Huyên Pham

发表

Dynamic L [sup p]-Hedging in Discrete Time under Cone Constraints

Huyên Pham, H. Pham, 2000, SIAM J. Control. Optim..

A large deviations approach to optimal long term investment

Huyên Pham, H. Pham, 2003, Finance Stochastics.

Optimal investment with counterparty risk: a default-density model approach

Huyên Pham, Ying Jiao, 2011, Finance Stochastics.

Deep neural networks algorithms for stochastic control problems on finite horizon, Part 2: numerical applications

Huyên Pham, Nicolas Langrené, Achref Bachouch, 2018 .

Optimal consumption policies in illiquid markets

Huyên Pham, Peter Tankov, Alessandra Cretarola, 2011, Finance Stochastics.

Dynamic programming and mean-variance hedging

Huyên Pham, Jean Paul Laurent, H. Pham, 1999, Finance Stochastics.

High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model

Huyên Pham, Pietro Fodra, H. Pham, 2013, SIAM J. Financial Math..

Optimal Portfolio Liquidation with Execution Cost and Risk

Huyên Pham, Idris Kharroubi, H. Pham, 2009, SIAM J. Financial Math..

A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension

Huyên Pham, Nicolas Langrené, Luciano Campi, 2014, SIAM J. Financial Math..

A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization

Huyên Pham, Nicolas Langrené, Idris Kharroubi, 2013, Monte Carlo Methods Appl..

Wealth-path dependent utility maximization in incomplete markets

Huyên Pham, Bruno Bouchard, B. Bouchard, 2004, Finance Stochastics.

Dynamic Programming for Optimal Control of Stochastic McKean-Vlasov Dynamics

Huyên Pham, Xiaoli Wei, H. Pham, 2016, SIAM J. Control. Optim..

A McKean–Vlasov approach to distributed electricity generation development

Huyên Pham, René Aïd, Matteo Basei, 2020, Math. Methods Oper. Res..

Explicit Solution to an Optimal Switching Problem in the Two-Regime Case

Huyên Pham, Vathana Ly Vath, H. Pham, 2007, SIAM J. Control. Optim..

A model of optimal portfolio selection under liquidity risk and price impact

Huyên Pham, Mohamed Mnif, Vathana Ly Vath, 2006, Finance Stochastics.

Mean-variance hedging for continuous processes: New proofs and examples

Huyên Pham, Thorsten Rheinländer, Martin Schweizer, 1998, Finance Stochastics.

A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems

Huyên Pham, Matteo Basei, H. Pham, 2018, J. Optim. Theory Appl..

Optimal investment on finite horizon with random discrete order flow in illiquid markets

Mihai Sîrbu, Huyên Pham, Paul Gassiat, 2009 .

Characterization of the Optimal Boundaries in Reversible Investment Problems

Huyên Pham, Salvatore Federico, H. Pham, 2012, SIAM J. Control. Optim..

Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions

Erhan Bayraktar, Huyên Pham, Andrea Cosso, 2014, SIAM J. Control. Optim..

On quadratic hedging in continuous time

Huyên Pham, H. Pham, 2000, Math. Methods Oper. Res..

Discretization and Simulation of the Zakai Equation

Huyên Pham, Gilles Pagès, Jacques Printems, 2006, SIAM J. Numer. Anal..

A closed-form solution to the problem of super-replication under transaction costs

Huyên Pham, Jaksa Cvitanic, Nizar Touzi, 1999, Finance Stochastics.

Investment/Consumption Problem in Illiquid Markets with Regime-Switching

Huyên Pham, Fausto Gozzi, Paul Gassiat, 2011, SIAM J. Control. Optim..

Local Risk-Minimization Under Transaction Costs

Huyên Pham, Damien Lamberton, Martin Schweizer, 1998, Math. Oper. Res..

Optimal Switching over Multiple Regimes

Huyên Pham, Xun Yu Zhou, Vathana Ly Vath, 2009, SIAM J. Control. Optim..

A risk-sensitive control dual approach to a large deviations control problem

Huyên Pham, H. Pham, 2003, Syst. Control. Lett..

Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities

Erhan Bayraktar, Huyên Pham, Andrea Cosso, 2015, SIAM J. Control. Optim..

Some machine learning schemes for high-dimensional nonlinear PDEs

Huyên Pham, Xavier Warin, Côme Huré, 2019, ArXiv.

Backward SDEs and sequential optimal stochastic control in continuous time in finance

Huyên Pham, Idris Kharroubi, H. Pham, 2009 .

Stochastic optimization problems. Examples in finance

Huyên Pham, 2009 .

Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation

Huyên Pham, Wolfgang J. Runggaldier, Afef Sellami, 2005, Monte Carlo Methods Appl..

The Coordination of Centralised and Distributed Generation

Huyên Pham, Matteo Basei, René Aı̈d, 2017 .

Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis

Huyên Pham, Nicolas Langrené, Achref Bachouch, 2021, SIAM J. Numer. Anal..

Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models

Huyên Pham, Eduardo Abi Jaber, Enzo Miller, 2020, SIAM Journal on Financial Mathematics.

Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

Huyên Pham, Xavier Warin, Maximilien Germain, 2020, SIAM J. Sci. Comput..

A Model of Optimal Consumption under Liquidity Risk with Random Trading Times

Huyên Pham, Peter Tankov, 2006 .

Explicit Solution to an Irreversible Investment Model with a Stochastic Production Capacity

Huyên Pham, 2006 .

Deep backward schemes for high-dimensional nonlinear PDEs

Huyên Pham, Xavier Warin, Côme Huré, 2019 .

A Coupled System of Integrodifferential Equations Arising in Liquidity Risk Model

Huyên Pham, Peter Tankov, H. Pham, 2009 .

Mean-Variance Hedging for Continuous Processes

Huyên Pham, Thorsten Rheinländer, Martin Schweizer, 1997 .

Optimal High-Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Huyên Pham, Fabien Guilbaud, 2012 .

Dynamic programming for an investment/consumption problem in illiquid markets with regime-switching

Huyên Pham, Fausto Gozzi, Paul Gassiat, 2014 .

Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications

Huyên Pham, H. Pham, 2016, 1604.06609.

The fundamental theorem of asset pricing with cone constraints

Huyên Pham, Nizar Touzi, H. Pham, 1999 .

Swing Options Valuation: a BSDE with Constrained Jumps Approach

Huyên Pham, Peter Tankov, Xavier Warin, 2011 .

Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix

Huyên Pham, Amine Ismail, H. Pham, 2016, 1610.06805.

Some Applications and Methods of Large Deviations in Finance and Insurance

Huyên Pham, 2007 .

Semi-Markov Model for Market Microstructure

Huyên Pham, Pietro Fodra, H. Pham, 2013, 1305.0105.

Some elements of stochastic analysis

Huyên Pham, 2009 .

Optimal Switching for Pairs Trading Rule: A Viscosity Solutions Approach

Huyên Pham, Minh-Man Ngo, H. Pham, 2014, 1412.7649.

Numerical Methods for an Optimal Order Execution Problem

Huyên Pham, Mohamed Mnif, Fabien Guilbaud, 2010 .