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Author ID: pham.huyen Recent zbMATH articles by "Pham, Huyên"
Published as: Pham, Huyên; Pham, H.; Pham, Huyen; Pham, Huŷen
Homepage: https://sites.google.com/site/phamxuanhuyen/
External Links: MGP · Wikidata · ResearchGate · dblp · GND · IdRef · theses.fr
all top 5

Co-Authors

25 single-authored
12 Cosso, Andrea
10 Warin, Xavier
9 Kharroubi, Idris
8 Touzi, Nizar
6 Fuhrman, Marco
6 Germain, Maximilien
5 Aïd, René
5 Gozzi, Fausto
5 Huré, Côme
5 Langrené, Nicolas
5 Pagès, Gilles
5 Wei, Xiaoli
4 Gassiat, Paul
4 Ly Vath, Vathana
4 Miller, Enzo
4 Motte, Médéric
4 Tankov, Peter
3 Bandini, Elena
3 Basei, Matteo
3 Bayraktar, Erhan
3 Florens-Landais, Danielle
3 Jaber, Eduardo Abi
3 Koehl, Pierre-François
3 Printems, Jacques
2 Bachouch, Achref
2 Bouchard, Bruno
2 Cvitanić, Jakša
2 Federico, Salvatore
2 Florens, Danielle
2 Fodra, Pietro
2 Guilbaud, Fabien
2 Guo, Xin
2 Hamdouche, Mohamed
2 Henry-Labordère, Pierre
2 Ismail, Amine
2 Jiao, Ying
2 Laurent, Jean Paul
2 Laurière, Mathieu
2 Mnif, Mohamed
2 Rosestolato, Mauro
2 Runggaldier, Wolfgang J.
2 Schweizer, Martin
1 Abergel, Frédéric
1 Balata, Alessandro
1 Bernhart, Marie
1 Bruder, Benjamin
1 Campi, Luciano
1 Carassus, Laurence
1 Choukroun, Sébastien
1 Coculescu, Delia
1 Coppini, Fabio
1 Corsi, Marco
1 Cossc, Andrea
1 Cretarola, Alessandra
1 De Crescenzo, Anna
1 De Franco, Carmine
1 Deelstra, Griselda
1 Deng, Shuoqing
1 Frikha, Noufel
1 Gobet, Emmanuel
1 Gourieroux, Christian
1 Goutte, Stéphane
1 Gruet, Pierre
1 Hoffmann, Marc
1 Jofré, Alejandro
1 Labadie, Mauricio
1 Lamberton, Damien
1 Lehalle, Charles-Albert
1 Li, Xun
1 Ma, Jin
1 Ngo, Minh-Man
1 Nguyen, Thuong T. M.
1 Nicolle, Johann
1 Pimentel, Isaque
1 Quenez, Marie-Claire
1 Rheinländer, Thorsten
1 Rosenbaum, Mathieu
1 Sagastizábal, Claudia A.
1 Sellami, Afef
1 Sîrbu, Mihai
1 Song, Xuanye
1 Villeneuve, Bertrand
1 Villeneuve, Stéphane
1 Xing, Hao
1 Zeni, Federica
1 Zhang, Jianfeng
1 Zhou, Xunyu
1 Zidani, Hasnaa
all top 5

Serials

12 The Annals of Applied Probability
10 Stochastic Processes and their Applications
9 SIAM Journal on Control and Optimization
9 Finance and Stochastics
8 Mathematical Finance
4 Applied Mathematics and Optimization
4 Journal of Applied Probability
3 Comptes Rendus de l’Académie des Sciences. Série I
3 Applied Mathematical Finance
3 International Journal of Theoretical and Applied Finance
3 SIAM Journal on Financial Mathematics
2 Theory of Probability and its Applications
2 The Annals of Probability
2 Journal of Mathematical Economics
2 SIAM Journal on Numerical Analysis
2 Transactions of the American Mathematical Society
2 Monte Carlo Methods and Applications
2 Mathematical Methods of Operations Research
2 Quantitative Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
1 Journal of Mathematical Analysis and Applications
1 Mathematics of Computation
1 Acta Mathematica Vietnamica
1 Journal of Optimization Theory and Applications
1 Mathematics of Operations Research
1 Systems & Control Letters
1 Statistics & Probability Letters
1 Journal of Economic Dynamics & Control
1 Journal de Mathématiques Pures et Appliquées. Neuvième Série
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Stochastics and Stochastics Reports
1 Journal of Mathematical Systems, Estimation, and Control
1 SIAM Journal on Scientific Computing
1 Electronic Journal of Probability
1 Electronic Communications in Probability
1 Bernoulli
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Methodology and Computing in Applied Probability
1 Stochastics and Dynamics
1 Mathématiques & Applications (Berlin)
1 Stochastic Modelling and Applied Probability
1 Mathematics and Financial Economics
1 Set-Valued and Variational Analysis
1 Probability Surveys
1 Numerical Algebra, Control and Optimization
1 Appunti dei Corsi Tenuti da Docenti della Scuola
1 Probability, Uncertainty and Quantitative Risk
1 SN Partial Differential Equations and Applications

Publications by Year

Citations contained in zbMATH Open

114 Publications have been cited 2,503 times in 1,672 Documents Cited by Year
Continuous-time stochastic control and optimization with financial applications. Translation from the 2007 French original. Zbl 1165.93039
Pham, Huyên
370
2009
Deep backward schemes for high-dimensional nonlinear PDEs. Zbl 1440.60063
Huré, Côme; Pham, Huyên; Warin, Xavier
71
2020
Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics. Zbl 1361.93069
Pham, Huyên; Wei, Xiaoli
65
2017
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
58
1998
Optimal stopping, free boundary, and American option in a jump-diffusion model. Zbl 0866.60038
Pham, Huyên
56
1997
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
53
2013
