Pham, Huyen
- Optimal High Frequency Trading with limit and market orders
2011/06/24 by Guilbaud, Fabien, Pham, Huyen · 4 citations
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Electrical engineering #FOS: Mathematics #Optimization and Control (math.OC) #Systems and Control (eess.SY) #Trading and Market Microstructure (q-fin.TR) #electronic engineering #information engineering
- Approximation error analysis of some deep backward schemes for nonlinear PDEs
2020/06/02 by Maximilien Germain, Huyên Pham, Germain, Maximilien +3 · 6 citations
Physics and Astronomy · Economics, Econometrics and Finance · Engineering · #Model Reduction and Neural Networks #Stochastic processes and financial applications #Energy Load and Power Forecasting
- Neural networks-based backward scheme for fully nonlinear PDEs
2019/07/31 by Pham, Huyen, Warin, Xavier, Germain, Maximilien · 3 citations
#Analysis of PDEs (math.AP) #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Neural and Evolutionary Computing (cs.NE) #Optimization and Control (math.OC) #Probability (math.PR)
- Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
2013/08/26 by Sébastien Choukroun, Andrea Cosso, Choukroun, Sébastien +3 · 2 citations
Economics, Econometrics and Finance · Decision Sciences · Engineering · #Stochastic processes and financial applications #Risk and Portfolio Optimization #Stability and Control of Uncertain Systems
- Zero-sum stochastic differential games of generalized McKean-Vlasov type *
2018/03/20 by Pham, Huyen, Cosso, Andrea · 2 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
2018/09/04 by Huyên Pham, Xiaoli Wei, Pham, Huyen +3 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- Nonlinear Graphon mean-field systems
2024/02/13 by Fabio Coppini, Coppini, Fabio, Anna De Crescenzo +3 · 3 citations
#FOS: Mathematics #Probability (math.PR)
- Characterization of the optimal boundaries in reversible investment problems
2012/03/05 by Federico, Salvatore, Pham, Huyen · 1 citation
#FOS: Mathematics #Probability (math.PR)
- Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
2014/10/05 by Cosso, Andrea, Fuhrman, Marco, Pham, Huyen · 1 citation
#FOS: Mathematics #Probability (math.PR)
- Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing
2023/02/14 by Hamdouche, Mohamed, Henry-Labordere, Pierre, Pham, Huyen · 1 citation
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC)