APPROACH by Bandini, Elena, Cosso, Andrea, Fuhrman, Marco, Pham, Huyên

“…We introduce a suitable backward stochastic differential equation (BSDE) to represent the value of an optimal control problem with partial observation for a…”
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A McKean–Vlasov approach to distributed electricity generation development by Aïd, René, Basei, Matteo, Pham, Huyên

“…This paper analyses the interaction between centralised carbon emissive technologies and distributed intermittent non-emissive technologies. In our model,…”
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Regime-switching stochastic volatility model: estimation and calibration to VIX options by Goutte, Stéphane, Ismail, Amine, Pham, Huyên

“…We develop and implement a method for maximum likelihood estimation of a regime-switching stochastic volatility model. Our model uses a continuous time…”
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Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach by Cosso, Andrea, Fuhrman, Marco, Pham, Huyên

“…We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton–Jacobi–Bellman type arising typically in stochastic control…”
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DISCRETE TIME APPROXIMATION OF FULLY NONLINEAR HJB EQUATIONS VIA BSDES WITH NONPOSITIVE JUMPS by Kharroubi, Idris, Langrené, Nicolas, Pham, Huyên

“…We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton–Jacobi–Bellman (HJB) type associated to stochastic control problem,…”
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Mean-Variance Portfolio Selection with Tracking Error Penalization by Lefebvre, William, Loeper, Grégoire, Pham, Huyên

“…This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance…”
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RANDOMIZED AND BACKWARD SDE REPRESENTATION FOR OPTIMAL CONTROL OF NON-MARKOVIAN SDES by Fuhrman, Marco, Pham, Huyên

“…We study optimal stochastic control problems for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients and gain…”
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OPTIMAL INVESTMENT UNDER MULTIPLE DEFAULTS RISK: A BSDE-DECOMPOSITION APPROACH by Jiao, Ying, Kharroubi, Idris, Pham, Huyên

“…We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is…”
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Dealing with drift uncertainty: A Bayesian learning approach by De Franco, Carmine, Nicolle, Johann, Pham, Huyên

“…One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector…”
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Reflected BSDEs with nonpositive jumps, and controller-and-stopper games by Choukroun, Sébastien, Cosso, Andrea, Pham, Huyên

“…We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal…”
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Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump by Fuhrman, Marco, Pham, Huyên, Zeni, Federica

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A model of optimal portfolio selection under liquidity risk and price impact by Ly Vath, Vathana, Mnif, Mohamed, Pham, Huyên

“…We study a financial model with one risk-free and one risky asset subject to liquidity risk and price impact. In this market, an investor may transfer funds…”
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Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications by Pham, Huyên

“…We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the…”
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Mean-field neural networks: Learning mappings on Wasserstein space by Pham, Huyên, Warin, Xavier

“…We study the machine learning task for models with operators mapping between the Wasserstein space of probability measures and a space of functions, like e.g…”
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