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
49
1999
Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints. Zbl 1014.91038
Pham, Huyên
48
2002
Bellman equation and viscosity solutions for mean-field stochastic control problem. Zbl 1396.93134
Pham, Huyên; Wei, Xiaoli
48
2018
Optimal quantization methods and applications to numerical problems in finance. Zbl 1138.91467
Pagès, Gilles; Pham, Huyên; Printems, Jacques
47
2004
Backward SDEs with constrained jumps and quasi-variational inequalities. Zbl 1205.60114
Kharroubi, Idris; Ma, Jin; Pham, Huyên; Zhang, Jianfeng
43
2010
Large deviations in estimation of an Ornstein-Uhlenbeck model. Zbl 0978.62070
Florens-Landais, Danielle; Pham, Huyên
42
1999
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
42
1999
Optimal stopping of controlled jump diffusion processes: A viscosity solution approach. Zbl 0899.60039
Pham, Huyên
41
1998
A model of optimal portfolio selection under liquidity risk and price impact. Zbl 1145.91025
Ly Vath, Vathana; Mnif, Mohamed; Pham, Huyên
41
2007
Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
40
1998
Explicit solution to an optimal switching problem in the two-regime case. Zbl 1135.60314
Vath, Vathana Ly; Pham, Huyên
38
2007
Optimal portfolio in partially observed stochastic volatility models. Zbl 1043.91032
Pham, Huyên; Quenez, Marie-Claire
38
2001
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
37
2018
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis. Zbl 1466.65007
Huré, Côme; Pham, Huyên; Bachouch, Achref; Langrené, Nicolas
34
2021
On quadratic hedging in continuous time. Zbl 0977.91035
Pham, Huyên
33
2000
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE. Zbl 1333.60150
Kharroubi, Idris; Pham, Huyên
33
2015
Neural networks-based backward scheme for fully nonlinear PDEs. Zbl 07341723
Pham, Huyên; Warin, Xavier; Germain, Maximilien
32
2021
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
31
2001
Super-replication in stochastic volatility models under portfolio constraints. Zbl 0956.91043
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
30
1999
A large deviations approach to optimal long term investment. Zbl 1035.60023
Pham, Huyên
30
2003
Optimal partially reversible investment with entry decision and general production function. Zbl 1077.60048
Guo, Xin; Pham, Huyên
30
2005
Optimal investment with counterparty risk: a default-density model approach. Zbl 1303.91159
Jiao, Ying; Pham, Huyên
29
2011
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
28
2014
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management. Zbl 1196.60141
Pham, Huyên
28
2010
Optimal investment under multiple defaults risk: a BSDE-decomposition approach. Zbl 1269.91075
Jiao, Ying; Kharroubi, Idris; Pham, Huyên
27
2013
The fundamental theorem of asset pricing with cone constraints. Zbl 0937.91064
Pham, Huyên; Touzi, Nizar
25
1999
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
25
2019
Impulse control problem on finite horizon with execution delay. Zbl 1159.93361
Bruder, Benjamin; Pham, Huyên
24
2009
Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach. Zbl 1337.60151
Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
24
2016
Optimal switching over multiple regimes. Zbl 1205.60089
Pham, Huyên; Vath, Vathana Ly; Zhou, Xun Yu
24
2009
Wealth-path dependent utility maximization in incomplete markets. Zbl 1063.91029
Bouchard, Bruno; Pham, Huyên
23
2004
Zero-sum stochastic differential games of generalized McKean-Vlasov type. Zbl 1423.49039
Cosso, Andrea; Pham, Huyên
23
2019
Optimal quantization methods for nonlinear filtering with discrete-time observations. Zbl 1084.62095
Pagès, Gilles; Pham, Huyên
22
2005
An optimal Markovian quantization algorithm for multi-dimensional stochastic control problems. Zbl 1111.65006
Pagès, Gilles; Pham, Huyên; Printems, Jacques
21
2004
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps. Zbl 1323.65076
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
21
2015
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach. Zbl 1431.60045
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
21
2018
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications. Zbl 1433.49030
Pham, Huyên
20
2016
Discretization and simulation of the Zakai equation. Zbl 1139.60034
Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques
19
2006
A model of optimal consumption under liquidity risk with random trading times. Zbl 1214.91107
Pham, Huyên; Tankov, Peter
19
2008
Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593
Goutte, Stéphane; Ismail, Amine; Pham, Huyên
18
2017
Some applications and methods of large deviations in finance and insurance. Zbl 1151.91533
Pham, Huyên
18
2007
On some recent aspects of stochastic control and their applications. Zbl 1189.93146
