Huyen Pham

发表

Dealing with Drift Uncertainty: A Bayesian Learning Approach

Carmine De Franco, Johann Nicolle, Huyen Pham, 2018, Risks.

Mean-field Markov decision processes with common noise and open-loop controls.

Huyen Pham, M'ed'eric Motte, M'ed'eric Motte UPD7, 2019, 1912.07883.

Algorithmic trading in a microstructural limit order book model

Huyen Pham, Fr'ed'eric Abergel, Come Hur'e, 2017, Quantitative Finance.

BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM

Carmine De Franco, Johann Nicolle, Huyen Pham, 2018, International Journal of Theoretical and Applied Finance.

Neural networks-based backward scheme for fully nonlinear PDEs pdf

Huyen Pham, Xavier Warin, H. Pham, 2019, SN Partial Differential Equations and Applications.

Rate of convergence for particle approximation of PDEs in Wasserstein space

Huyen Pham, Xavier Warin, Maximilien Germain, 2021, Journal of Applied Probability.

Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems

Huyen Pham, Eduardo Abi Jaber, Enzo Miller, 2019, SIAM J. Control. Optim..

Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation

Huyen Pham, Eduardo Abi Jaber, Enzo Miller, 2021, The Annals of Applied Probability.

Optimal bidding strategies for digital advertising

Huyen Pham, M'ed'eric Motte, H. Pham, 2021, 2111.08311.

Meta-Learning a Solution to the Hanabi Ad-Hoc Challenge

Huyen Pham, Joshua McCoy, Aron Sarmasi, 2021, FDG.

DeepSets and Their Derivative Networks for Solving Symmetric PDEs

Mathieu Lauriere, Huyen Pham, Xavier Warin, 2021, Journal of Scientific Computing.

Neural networks-based algorithms for stochastic control and PDEs in finance

Huyen Pham, Xavier Warin, Maximilien Germain, 2021, 2101.08068.

HOAD: The Hanabi Open Agent Dataset

Huyen Pham, Joshua McCoy, Aron Sarmasi, 2021, AAMAS.

Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions

Huyen Pham, Fausto Gozzi, Idris Kharroubi, 2021 .

A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection

Huyen Pham, Xavier Warin, Maximilien Germain, 2021 .

Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach

Huyen Pham, Marco Fuhrman, Andrea Cosso, 2014, 1410.1125.

No Arbitrage in Discrete Time Under Portfolio Constraints

Huyen Pham, Nizar Touzi, Laurence Carassus, 2001 .

Backward SDEs with constrained jumps and quasi-variational inequalities

Jin Ma, Huyen Pham, Idris Kharroubi, 2008, 0805.4676.

Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE

Huyen Pham, Idris Kharroubi, H. Pham, 2012, 1212.2000.

Hedging and Optimization Problems in Continuous-Time Financial Models

Huyen Pham, Place Jussieu, 1999 .

Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management

Huyen Pham, H. Pham, 2010, 1001.0206.

Zero-sum stochastic differential games of generalized McKean–Vlasov type

Huyen Pham, Andrea Cosso, H. Pham, 2018, Journal de Mathématiques Pures et Appliquées.

A mixed singular/switching control problem for a dividend policy with reversible technology investment

Huyen Pham, Vathana Ly Vath, St'ephane Villeneuve, 2008 .

A class of finite-dimensional numerically solvable McKean-Vlasov control problems

Mathieu Lauriere, Huyen Pham, Alessandro Balata, 2018, ESAIM: Proceedings and Surveys.

Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem

Huyen Pham, Marco Fuhrman, Elena Bandini, 2016, Stochastic Processes and their Applications.

Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach

Huyen Pham, Marco Fuhrman, Elena Bandini, 2018, The Annals of Applied Probability.

Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach

Huyen Pham, Xiaoli Wei, H. Pham, 2015, Applied Mathematics & Optimization.

Impulse control problem on finite horizon with execution delay

Huyen Pham, Benjamin Bruder, 2007 .

Randomized and backward SDE representation for optimal control of non-Markovian SDEs

Huyen Pham, Marco Fuhrman, H. Pham, 2015 .

Explicit Investment Rules with Time-to-Build and Uncertainty

Huyen Pham, Salvatore Federico, Ren'e Aid, 2014, 1406.0055.