Pham, Huyên Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications. (English) Zbl 1433.49030 Probab. Uncertain. Quant. Risk 1, Paper No. 7, 26 p. (2016). MSC: 49K20 49L20 60H10 93E20 91B24 91B51 35Q83 PDFBibTeX XMLCite \textit{H. Pham}, Probab. Uncertain. Quant. Risk 1, Paper No. 7, 26 p. (2016; Zbl 1433.49030) Full Text: DOI arXiv
Pham, Huyên Long time asymptotics for optimal investment. (English) Zbl 1418.91486 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 507-528 (2015). MSC: 91G10 60F10 93E20 PDFBibTeX XMLCite \textit{H. Pham}, Springer Proc. Math. Stat. 110, 507--528 (2015; Zbl 1418.91486) Full Text: DOI arXiv
Pham, Huyên Feynman-Kac representation of fully nonlinear PDEs and applications. (English) Zbl 1322.60133 Acta Math. Vietnam. 40, No. 2, 255-269 (2015). MSC: 60H30 60H10 65C05 65C30 93E20 91G80 PDFBibTeX XMLCite \textit{H. Pham}, Acta Math. Vietnam. 40, No. 2, 255--269 (2015; Zbl 1322.60133) Full Text: DOI arXiv
Pham, H. Portfolio optimization under partial observation: theoretical and numerical aspects. (English) Zbl 1458.62250 Crisan, Dan (ed.) et al., The Oxford handbook of nonlinear filtering. Oxford: Oxford University Press. 990-1018 (2011). MSC: 62P05 91G10 PDFBibTeX XMLCite \textit{H. Pham}, in: The Oxford handbook of nonlinear filtering. Oxford: Oxford University Press. 990--1018 (2011; Zbl 1458.62250)
Pham, Huyên Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management. (English) Zbl 1196.60141 Stochastic Processes Appl. 120, No. 9, 1795-1820 (2010). MSC: 60J75 93E20 60H20 PDFBibTeX XMLCite \textit{H. Pham}, Stochastic Processes Appl. 120, No. 9, 1795--1820 (2010; Zbl 1196.60141) Full Text: DOI arXiv
Pham, Huyên Investment/consumption choice in illiquid markets with random trading times. (English) Zbl 1220.91037 Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 411-426 (2009). MSC: 91G10 93E20 49L20 PDFBibTeX XMLCite \textit{H. Pham}, Radon Ser. Comput. Appl. Math. 8, 411--426 (2009; Zbl 1220.91037)
Pham, Huyên Continuous-time stochastic control and optimization with financial applications. Translation from the 2007 French original. (English) Zbl 1165.93039 Stochastic Modelling and Applied Probability 61. Berlin: Springer (ISBN 978-3-540-89499-5/hbk; 978-3-540-89500-8/ebook). xvii, 232 p. (2009). MSC: 93E20 93-01 91G80 49L25 60H30 60-01 PDFBibTeX XMLCite \textit{H. Pham}, Continuous-time stochastic control and optimization with financial applications. Translation from the 2007 French original. Berlin: Springer (2009; Zbl 1165.93039) Full Text: DOI
Pham, Huŷen Numerical approximation by quantization for optimization problems in finance under partial oberservations. (English) Zbl 1140.91407 Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the 6th Ritsumeikan international symposium, Kyoto, Japan, March 6–10, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-413-9/hbk). 275-297 (2007). MSC: 91B28 90C39 60G35 65C20 65N50 60G40 PDFBibTeX XMLCite \textit{H. Pham}, in: Stochastic processes and applications to mathematical finance. Proceedings of the 6th Ritsumeikan international symposium, Kyoto, Japan, March 6--10, 2006. Hackensack, NJ: World Scientific. 275--297 (2007; Zbl 1140.91407)
Pham, Huyên Some applications and methods of large deviations in finance and insurance. (English) Zbl 1151.91533 Carmona, René A. (ed.) et al., Paris-Princeton lectures on mathematical finance 2004. Berlin: Springer (ISBN 978-3-540-73326-3/pbk). Lecture Notes in Mathematics 1919, 191-244 (2007). MSC: 91G80 91B30 60F10 62P05 65C05 PDFBibTeX XMLCite \textit{H. Pham}, Lect. Notes Math. 1919, 191--244 (2007; Zbl 1151.91533) Full Text: DOI arXiv HAL
Pham, Huyên On the smooth-fit property for one-dimensional optimal switching problem. (English) Zbl 1126.60031 Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XL. Berlin: Springer (ISBN 978-3-540-71188-9/pbk). Lecture Notes in Mathematics 1899, 187-199 (2007). MSC: 60G40 49L25 60H30 PDFBibTeX XMLCite \textit{H. Pham}, Lect. Notes Math. 1899, 187--199 (2007; Zbl 1126.60031) Full Text: DOI arXiv
Pham, Huyên Stochastic optimisation and control applied to finance. (Optimisation et contrôle stochastique appliqués à la finance.) (English) Zbl 1143.93026 Mathématiques & Applications (Berlin) 61. Berlin: Springer (ISBN 978-3-540-73736-0/pbk). xv, 186 p. (2007). Reviewer: Giovanni Di Masi (Padova) MSC: 93E20 93-01 91G80 49L25 60H30 60-01 PDFBibTeX XMLCite \textit{H. Pham}, Optimisation et contrôle stochastique appliqués à la finance. Berlin: Springer (2007; Zbl 1143.93026)