Pham, Huyên
18
2005
Mean-variance hedging for partially observed drift processes. Zbl 1153.91554
Pham, Huyên
17
2001
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem. Zbl 1405.93229
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
17
2019
A mixed singular/switching control problem for a dividend policy with reversible technology investment. Zbl 1141.60020
Vath, Vathana Ly; Pham, Huyên; Villeneuve, Stéphane
16
2008
Dynamic \(L^p\)-hedging in discrete time under cone constraints. Zbl 0964.91022
Pham, Huyên
16
2000
Minimizing shortfall risk and applications to finance and insurance problems. Zbl 1015.93071
Pham, Huyên
16
2002
A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217
Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
16
2014
Optimal high-frequency trading in a pro rata microstructure with predictive information. Zbl 1331.91166
Guilbaud, Fabien; Pham, Huyên
16
2015
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. Zbl 1496.93112
Bachouch, Achref; Huré, Côme; Langrené, Nicolas; Pham, Huyên
16
2022
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
15
2016
A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems. Zbl 1416.49040
Basei, Matteo; Pham, Huyên
15
2019
Characterization of the optimal boundaries in reversible investment problems. Zbl 1300.93184
Federico, Salvatore; Pham, Huyên
14
2014
Randomized and backward SDE representation for optimal control of non-Markovian SDEs. Zbl 1322.60087
Fuhrman, Marco; Pham, Huyên
14
2015
High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172
Fodra, Pietro; Pham, Huyên
14
2015
A risk-sensitive control dual approach to a large deviations control problem. Zbl 1157.60308
Pham, Huyên
13
2003
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060
Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef
13
2005
No arbitrage in discrete time under portfolio constraints. Zbl 1055.91018
Carassus, Laurence; Pham, Huyên; Touzi, Nizar
12
2001
Local risk-minimization under transaction costs. Zbl 0994.91024
Lamberton, Damien; Pham, Huyên; Schweizer, Martin
12
1998
Investment/consumption problem in illiquid markets with regime-switching. Zbl 1297.49040
Gassiat, Paul; Gozzi, Fausto; Pham, Huyên
12
2014
Stochastic optimization under constraints. Zbl 1070.93050
Mnif, Mohammed; Pham, Huyên
10
2001
Discrete time McKean-Vlasov control problem: a dynamic programming approach. Zbl 1360.49018
Pham, Huyên; Wei, Xiaoli
10
2016
Mean-field Markov decision processes with common noise and open-loop controls. Zbl 1491.90179
Motte, Médéric; Pham, Huyên
10
2022
Portfolio optimization under partial observation: theoretical and numerical aspects. Zbl 1458.62250
Pham, H.
9
2011
Hedging in discrete time under transaction costs and continuous-time limit. Zbl 0937.91063
Koehl, Pierre-F.; Pham, Huyên; Touzi, Nizar
9
1999
On super-replication in discrete time under transaction costs. Zbl 0994.60048
Koehl, P. F.; Pham, H.; Touzi, N.
9
2000
A coupled system of integrodifferential equations arising in liquidity risk model. Zbl 1167.49036
Pham, Huyên; Tankov, Peter
9
2009
An optimal trading problem in intraday electricity markets. Zbl 1332.35363
Aïd, René; Gruet, Pierre; Pham, Huyên
9
2016
Optimal switching for the pairs trading rule: a viscosity solutions approach. Zbl 1338.91134
Ngo, Minh-Man; Pham, Huyên
9
2016
Approximation error analysis of some deep backward schemes for nonlinear PDEs. Zbl 1490.65231
Germain, Maximilien; Pham, Huyên; Warin, Xavier
9
2022
On the smooth-fit property for one-dimensional optimal switching problem. Zbl 1126.60031
Pham, Huyên
8
2007
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. Zbl 1325.60087
Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên
8
2015
Feynman-Kac representation of fully nonlinear PDEs and applications. Zbl 1322.60133
Pham, Huyên
8
2015
Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation. Zbl 1475.93116
Jaber, Eduardo Abi; Miller, Enzo; Pham, Huyên
8
2021
Explicit investment rules with time-to-build and uncertainty. Zbl 1402.91658
Aïd, René; Federico, Salvatore; Pham, Huyên; Villeneuve, Bertrand
8
2015
Large deviation probabilities in estimation of Poisson random measures. Zbl 0934.60021
Florens, Danielle; Pham, Huyên
7
1998
Equilibrium state prices in a stochastic volatility model. Zbl 0915.90027
Pham, Huyên; Touzi, Nizar
7
1996
Linear-quadratic McKean-Vlasov stochastic differential games. Zbl 1427.91026
Miller, Enzo; Pham, Huyên
7
2019
Semi-Markov model for market microstructure. Zbl 1396.91218
Fodra, Pietro; Pham, Huyên
7
2015
Numerial approximation by quantization of control problems in finance under partial observations. Zbl 1180.91310
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J.
