Camilo Hernández
Contact: firstname + he [at] usc [dot] edu
Olin Hall 310U
Los Angeles, CA. 90089
I am an Assistant Professor of Industrial and Systems Engineering (ISE) at the University of Southern California. From 2022 to 2024, I was a Presidential Fellow at Princeton University's ORFE department hosted by L. Tangpi, and in 2021, I was a Chapman Fellow in Mathematics at Imperial College London. I obtained my Ph.D. in 2021 from Columbia University's IEOR department with D. Possamaï, where I was a Cheung–Kong innovation fellow. I received my M.S. and B.S. in Mathematics and B.S. in Economics from Universidad de Los Andes in Bogotá, Colombia.
The overarching theme of my work is the theory and applications of optimal stochastic control in continuous time. My research interests include contract theory, time inconsistency, financial mathematics, mean-field control theory, stochastic analysis and backward stochastic differential equations.
More information is available on my CV and my Google Scholar, ArXiv, and Orcid pages.
Preprints and working papers
Hernández, C., Hernández-Santibáñez, N., Hubert, E., Possamaï, D. (2024). Closed-loop equilibria for Stackelberg games: it's all about stochastic targets. ArXiv Preprint.
Publications
Hernández, C., Tangpi, L. (2025). Propagation of chaos for mean field Schrödinger problems. SIAM Journal on Control and Optimization, 63(1):112-150.
Hernández, C., Possamaï, D. (2024). Time-inconsistent contract theory. Mathematical Finance, 34(3): 737–1085.
Höglund, M., Ferrucci, E., Hernández, C., Muguruza, A., Salvi, C., Sanchez-Betancourt, L., Zhang, Y. (2023). A neural RDE approach for continuous-time non-Markovian stochastic control problems. ICML 2023, Frontiers4LCD.
Hernández, C. (2023). On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications. Stochastic Processes and their Applications. 162: 249–298.
Hernández, C., Possamaï, D. (2023). Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents. The Annals of Applied Probability. 33(2): 1196–1258.
Hernández, C., Possamaï, D. (2021). A unified approach to well-posedness of type-I backward stochastic Volterra integral equations. Electronic Journal of Probability. 26(89): 1–35.
Garcia, H., Hernández, C., Junca, M. Velasco, M. (2020). Approximate super-resolution and truncated moment problems in all dimensions. Applied and Computational Harmonic Analysis. 52(9):251–278.
Hernández, C., Junca, M., Moreno, H. (2018). A time of ruin constrained optimal dividend problem for spectrally one-sided Lèvy processes. Insurance: Mathematics and Economics. 79(5): 57–68.
Hernández, C., Junca, M. (2015). Optimal dividend payments problem under a time of ruin constraints: Exponential claims. Insurance: Mathematics and Economics. 65(15): 136–142.
Ph.D. thesis
Hernández, C. (2021). Me, Myself and I: time-inconsistent stochastic control, contract theory and backward stochastic Volterra integral equations. Ph.D. thesis, Columbia University.
Coauthors
E. Ferrucci, H. Garcia, N. Hernández-Santibáñez, M. Höglund, E. Hubert, M. Junca, A. Muguruza, H. Moreno, D. Possamaï, C. Salvi, L. Sanchez-Betancourt, L. Tangpi, M. Velasco, Y. Zhang.
Photos. Top: South West Bay. Providencia and Santa Catalina Island, Colombia; Bottom: Nature reserve Los Yataros. Boyacá, Colombia.