Research published papers
Rate of convergence for particles approximation of PDEs in Wasserstein space (with M. Germain, X. Warin)
Journal of Applied Probability, 2022, vol 59(4), 992-1008,
(with C. De Franco, J. Nicolle)
Stochastic Analysis, Filtering, and Stochastic Optimizations: A Commemorative Volume to Honor Mark H. A. Davis's Contributions, 2022, eds. G. Yin, T. Zariphopoulou,
DeepSets and their derivative networks for solving symmetric PDEs (with M. Germain, M. Laurière, X. Warin)
Journal of Scientific Computing, 2022, Vol 91, article 63, https://doi.org/10.1007/s10915-022-01796-w
Annals of Applied Probability, 2022, Vol 32(2), pp 1421-1458
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
(with A. Bachouch, C. Huré, N. Langrené)
Methodology and Computing in Applied Probability, 2022, Vol 24, pp 143-178.
Approximation error analysis of some deep backward schemes for nonlinear PDEs (with M. Germain, X. Warin)
SIAM Journal of Scientific Computing, 2022, Vol 44(1), A28-A56
Equilibrium price in intraday electricity markets (with R. Aid, A. Cosso)
Mathematical Finance, 2022, Vol 32(2), pp 517-554
Optimal Consumption with Reference to Past Spending Maximum (with S. Deng, X. Li, X. Yu)
Finance and Stochastics, 2022, Vol 26, pp 217-266
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach (with X. Wei, C. Zhou)
Mathematical Finance, 2022, vol 32(1), 349-404, https://doi.org/10.1111/mafi.12320,
Markowitz portfolio selection for multivariate affine and quadratic Volterra models (with E. Abi Jaber, E. Miller)
SIAM Journal of Financial Mathematics, 2021, Vol. 12, No. 1, pp. 369-409
Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation (with E. Abi Jaber, E. Miller)
Annals of Applied Probability, 2021, Vol 31(5), pp 2244-2274
Integral operator Riccati equations arising in stochastic Volterra control problems (with E. Abi Jaber, E. Miller)
SIAM Journal on Control and Optimization, 2021, Vol. 59, No. 2, pp. 1581-1603.
Neural networks-based backward scheme for fully nonlinear PDEs (with M. Germain, X. Warin)
SN Partial Differential Equations and Applications, 2021, Vol 2(1), article 16.
(with C. Huré, A. Bachouch, N. Langrené)
SIAM Journal on Numerical Analysis, 2021, 59(1), 525-557.
(formerly entitled: Some machine learning schemes for high-dimensional nonlinear PDEs), (with C. Huré, X. Warin)
Mathematics of Computation, 2020, vol 89(324), pp. 1547-1580
Mean-variance portfolio selection with tracking error penalization (with W. Lefebvre, G. Loeper)
Mathematics, 2020, vol 8(11), Special Issue Stochastic Optimization Methods in Economics, Finance and Insurance, https://doi.org/10.3390/math8111915
A McKean-Vlasov approach to distributed electricity generation development (with R. Aid, M. Basei)
Mathematical Methods of Operations Research, 2020, vol 91, pp. 269–310,