6
2009
Algorithmic trading in a microstructural limit order book model. Zbl 1454.91238
Abergel, Frédéric; Huré, Côme; Pham, Huyên
6
2020
Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension. Zbl 1520.93608
Cosso, Andrea; Gozzi, Fausto; Kharroubi, Idris; Pham, Huyên; Rosestolato, Mauro
6
2023
Markowitz portfolio selection for multivariate affine and quadratic Volterra models. Zbl 1460.91243
Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyên
6
2021
A class of finite-dimensional numerically solvable McKean-Vlasov control problems. Zbl 1417.93333
Balata, Alessandro; Huré, Côme; Laurière, Mathieu; Pham, Huyên; Pimentel, Isaque
6
2019
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. Zbl 1522.91233
Pham, Huyên; Wei, Xiaoli; Zhou, Chao
6
2022
Stochastic optimisation and control applied to finance. (Optimisation et contrôle stochastique appliqués à la finance.) Zbl 1143.93026
Pham, Huyên
5
2007
Swing options valuation: a BSDE with constrained jumps approach. Zbl 1247.91179
Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier
5
2012
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data. Zbl 1387.60105
Cosso, Andrea; Pham, Huyên; Xing, Hao
5
2017
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns. Zbl 1101.60026
Bouchard, Bruno; Pham, Huyên
5
2005
Optimal consumption policies in illiquid markets. Zbl 1303.91154
Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; Tankov, Peter
5
2011
Integral operator Riccati equations arising in stochastic Volterra control problems. Zbl 1477.45004
Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyen
5
2021
Rate of convergence for particle approximation of PDEs in Wasserstein space. Zbl 1501.35449
Germain, Maximilien; Pham, Huyên; Warin, Xavier
5
2022
A Mckean-Vlasov approach to distributed electricity generation development. Zbl 1443.91216
Aïd, René; Basei, Matteo; Pham, Huyên
5
2020
Optimal stopping of controlled jump diffusion processes and viscosity solutions. Zbl 0991.93564
Pham, Huyên
4
1995
Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension. Zbl 1520.93608
Cosso, Andrea; Gozzi, Fausto; Kharroubi, Idris; Pham, Huyên; Rosestolato, Mauro
6
2023
Itô’s formula for flows of measures on semimartingales. Zbl 1509.60124
Guo, Xin; Pham, Huyên; Wei, Xiaoli
3
2023
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications. Zbl 1496.93112
Bachouch, Achref; Huré, Côme; Langrené, Nicolas; Pham, Huyên
16
2022
Mean-field Markov decision processes with common noise and open-loop controls. Zbl 1491.90179
Motte, Médéric; Pham, Huyên
10
2022
Approximation error analysis of some deep backward schemes for nonlinear PDEs. Zbl 1490.65231
Germain, Maximilien; Pham, Huyên; Warin, Xavier
9
2022
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. Zbl 1522.91233
Pham, Huyên; Wei, Xiaoli; Zhou, Chao
6
2022
Rate of convergence for particle approximation of PDEs in Wasserstein space. Zbl 1501.35449
Germain, Maximilien; Pham, Huyên; Warin, Xavier
5
2022
Optimal consumption with reference to past spending maximum. Zbl 1484.91449
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
4
2022
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis. Zbl 1466.65007
Huré, Côme; Pham, Huyên; Bachouch, Achref; Langrené, Nicolas
34
2021
Neural networks-based backward scheme for fully nonlinear PDEs. Zbl 07341723
Pham, Huyên; Warin, Xavier; Germain, Maximilien
32
2021
Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation. Zbl 1475.93116
Jaber, Eduardo Abi; Miller, Enzo; Pham, Huyên
8
2021
Markowitz portfolio selection for multivariate affine and quadratic Volterra models. Zbl 1460.91243
Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyên
6
2021
Integral operator Riccati equations arising in stochastic Volterra control problems. Zbl 1477.45004
Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyen
5
2021
Deep backward schemes for high-dimensional nonlinear PDEs. Zbl 1440.60063
Huré, Côme; Pham, Huyên; Warin, Xavier
71
2020
Algorithmic trading in a microstructural limit order book model. Zbl 1454.91238
Abergel, Frédéric; Huré, Côme; Pham, Huyên
6
2020
A Mckean-Vlasov approach to distributed electricity generation development. Zbl 1443.91216
Aïd, René; Basei, Matteo; Pham, Huyên
5
2020
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
25
2019
Zero-sum stochastic differential games of generalized McKean-Vlasov type. Zbl 1423.49039
Cosso, Andrea; Pham, Huyên
23
2019
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem. Zbl 1405.93229
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
17
2019
A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems. Zbl 1416.49040
