René Carmona

1. Mean Field Forward-Backward Stochastic Differential Equations
   2012/11/18 by René Carmona, Carmona, Rene, François Delarue +1 · 65 citations
   Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Financial Risk and Volatility Modeling
2. Anderson localization for Bernoulli and other singular potentials
   1987/03/01 by Rene Carmona, René Carmona, Abel Klein +1 · 19 citations
   Mathematics · Computer Science · #Spectral Theory in Mathematical Physics #Numerical methods in inverse problems #Advanced Mathematical Modeling in Engineering
3. Forward-Backward Stochastic Differential Equations and Controlled McKean\n Vlasov Dynamics
   2013/03/23 by René Carmona, François Delarue, Carmona, René +1 · 13 citations
   Economics, Econometrics and Finance · Social Sciences · Mathematics · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Gas Dynamics and Kinetic Theory
4. Mean field games with common noise
   2014/07/23 by René Carmona, Carmona, Rene, François Delarue +3 · 10 citations
   Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
5. Mean Field Games and Systemic Risk
   2013/08/09 by René Carmona, Carmona, Rene, Jean‐Pierre Fouque +3 · 11 citations
   Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #Banking stability, regulation, efficiency
6. Stochastic Graphon Games: II. The Linear-Quadratic Case
   2021/05/26 by Alexander Aurell, Aurell, Alexander, René Carmona +3 · 8 citations
   Economics, Econometrics and Finance · #Stochastic processes and financial applications #Game Theory and Voting Systems #Economic theories and models
7. Applications of Mean Field Games in Financial Engineering and Economic\n Theory
   2020/12/09 by René Carmona, Carmona, Rene · 7 citations
   Economics, Econometrics and Finance · #Economic theories and models
8. A Probabilistic Approach to Mean Field Games with Major and Minor Players
   2014/09/25 by René Carmona, Xiuneng Zhu, Carmona, Rene +1 · 5 citations
   Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #FOS: Mathematics #Probability (math.PR) #Statistical Mechanics and Entropy #Stochastic processes and financial applications
9. A probabilistic approach to mean field games with major and minor players
   2016/06/01 by René Carmona, Xiuneng Zhu · 5 citations
   Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Mathematical Biology Tumor Growth #Stochastic processes and financial applications
10. Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II -- The Finite Horizon Case
    2019/08/05 by René Carmona, Mathieu Laurière, Carmona, René +1 · 5 citations
    Economics, Econometrics and Finance · Mathematics · Engineering · #Stochastic processes and financial applications #Gas Dynamics and Kinetic Theory #Fluid Dynamics and Turbulent Flows
11. Optimal incentives to mitigate epidemics: a Stackelberg mean field game approach
    2020/11/05 by Alexander Aurell, René Carmona, Aurell, Alexander +5 · 5 citations
    Mathematics · Medicine · Psychology · #COVID-19 epidemiological studies #Mathematical and Theoretical Epidemiology and Ecology Models #Mental Health Research Topics
12. A probabilistic weak formulation of mean field games and applications
    2015/06/01 by René Carmona, Daniel Lacker · 4 citations
13. Stochastic Graphon Games: I. The Static Case
    2022/02/01 by René Carmona, Daniel B. Cooney, Christy V. Graves +1 · 5 citations
14. Extended Mean Field Control Problems: stochastic maximum principle and\n transport perspective
    2018/02/15 by Beatrice Acciaio, Acciaio, Beatrice, Julio Backhoff‐Veraguas +3 · 3 citations
    Economics, Econometrics and Finance · Mathematics · #49K45 #60H15 #60H30 #60K35 #90C08 #93E20 #FOS: Mathematics #Gas Dynamics and Kinetic Theory #Markov Chains and Monte Carlo Methods #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
15. Systemic Risk and Stochastic Games with Delay
    2016/07/21 by René Carmona, Jean‐Pierre Fouque, Carmona, Rene +5 · 2 citations
    Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Economic theories and models #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
16. Synchronization in a Kuramoto Mean Field Game
    2022/10/24 by René Carmona, Carmona, Rene, Quentin Cormier +3 · 4 citations
    Computer Science · Environmental Science · Economics, Econometrics and Finance · #Nonlinear Dynamics and Pattern Formation #Ecosystem dynamics and resilience #Complex Systems and Time Series Analysis
17. Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods
    2019/10/09 by René Carmona, Mathieu Laurière, Carmona, René +3 · 7 citations
    Computer Science · Decision Sciences · #Reinforcement Learning in Robotics #Advanced Bandit Algorithms Research #Age of Information Optimization
18. Price of Anarchy for Mean Field Games
    2018/02/08 by René Carmona, Christy V. Graves, Carmona, Rene +3 · 2 citations
    Decision Sciences · Physics and Astronomy · Social Sciences · #60K35 #Evolutionary Game Theory and Cooperation #FOS: Mathematics #Game Theory and Applications #Opinion Dynamics and Social Influence #Optimization and Control (math.OC)
19. Systemic Risk and Stochastic Games with Delay
    2018/03/26 by René Carmona, Jean‐Pierre Fouque, Jean-Pierre Fouque +3 · 2 citations
    Economics, Econometrics and Finance · #Stochastic processes and financial applications #Economic theories and models #Banking stability, regulation, efficiency
20. Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games: II—the finite horizon case
    2022/12/01 by René Carmona, Mathieu Laurière · 3 citations
21. Numerical Probabilistic Approach to MFG
    2018/05/07 by Andrea Angiuli, Angiuli, Andrea, Christy V. Graves +9 · 1 citation
    Decision Sciences · Economics, Econometrics and Finance · Engineering · Social Sciences · #FOS: Mathematics #Forecasting Techniques and Applications #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Spacecraft Design and Technology #Stochastic processes and financial applications
22. Convergence Analysis of Machine Learning Algorithms for the Numerical\n Solution of Mean Field Control and Games: I -- The Ergodic Case
    2019/07/12 by René Carmona, Carmona, René, Mathieu Laurière +1 · 1 citation
    Economics, Econometrics and Finance · Mathematics · #FOS: Computer and information sciences #FOS: Mathematics #Gas Dynamics and Kinetic Theory #Machine Learning (cs.LG) #Markov Chains and Monte Carlo Methods #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Stochastic processes and financial applications
23. Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions\n and Policy Optimization
    2020/09/01 by René Carmona, Kenza Hamidouche, Carmona, René +5 · 2 citations
    Economics, Econometrics and Finance · #Climate Change Policy and Economics #Computer Science and Game Theory (cs.GT) #Economic Policies and Impacts #Economic theories and models #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC)
24. Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance
    2021/07/09 by René Carmona, Mathieu Laurière, Carmona, René +1 · 1 citation
    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 Markets and Investment Strategies #Machine Learning (cs.LG) #Optimization and Control (math.OC) #Stochastic processes and financial applications