Pham, Huyên
- Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics
2016/04/14 by Huyên Pham, Pham, Huyên, Xiaoli Wei +1 · 10 citations
Decision Sciences · Economics, Econometrics and Finance · #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- Bellman equation and viscosity solutions for mean-field stochastic control problem
2015/12/24 by Huyên Pham, Xiaoli Wei, Pham, Huyên +1 · 9 citations
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- Itô's formula for flows of measures on semimartingales
2020/10/11 by Xin Guo, Guo, Xin, Huyên Pham +3 · 7 citations
Economics, Econometrics and Finance · #60H30 #60K35 #93E20 #Credit Risk and Financial Regulations #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
2016/06/27 by Erhan Bayraktar, Bayraktar, Erhan, Andrea Cosso +3 · 5 citations
Computer Science · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Gas Dynamics and Kinetic Theory #Optimization and Control (math.OC) #Optimization and Variational Analysis #Probability (math.PR) #Stochastic processes and financial applications
- Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
2021/07/22 by Cosso, Andrea, Gozzi, Fausto, Kharroubi, Idris +2 · 6 citations
#Analysis of PDEs (math.AP) #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *
2016/04/22 by Huyên Pham, Pham, Huyên · 4 citations
Decision Sciences · Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- A Weak Martingale Approach to Linear-Quadratic McKean-Vlasov Stochastic Control Problems
2018/10/24 by Basei, Matteo, Pham, Huyên · 4 citations
#FOS: Mathematics #Probability (math.PR)
- Investment/consumption problem in illiquid markets with regime-switching
2011/07/21 by Gassiat, Paul, Gozzi, Fausto, Pham, Huyên · 3 citations
#49K22 #49L25 #60J75 #91B28 #93E20 #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR)
- Discrete time McKean-Vlasov control problem: a dynamic programming approach
2015/11/30 by Pham, Huyên, Wei, Xiaoli · 3 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension
2020/12/29 by Cosso, Andrea, Gozzi, Fausto, Kharroubi, Idris +2 · 4 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Deep backward schemes for high-dimensional nonlinear PDEs
2019/02/04 by Côme Huré, Huyên Pham, Huré, Côme +3 · 4 citations
Decision Sciences · Economics, Econometrics and Finance · Engineering · Physics and Astronomy · #FOS: Computer and information sciences #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Machine Learning (stat.ML) #Model Reduction and Neural Networks #Neural and Evolutionary Computing (cs.NE) #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Probabilistic and Robust Engineering Design #Probability (math.PR) #Stochastic processes and financial applications
- Mean-field Markov decision processes with common noise and open-loop controls
2019/12/17 by Motte, Médéric, Pham, Huyên · 2 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation
2019/11/05 by Jaber, Eduardo Abi, Miller, Enzo, Pham, Huyên · 2 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Generative modeling for time series via Schrödinger bridge
2023/04/11 by Mohamed Hamdouche, Pierre Henry‐Labordère, Hamdouche, Mohamed +3 · 3 citations
Computer Science · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Machine Learning (stat.ML) #Neural Networks and Applications #Optimization and Control (math.OC) #Probability (math.PR)
- A Class of Finite-Dimensional Numerically Solvable McKean-Vlasov Control Problems
2018/02/27 by Alessandro Balata, Côme Huré, Balata, Alessandro +7 · 2 citations
Economics, Econometrics and Finance · #Market Dynamics and Volatility #Stochastic processes and financial applications #Monetary Policy and Economic Impact
- Neural networks-based algorithms for stochastic control and PDEs in finance
2021/01/20 by Maximilien Germain, Huyên Pham, Germain, Maximilien +3 · 2 citations
Computer Science · Physics and Astronomy · Engineering · #Neural Networks and Applications #Model Reduction and Neural Networks #Energy Load and Power Forecasting
- Rate of convergence for particle approximation of PDEs in Wasserstein space
2021/03/01 by Germain, Maximilien, Pham, Huyên, Warin, Xavier · 2 citations
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Linear-quadratic McKean-Vlasov stochastic control problems with random coefficients on finite and infinite horizon, and applications