Basei, Matteo; Pham, Huyên
15
2019
Linear-quadratic McKean-Vlasov stochastic differential games. Zbl 1427.91026
Miller, Enzo; Pham, Huyên
7
2019
A class of finite-dimensional numerically solvable McKean-Vlasov control problems. Zbl 1417.93333
Balata, Alessandro; Huré, Côme; Laurière, Mathieu; Pham, Huyên; Pimentel, Isaque
6
2019
Bayesian learning for the Markowitz portfolio selection problem. Zbl 1430.91084
De Franco, Carmine; Nicolle, Johann; Pham, Huyên
4
2019
Bellman equation and viscosity solutions for mean-field stochastic control problem. Zbl 1396.93134
Pham, Huyên; Wei, Xiaoli
48
2018
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
37
2018
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach. Zbl 1431.60045
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
21
2018
Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics. Zbl 1361.93069
Pham, Huyên; Wei, Xiaoli
65
2017
Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593
Goutte, Stéphane; Ismail, Amine; Pham, Huyên
18
2017
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data. Zbl 1387.60105
Cosso, Andrea; Pham, Huyên; Xing, Hao
5
2017
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169
Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên
3
2017
Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach. Zbl 1337.60151
Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
24
2016
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications. Zbl 1433.49030
Pham, Huyên
20
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
15
2016
Discrete time McKean-Vlasov control problem: a dynamic programming approach. Zbl 1360.49018
Pham, Huyên; Wei, Xiaoli
10
2016
An optimal trading problem in intraday electricity markets. Zbl 1332.35363
Aïd, René; Gruet, Pierre; Pham, Huyên
9
2016
Optimal switching for the pairs trading rule: a viscosity solutions approach. Zbl 1338.91134
Ngo, Minh-Man; Pham, Huyên
9
2016
Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump. Zbl 1338.60118
Fuhrman, Marco; Pham, Huyên; Zeni, Federica
4
2016
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE. Zbl 1333.60150
Kharroubi, Idris; Pham, Huyên
33
2015
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps. Zbl 1323.65076
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
21
2015
Optimal high-frequency trading in a pro rata microstructure with predictive information. Zbl 1331.91166
Guilbaud, Fabien; Pham, Huyên
16
2015
Randomized and backward SDE representation for optimal control of non-Markovian SDEs. Zbl 1322.60087
Fuhrman, Marco; Pham, Huyên
14
2015
High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172
Fodra, Pietro; Pham, Huyên
14
2015
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. Zbl 1325.60087
Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên
8
2015
Feynman-Kac representation of fully nonlinear PDEs and applications. Zbl 1322.60133
Pham, Huyên
8
2015
Explicit investment rules with time-to-build and uncertainty. Zbl 1402.91658
Aïd, René; Federico, Salvatore; Pham, Huyên; Villeneuve, Bertrand
8
2015
Semi-Markov model for market microstructure. Zbl 1396.91218
Fodra, Pietro; Pham, Huyên
7
2015
Long time asymptotics for optimal investment. Zbl 1418.91486
Pham, Huyên
3
2015
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
28
2014
A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217
Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
16
2014
Characterization of the optimal boundaries in reversible investment problems. Zbl 1300.93184
Federico, Salvatore; Pham, Huyên
14
2014
Investment/consumption problem in illiquid markets with regime-switching. Zbl 1297.49040
Gassiat, Paul; Gozzi, Fausto; Pham, Huyên
12
2014
Optimization and statistical methods for high frequency finance. Zbl 1401.91561
Hoffmann, Marc; Labadie, Mauricio; Lehalle, Charles-Albert; Pagès, Gilles; Pham, Huyên; Rosenbaum, Mathieu
1
2014
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
53
2013
Optimal investment under multiple defaults risk: a BSDE-decomposition approach. Zbl 1269.91075
Jiao, Ying; Kharroubi, Idris; Pham, Huyên
27
2013
Swing options valuation: a BSDE with constrained jumps approach. Zbl 1247.91179
Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier
5
2012
Time discretization and quantization methods for optimal multiple switching problem. Zbl 1245.65008
Gassiat, Paul; Kharroubi, Idris; Pham, Huyên
3
2012
Optimal investment with counterparty risk: a default-density model approach. Zbl 1303.91159
Jiao, Ying; Pham, Huyên
29
2011
Portfolio optimization under partial observation: theoretical and numerical aspects. Zbl 1458.62250
Pham, H.
