Edit Profile (opens in new tab) Pham, Huyên Co-Author Distance Author ID: pham.huyen Published as: Pham, Huyên; Pham, H.; Pham, Huyen; Pham, Huŷen more...less Homepage: https://sites.google.com/site/phamxuanhuyen/ External Links: MGP · Wikidata · ResearchGate · dblp · GND · IdRef · theses.fr Documents Indexed: 137 Publications since 1995, including 3 Books and 12 Additional arXiv Preprints 1 Contribution as Editor Co-Authors: 87 Co-Authors with 112 Joint Publications 1,540 Co-Co-Authors 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 all top 5 Fields 87 Probability theory and stochastic processes (60-XX) 80 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 68 Systems theory; control (93-XX) 44 Calculus of variations and optimal control; optimization (49-XX) 17 Operations research, mathematical programming (90-XX) 16 Partial differential equations (35-XX) 16 Numerical analysis (65-XX) 14 Statistics (62-XX) 3 Computer science (68-XX) 2 Integral equations (45-XX) 1 General and overarching topics; collections (00-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Global analysis, analysis on manifolds (58-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 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 all top 5 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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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