Pham, Huyên Explicit solution to an irreversible investment model with a stochastic production capacity. (English) Zbl 1103.93049 Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 547-565 (2006). MSC: 93E20 60G40 91G80 PDFBibTeX XMLCite \textit{H. Pham}, in: From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Almost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9--15, 2005. Berlin: Springer. 547--565 (2006; Zbl 1103.93049)
Pham, Huyên On some recent aspects of stochastic control and their applications. (English) Zbl 1189.93146 Probab. Surv. 2, 506-549 (2005). MSC: 93E20 49J20 49L20 60H30 91G80 93-02 PDFBibTeX XMLCite \textit{H. Pham}, Probab. Surv. 2, 506--549 (2005; Zbl 1189.93146) Full Text: DOI arXiv EuDML
Pham, Huyên A risk-sensitive control dual approach to a large deviations control problem. (English) Zbl 1157.60308 Syst. Control Lett. 49, No. 4, 295-309 (2003). MSC: 60F10 49L20 93E20 PDFBibTeX XMLCite \textit{H. Pham}, Syst. Control Lett. 49, No. 4, 295--309 (2003; Zbl 1157.60308) Full Text: DOI
Pham, Huyên A large deviations approach to optimal long term investment. (English) Zbl 1035.60023 Finance Stoch. 7, No. 2, 169-195 (2003). Reviewer: Yuliya Mishura (Kyïv) MSC: 60F10 91G10 93E20 PDFBibTeX XMLCite \textit{H. Pham}, Finance Stoch. 7, No. 2, 169--195 (2003; Zbl 1035.60023) Full Text: DOI
Pham, Huyên A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. (English) Zbl 1034.60057 Stochastics Stochastics Rep. 75, No. 5, 343-368 (2003). Reviewer: George Stoica (Saint John) MSC: 60H05 91B28 PDFBibTeX XMLCite \textit{H. Pham}, Stochastics Stochastics Rep. 75, No. 5, 343--368 (2003; Zbl 1034.60057) Full Text: DOI
Pham, Huyên Minimizing shortfall risk and applications to finance and insurance problems. (English) Zbl 1015.93071 Ann. Appl. Probab. 12, No. 1, 143-172 (2002). Reviewer: Anatoliy Swishchuk (Toronto) MSC: 93E20 91B30 60G44 60H05 49K45 91G80 PDFBibTeX XMLCite \textit{H. Pham}, Ann. Appl. Probab. 12, No. 1, 143--172 (2002; Zbl 1015.93071) Full Text: DOI
Pham, Huyên Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints. (English) Zbl 1014.91038 Appl. Math. Optimization 46, No. 1, 55-78 (2002). Reviewer: Aleksandr D.Borisenko (Kyïv) MSC: 91G10 60H30 60J65 PDFBibTeX XMLCite \textit{H. Pham}, Appl. Math. Optim. 46, No. 1, 55--78 (2002; Zbl 1014.91038) Full Text: DOI
Pham, Huyên Mean-variance hedging for partially observed drift processes. (English) Zbl 1153.91554 Int. J. Theor. Appl. Finance 4, No. 2, 263-284 (2001). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Pham}, Int. J. Theor. Appl. Finance 4, No. 2, 263--284 (2001; Zbl 1153.91554) Full Text: DOI
Pham, Huyên On quadratic hedging in continuous time. (English) Zbl 0977.91035 Math. Methods Oper. Res. 51, No. 2, 315-339 (2000). Reviewer: Carmen Pino Avila (Holguin/Cuba) MSC: 91B60 91B28 PDFBibTeX XMLCite \textit{H. Pham}, Math. Methods Oper. Res. 51, No. 2, 315--339 (2000; Zbl 0977.91035) Full Text: DOI
Pham, Huyên Dynamic \(L^p\)-hedging in discrete time under cone constraints. (English) Zbl 0964.91022 SIAM J. Control Optimization 38, No. 3, 665-682 (2000). Reviewer: M.Schweizer (Berlin) MSC: 91B28 60G48 PDFBibTeX XMLCite \textit{H. Pham}, SIAM J. Control Optim. 38, No. 3, 665--682 (2000; Zbl 0964.91022) Full Text: DOI
Pham, Huyên Market imperfections and option pricing and hedging methods. (Imperfections de marchés et méthodes d’évaluation et couverture d’options.) (French) Zbl 0956.91503 Appunti dei Corsi Tenuti da Docenti della Scuola. Pisa: Scuola Normale Superiore, ii, 124 p. (1998). Reviewer: Axel Ernest Grorud (MR 2000d:91073) MSC: 91-01 91G20 PDFBibTeX XMLCite \textit{H. Pham}, Imperfections de marchés et méthodes d'évaluation et couverture d'options. Pisa: Scuola Normale Superiore (1998; Zbl 0956.91503)
Pham, Huyên Optimal stopping of controlled jump diffusion processes: A viscosity solution approach. (English) Zbl 0899.60039 J. Math. Syst. Estim. Control 8, No. 1, 127-130 (1998). MSC: 60G40 PDFBibTeX XMLCite \textit{H. Pham}, J. Math. Syst. Estim. Control 8, No. 1, 127--130 (1998; Zbl 0899.60039)
Pham, Huyên Optimal stopping, free boundary, and American option in a jump-diffusion model. (English) Zbl 0866.60038 Appl. Math. Optimization 35, No. 2, 145-164 (1997). MSC: 60G40 91B28 93E20 PDFBibTeX XMLCite \textit{H. Pham}, Appl. Math. Optim. 35, No. 2, 145--164 (1997; Zbl 0866.60038) Full Text: DOI
Pham, Huyên Optimal stopping of controlled jump diffusion processes and viscosity solutions. (English. Abridged French version) Zbl 0991.93564 C. R. Acad. Sci., Paris, Sér. I 320, No. 9, 1113-1118 (1995). MSC: 93E20 49L25 60J60 PDFBibTeX XMLCite \textit{H. Pham}, C. R. Acad. Sci., Paris, Sér. I 320, No. 9, 1113--1118 (1995; Zbl 0991.93564)