9
2011
Optimal consumption policies in illiquid markets. Zbl 1303.91154
Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; Tankov, Peter
5
2011
Optimal investment on finite horizon with random discrete order flow in illiquid markets. Zbl 1210.91121
Gassiat, Paul; Pham, Huyên; Sîrbu, Mihai
3
2011
Backward SDEs with constrained jumps and quasi-variational inequalities. Zbl 1205.60114
Kharroubi, Idris; Ma, Jin; Pham, Huyên; Zhang, Jianfeng
43
2010
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management. Zbl 1196.60141
Pham, Huyên
28
2010
Continuous-time stochastic control and optimization with financial applications. Translation from the 2007 French original. Zbl 1165.93039
Pham, Huyên
370
2009
Impulse control problem on finite horizon with execution delay. Zbl 1159.93361
Bruder, Benjamin; Pham, Huyên
24
2009
Optimal switching over multiple regimes. Zbl 1205.60089
Pham, Huyên; Vath, Vathana Ly; Zhou, Xun Yu
24
2009
A coupled system of integrodifferential equations arising in liquidity risk model. Zbl 1167.49036
Pham, Huyên; Tankov, Peter
9
2009
Numerial approximation by quantization of control problems in finance under partial observations. Zbl 1180.91310
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J.
6
2009
A model of optimal consumption under liquidity risk with random trading times. Zbl 1214.91107
Pham, Huyên; Tankov, Peter
19
2008
A mixed singular/switching control problem for a dividend policy with reversible technology investment. Zbl 1141.60020
Vath, Vathana Ly; Pham, Huyên; Villeneuve, Stéphane
16
2008
A model of optimal portfolio selection under liquidity risk and price impact. Zbl 1145.91025
Ly Vath, Vathana; Mnif, Mohamed; Pham, Huyên
41
2007
Explicit solution to an optimal switching problem in the two-regime case. Zbl 1135.60314
Vath, Vathana Ly; Pham, Huyên
38
2007
Some applications and methods of large deviations in finance and insurance. Zbl 1151.91533
Pham, Huyên
18
2007
On the smooth-fit property for one-dimensional optimal switching problem. Zbl 1126.60031
Pham, Huyên
8
2007
Stochastic optimisation and control applied to finance. (Optimisation et contrôle stochastique appliqués à la finance.) Zbl 1143.93026
Pham, Huyên
5
2007
Discretization and simulation of the Zakai equation. Zbl 1139.60034
Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques
19
2006
Explicit solution to an irreversible investment model with a stochastic production capacity. Zbl 1103.93049
Pham, Huyên
4
2006
Optimal partially reversible investment with entry decision and general production function. Zbl 1077.60048
Guo, Xin; Pham, Huyên
30
2005
Optimal quantization methods for nonlinear filtering with discrete-time observations. Zbl 1084.62095
Pagès, Gilles; Pham, Huyên
22
2005
On some recent aspects of stochastic control and their applications. Zbl 1189.93146
Pham, Huyên
18
2005
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060
Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef
13
2005
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns. Zbl 1101.60026
Bouchard, Bruno; Pham, Huyên
5
2005
Optimal quantization methods and applications to numerical problems in finance. Zbl 1138.91467
Pagès, Gilles; Pham, Huyên; Printems, Jacques
47
2004
Wealth-path dependent utility maximization in incomplete markets. Zbl 1063.91029
Bouchard, Bruno; Pham, Huyên
23
2004
An optimal Markovian quantization algorithm for multi-dimensional stochastic control problems. Zbl 1111.65006
Pagès, Gilles; Pham, Huyên; Printems, Jacques
21
2004
A large deviations approach to optimal long term investment. Zbl 1035.60023
Pham, Huyên
30
2003
A risk-sensitive control dual approach to a large deviations control problem. Zbl 1157.60308
Pham, Huyên
13
2003
A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. Zbl 1034.60057
Pham, Huyên
4
2003
Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints. Zbl 1014.91038
Pham, Huyên
48
2002
Minimizing shortfall risk and applications to finance and insurance problems. Zbl 1015.93071
Pham, Huyên
16
2002
Optimal portfolio in partially observed stochastic volatility models. Zbl 1043.91032
Pham, Huyên; Quenez, Marie-Claire
38
2001
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
31
2001
Mean-variance hedging for partially observed drift processes. Zbl 1153.91554
Pham, Huyên
17
2001
No arbitrage in discrete time under portfolio constraints. Zbl 1055.91018
Carassus, Laurence; Pham, Huyên; Touzi, Nizar
12
2001
Stochastic optimization under constraints. Zbl 1070.93050
Mnif, Mohammed; Pham, Huyên
10
2001
On quadratic hedging in continuous time. Zbl 0977.91035
Pham, Huyên
33
2000
Dynamic \(L^p\)-hedging in discrete time under cone constraints. Zbl 0964.91022
Pham, Huyên
16
2000
On super-replication in discrete time under transaction costs. Zbl 0994.60048
Koehl, P. F.; Pham, H.; Touzi, N.
