A discrete time version of the Maximum principle for non exchangeable mean field systems
Published in , 2025
Recommended citation: https://arxiv.org/abs/1911.01903
Publications
Maximum principle for optimal control problem of non exchangeable mean field systems
Published in , 2025
Recommended citation: https://arxiv.org/abs/1812.00632
Linear-quadratic stochastic delayed control and deep learning resolution
Published in Journal of Optimization Theory and Applications, with William Lefebvre, 2021
Recommended citation: https://hal.archives-ouvertes.fr/hal-03145949v3/document
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
Published in SIAM Journal on Financial Mathematics, with Eduardo Abi Jaber and Huyên Pham, 2020
Recommended citation: https://hal.archives-ouvertes.fr/hal-02877569/document
Linear–Quadratic control for a class of stochastic Volterra equations: solvability and approximation
Published in Annals of Applied Probability, with Eduardo Abi Jaber and Huyên Pham, 2019
Recommended citation: https://imstat.org/wp-content/uploads/2020/11/AAP1645.pdf