2017/11/26 by Matteo Basei, Huyên Pham, Basei, Matteo +1 · 2 citations
Economics, Econometrics and Finance · Social Sciences · #49L20 #49N10 #93E20 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
2024/04/27 by Robert Denkert, Denkert, Robert, Huyên Pham +3 · 3 citations
Biochemistry, Genetics and Molecular Biology · Computer Science · Engineering · #68T07 (Secondary) #93E20 (Primary) #Electric Vehicles and Infrastructure #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Optimization and Control (math.OC) #Reinforcement Learning in Robotics #Viral Infectious Diseases and Gene Expression in Insects
- Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
2012/05/14 by Fabien Guilbaud, Guilbaud, Fabien, Huyên Pham +1 · 1 citation
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
- Mean-field neural networks-based algorithms for McKean-Vlasov control problems *
2022/12/22 by Huyên Pham, Xavier Warin, Pham, Huyên +1 · 2 citations
Economics, Econometrics and Finance · Engineering · #Computational Finance (q-fin.CP) #Energy Load and Power Forecasting #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Machine Learning (stat.ML) #Monetary Policy and Economic Impact #Optimization and Control (math.OC) #Stochastic processes and financial applications
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *
2016/10/21 by Ismail, Amine, Pham, Huyên · 1 citation
#FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR)
- Actor-Critic learning for mean-field control in continuous time
2023/03/13 by Noufel Frikha, Frikha, Noufel, Maximilien Germain +7 · 2 citations
Computer Science · #Adaptive Dynamic Programming Control #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Optimization and Control (math.OC) #Reinforcement Learning in Robotics
- Markowitz portfolio selection for multivariate affine and quadratic Volterra models
2020/06/22 by Eduardo Abi Jaber, Jaber, Eduardo Abi, Enzo Miller +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Mean-variance portfolio selection with tracking error penalization
2020/09/17 by Lefebvre, William, Loeper, Gregoire, Pham, Huyên · 1 citation
#Computational Finance (q-fin.CP) #FOS: Economics and business
- Mean-field control of non exchangeable systems
2024/07/26 by Anna De Crescenzo, De Crescenzo, Anna, Marco Fuhrman +5 · 2 citations
Engineering · #05C80 #60H30 #60K35 #93E20 #Advanced Control Systems Optimization #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
2021/12/21 by Germain, Maximilien, Pham, Huyên, Warin, Xavier · 1 citation
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Differential learning methods for solving fully nonlinear PDEs
2022/05/19 by Lefebvre, William, Loeper, Grégoire, Pham, Huyên · 1 citation
#Computational Finance (q-fin.CP) #FOS: Economics and business
- Quantitative propagation of chaos for mean field Markov decision process with common noise
2022/07/26 by Médéric Motte, Motte, Médéric, Huyên Pham +1 · 1 citation
Biochemistry, Genetics and Molecular Biology · Computer Science · Mathematics · #Diffusion and Search Dynamics #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Optimization and Control (math.OC) #Probability (math.PR) #Reinforcement Learning in Robotics
- Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation
2023/06/28 by Délia Coculescu, Coculescu, Delia, Médéric Motte +3 · 1 citation
Physics and Astronomy · Computer Science · #Opinion Dynamics and Social Influence #Complex Network Analysis Techniques #Nonlinear Dynamics and Pattern Formation
- Actor critic learning algorithms for mean-field control with moment neural networks
2023/09/08 by Pham, Huyên, Warin, Xavier · 1 citation
#68T07 #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Optimization and Control (math.OC)
- Robust time series generation via Schrödinger Bridge: a comprehensive evaluation
2025/03/04 by Alouadi, Alexandre, Barreau, Baptiste, Carlier, Laurent +1 · 2 citations
#FOS: Computer and information sciences #FOS: Electrical engineering #Machine Learning (cs.LG) #Systems and Control (eess.SY) #electronic engineering #information engineering
- Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
2025/03/05 by de Crescenzo, Anna, de Feo, Filippo, Pham, Huyên · 2 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)