9
2000
Sublinear price functionals under portfolio constraints. Zbl 1047.91533
Koehl, Pierre-F.; Pham, Huyên
3
2000
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
49
1999
Large deviations in estimation of an Ornstein-Uhlenbeck model. Zbl 0978.62070
Florens-Landais, Danielle; Pham, Huyên
42
1999
...and 14 more Documents
all top 5

Cited by 2,019 Authors

66 Pham, Huyên
22 Zheng, Harry H.
21 Bayraktar, Erhan
18 Bouchard, Bruno
18 Cosso, Andrea
18 Kharroubi, Idris
17 Pagès, Gilles
16 Bo, Lijun
16 Ferrari, Giorgio
16 Warin, Xavier
15 Jiang, Hui
15 Mnif, Mohamed
14 Jaimungal, Sebastian
13 Jentzen, Arnulf
13 Yi, Fahuai
13 Yoshioka, Hidekazu
12 Campi, Luciano
12 Forsyth, Peter A.
12 Reisinger, Christoph
12 Xiong, Dewen
11 Gozzi, Fausto
11 Guo, Xin
11 Hamadene, Saïd
11 Kallsen, Jan
11 Kohlmann, Michael
11 Laurière, Mathieu
11 Ludkovski, Michael
11 Touzi, Nizar
10 Bandini, Elena
10 Carmona, René A.
10 Cartea, Álvaro
10 Federico, Salvatore
10 Guan, Chonghu
10 Sass, Jörn
10 Siu, Tak Kuen
10 Wong, Hoi Ying
9 Capponi, Agostino
9 Djehiche, Boualem
9 Guéant, Olivier
9 Hata, Hiroaki
9 Li, Xun
9 Ly Vath, Vathana
9 Muhle-Karbe, Johannes
9 Soner, Halil Mete
9 Tankov, Peter
8 Aïd, René
8 Bao, Feng
8 Fuhrman, Marco
8 Jeanblanc, Monique
8 Liang, Gechun
8 Lim, Thomas
8 Øksendal, Bernt Karsten
8 Perninge, Magnus
8 Possamaï, Dylan
8 Sircar, Ronnie
8 Wu, Zhen
8 Yin, George Gang
7 Bensoussan, Alain
7 Ceci, Claudia
7 Czichowsky, Christoph
7 Fouque, Jean-Pierre
7 Han, Jiequn
7 Hu, Ruimeng
7 Hutzenthaler, Martin
7 Ji, Shaolin
7 Lehalle, Charles-Albert
7 Neufeld, Ariel David
7 Runggaldier, Wolfgang J.
7 Schachermayer, Walter
7 Schweizer, Martin
7 Villeneuve, Stéphane
7 Yaegashi, Yuta
7 Yam, Sheung Chi Phillip
7 Yu, Zhiyong
6 Beck, Christian
6 Chassagneux, Jean-François
6 De Angelis, Tiziano
6 de Saporta, Benoîte
6 Dolinsky, Yan
6 Fujii, Masaaki
6 Germain, Maximilien
6 Langrené, Nicolas
6 Ma, Jingtang
6 Marazzina, Daniele
6 Monoyios, Michael
6 Nagai, Hideo
6 Privault, Nicolas
6 Pun, Chi Seng
6 Roch, Alexandre F.
6 Sagna, Abass
6 Santacroce, Marina
6 Sekine, Jun
6 Sun, Jingrui
6 Tsujimura, Motoh
6 Xiong, Jie
6 Yang, Junjian
6 Yong, Jiongmin
6 Zariphopoulou, Thaleia
6 Zhang, Yufei
6 Zhu, Chao
...and 1,919 more Authors
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Cited in 266 Serials

83 Applied Mathematics and Optimization
83 SIAM Journal on Control and Optimization
73 Mathematical Finance
72 Stochastic Processes and their Applications
68 The Annals of Applied Probability
66 Finance and Stochastics
65 Quantitative Finance
58 SIAM Journal on Financial Mathematics
53 International Journal of Theoretical and Applied Finance
43 Mathematics and Financial Economics
36 Stochastics
29 Stochastic Analysis and Applications
29 Applied Mathematical Finance
28 Journal of Mathematical Analysis and Applications
28 Insurance Mathematics & Economics
28 European Journal of Operational Research
25 Mathematical Methods of Operations Research
24 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
20 Automatica
20 Mathematics of Operations Research
17 Journal of Optimization Theory and Applications
15 Journal of Mathematical Economics
15 Stochastics and Dynamics
14 Journal of Computational and Applied Mathematics
13 Advances in Applied Probability
12 Statistics & Probability Letters
12 Journal of Economic Dynamics & Control
12 Annals of Operations Research
11 Applied Mathematics and Computation
11 Journal of Applied Probability
11 SIAM Journal on Scientific Computing
10 Journal of Differential Equations
10 Systems & Control Letters
10 Methodology and Computing in Applied Probability
10 Asia-Pacific Financial Markets
10 Mathematical Control and Related Fields
9 International Journal of Control
9 Operations Research Letters
9 Decisions in Economics and Finance
9 Review of Derivatives Research
8 Probability, Uncertainty and Quantitative Risk
7 Journal of Computational Physics
7 Numerische Mathematik
7 SIAM Journal on Numerical Analysis
