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2020 – today
- 2023
[j35]Huyên Pham
, Xavier Warin:
Mean-field neural networks: Learning mappings on Wasserstein space. Neural Networks 168: 380-393 (2023)- [i3]Huyên Pham, Xavier Warin:
Actor critic learning algorithms for mean-field control with moment neural networks. CoRR abs/2309.04317 (2023) - 2022
- [j34]Maximilien Germain, Huyên Pham, Xavier Warin:
Rate of convergence for particle approximation of PDEs in Wasserstein space. J. Appl. Probab. 59(4): 992-1008 (2022) - [j33]Maximilien Germain, Mathieu Laurière, Huyên Pham, Xavier Warin:
DeepSets and Their Derivative Networks for Solving Symmetric PDEs. J. Sci. Comput. 91(2): 63 (2022) - [j32]Maximilien Germain, Huyên Pham, Xavier Warin:
Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs. SIAM J. Sci. Comput. 44(1): 28- (2022) - 2021
- [j31]Eduardo Abi Jaber, Enzo Miller, Huyên Pham:
Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems. SIAM J. Control. Optim. 59(2): 1581-1603 (2021) - [j30]Eduardo Abi Jaber, Enzo Miller, Huyên Pham:
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models. SIAM J. Financial Math. 12(1): 369-409 (2021) - [j29]Côme Huré, Huyên Pham, Achref Bachouch, Nicolas Langrené:
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis. SIAM J. Numer. Anal. 59(1): 525-557 (2021) - 2020
- [j28]René Aïd, Matteo Basei, Huyên Pham:
A McKean-Vlasov approach to distributed electricity generation development. Math. Methods Oper. Res. 91(2): 269-310 (2020) - [j27]Côme Huré, Huyên Pham, Xavier Warin:
Deep backward schemes for high-dimensional nonlinear PDEs. Math. Comput. 89(324): 1547-1579 (2020)
2010 – 2019
- 2019
- [j26]Matteo Basei, Huyên Pham:
A Weak Martingale Approach to Linear-Quadratic McKean-Vlasov Stochastic Control Problems. J. Optim. Theory Appl. 181(2): 347-382 (2019) - [i2]Côme Huré, Huyên Pham, Xavier Warin:
Some machine learning schemes for high-dimensional nonlinear PDEs. CoRR abs/1902.01599 (2019) - [i1]Huyên Pham, Xavier Warin:
Neural networks-based backward scheme for fully nonlinear PDEs. CoRR abs/1908.00412 (2019) - 2017
- [j25]Huyên Pham, Xiaoli Wei:
Dynamic Programming for Optimal Control of Stochastic McKean-Vlasov Dynamics. SIAM J. Control. Optim. 55(2): 1069-1101 (2017) - [j24]Erhan Bayraktar, Andrea Cosso, Huyên Pham:
Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities. SIAM J. Control. Optim. 55(3): 1915-1953 (2017) - 2016
- [j23]Erhan Bayraktar, Andrea Cosso, Huyên Pham:
Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions. SIAM J. Control. Optim. 54(5): 2594-2628 (2016) - 2015
- [j22]Pietro Fodra, Huyên Pham:
High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model. SIAM J. Financial Math. 6(1): 656-684 (2015) - 2014
- [j21]Idris Kharroubi, Nicolas Langrené, Huyên Pham:
A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. Monte Carlo Methods Appl. 20(2): 145-165 (2014) - [j20]Paul Gassiat, Fausto Gozzi, Huyên Pham:
Investment/Consumption Problem in Illiquid Markets with Regime-Switching. SIAM J. Control. Optim. 52(3): 1761-1786 (2014) - [j19]Salvatore Federico, Huyên Pham:
Characterization of the Optimal Boundaries in Reversible Investment Problems. SIAM J. Control. Optim. 52(4): 2180-2223 (2014) - [j18]René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham:
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension. SIAM J. Financial Math. 5(1): 191-231 (2014) - 2011
- [j17]Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov:
Optimal consumption policies in illiquid markets. Finance Stochastics 15(1): 85-115 (2011) - [j16]Ying Jiao, Huyên Pham:
Optimal investment with counterparty risk: a default-density model approach. Finance Stochastics 15(4): 725-753 (2011) - 2010
- [j15]Idris Kharroubi, Huyên Pham:
Optimal Portfolio Liquidation with Execution Cost and Risk. SIAM J. Financial Math. 1(1): 897-931 (2010)
2000 – 2009
- 2009
- [j14]Huyên Pham, Vathana Ly Vath, Xun Yu Zhou:
Optimal Switching over Multiple Regimes. SIAM J. Control. Optim. 48(4): 2217-2253 (2009) - 2007
- [j13]Vathana Ly Vath, Mohamed Mnif, Huyên Pham:
A model of optimal portfolio selection under liquidity risk and price impact. Finance Stochastics 11(1): 51-90 (2007) - [j12]Vathana Ly Vath, Huyên Pham:
Explicit Solution to an Optimal Switching Problem in the Two-Regime Case. SIAM J. Control. Optim. 46(2): 395-426 (2007) - 2006
- [j11]Emmanuel Gobet, Gilles Pagès, Huyên Pham, Jacques Printems:
Discretization and Simulation of the Zakai Equation. SIAM J. Numer. Anal. 44(6): 2505-2538 (2006) - 2005
- [j10]Huyên Pham, Wolfgang J. Runggaldier, Afef Sellami:
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Monte Carlo Methods Appl. 11(1): 57-81 (2005) - 2004
- [j9]Bruno Bouchard, Huyên Pham:
Wealth-path dependent utility maximization in incomplete markets. Finance Stochastics 8(4): 579-603 (2004) - 2003
- [j8]Huyên Pham:
A large deviations approach to optimal long term investment. Finance Stochastics 7(2): 169-195 (2003) - [j7]Huyên Pham:
A risk-sensitive control dual approach to a large deviations control problem. Syst. Control. Lett. 49(4): 295-309 (2003) - 2000
- [j6]Huyên Pham:
On quadratic hedging in continuous time. Math. Methods Oper. Res. 51(2): 315-339 (2000) - [j5]Huyên Pham:
Dynamic L [sup p]-Hedging in Discrete Time under Cone Constraints. SIAM J. Control. Optim. 38(3): 665-682 (2000)
1990 – 1999
- 1999
- [j4]Jaksa Cvitanic, Huyên Pham, Nizar Touzi:
A closed-form solution to the problem of super-replication under transaction costs. Finance Stochastics 3(1): 35-54 (1999) - [j3]Jean Paul Laurent, Huyên Pham:
Dynamic programming and mean-variance hedging. Finance Stochastics 3(1): 83-110 (1999) - 1998
- [j2]Huyên Pham, Thorsten Rheinländer, Martin Schweizer:
Mean-variance hedging for continuous processes: New proofs and examples. Finance Stochastics 2(2): 173-198 (1998) - [j1]Damien Lamberton, Huyên Pham, Martin Schweizer:
Local Risk-Minimization Under Transaction Costs. Math. Oper. Res. 23(3): 585-612 (1998)
Coauthor Index
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