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Portfolio diversification and model uncertainty: A robust dynamic mean-variance approach
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Mathematical Finance, 2022
Rate Of Convergence For Particle Approximation Of Pdes In Wasserstein Space
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Journal of Applied Probability, 2022
DeepSets and Their Derivative Networks for Solving Symmetric PDEs
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Journal of Scientific Computing, 2022
Optimal consumption with reference to past spending maximum
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Finance and Stochastics, 2022
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications
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Methodology and Computing in Applied Probability, 2022
Approximation Error Analysis Of Some Deep Backward Schemes For Nonlinear PDEs
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SIAM Journal on Scientific Computing, 2022
Neural networks-based backward scheme for fully nonlinear PDEs
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Partial Differential Equations and Applications, 2021
Deep neural networks algorithms for stochastic control problems on finite horizon: Convergence analysis
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SIAM Journal on Numerical Analysis, 2021
Algorithmic trading in a microstructural limit order book model
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Quantitative Finance, 2020
A McKeanVlasov approach to distributed electricity generation development
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Mathematical Methods of Operations Research, 2020