7 Journal of Theoretical Probability
7 Communications in Statistics. Theory and Methods
7 Discrete and Continuous Dynamical Systems. Series B
7 SN Partial Differential Equations and Applications
6 Computers & Mathematics with Applications
6 Journal of Statistical Planning and Inference
6 Optimization
6 Journal of Scientific Computing
6 Japan Journal of Industrial and Applied Mathematics
6 Mathematical Problems in Engineering
6 Journal of Systems Science and Complexity
6 Stochastic Models
6 Journal of Industrial and Management Optimization
5 Mathematics and Computers in Simulation
5 European Journal of Applied Mathematics
5 Random Operators and Stochastic Equations
5 NoDEA. Nonlinear Differential Equations and Applications
5 Monte Carlo Methods and Applications
5 Electronic Journal of Probability
5 Dynamic Games and Applications
5 Annals of Finance
4 The Annals of Probability
4 International Journal of Mathematics and Mathematical Sciences
4 Acta Applicandae Mathematicae
4 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
4 Potential Analysis
4 Journal of Inequalities and Applications
4 Discrete Dynamics in Nature and Society
4 Communications in Nonlinear Science and Numerical Simulation
4 Scandinavian Actuarial Journal
4 North American Actuarial Journal
4 International Journal of Stochastic Analysis
4 Asian Journal of Control
4 Numerical Algebra, Control and Optimization
4 Modern Stochastics. Theory and Applications
4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
3 Theory of Probability and its Applications
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Transactions of the American Mathematical Society
3 Applied Numerical Mathematics
3 Numerical Methods for Partial Differential Equations
3 MCSS. Mathematics of Control, Signals, and Systems
3 International Journal of Computer Mathematics
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Mathematical Programming. Series A. Series B
3 Journal of Mathematical Sciences (New York)
3 Bernoulli
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Multiscale Modeling & Simulation
3 Frontiers of Mathematics in China
3 Communications in Computational Physics
3 Nonlinear Analysis. Hybrid Systems
3 Discrete and Continuous Dynamical Systems. Series S
3 Set-Valued and Variational Analysis
3 Journal of Probability and Statistics
3 Journal of Mathematics in Industry
...and 166 more Serials
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Cited in 37 Fields

1,126 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
901 Probability theory and stochastic processes (60-XX)
664 Systems theory; control (93-XX)
438 Calculus of variations and optimal control; optimization (49-XX)
238 Partial differential equations (35-XX)
178 Numerical analysis (65-XX)
176 Operations research, mathematical programming (90-XX)
118 Statistics (62-XX)
66 Computer science (68-XX)
29 Integral equations (45-XX)
22 Biology and other natural sciences (92-XX)
20 Operator theory (47-XX)
17 Ordinary differential equations (34-XX)
12 Statistical mechanics, structure of matter (82-XX)
8 Measure and integration (28-XX)
7 Dynamical systems and ergodic theory (37-XX)
7 Approximations and expansions (41-XX)
7 Fluid mechanics (76-XX)
7 Information and communication theory, circuits (94-XX)
5 Functional analysis (46-XX)
5 Quantum theory (81-XX)
4 Real functions (26-XX)
4 Integral transforms, operational calculus (44-XX)
3 Mechanics of deformable solids (74-XX)
2 General and overarching topics; collections (00-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Convex and discrete geometry (52-XX)
2 General topology (54-XX)
2 Global analysis, analysis on manifolds (58-XX)
1 History and biography (01-XX)
1 Combinatorics (05-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Algebraic geometry (14-XX)
1 Potential theory (31-XX)
1 Special functions (33-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Classical thermodynamics, heat transfer (80-XX)

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