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My research focuses on the theory and applications of mean field games. Mean field games represent the limit version of games with a large number of agents, symmetric interactions and negligible individual influence of each player on the others. This theory is at the core of the actual financial mathematics research since it is sufficiently complex to allow for realistic interactions between agents yet sufficiently tractable to allow for mathematical analysis of the model and fast computations. More broadly, I am interested in many topics in probability, statistics, machine learning and mathematical finance.
Publications and Preprints
Publications and Preprints
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
With R. Dumitrescu and P. Tankov. 2024. Mathematics and Financial Economics [Paper] (Code)
Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption
With R. Dumitrescu and P. Tankov. 2023. ESAIM: Mathematical Modeling and Numerical Analysis [Paper] (Code)
Control and optimal stopping Mean Field Games: a linear programming approach
With R. Dumitrescu and P. Tankov. 2021. Electronic Journal of Probability. [Paper]
Talks and Posters
Talks and Posters
Leeds Winter School on Theory and Practice of Optimal Stopping and Free Boundary Problems. 13-17 January 2020. University of Leeds.
XXII Workshop On Quantitative Finance. 28-29 January 2021. Verona, Italy.
Bachelier Seminar London-Paris. 11-12 March 2021. (Poster)
Working Group CMAP/ENSAE/ENSTA on Stochastic models in finance.12 April 2021. Paris, France.
Online Seminar Series “One World Optimal Stopping and Related Topics”. 30 June 2021.
6th Berlin Workshop for Young Researchers on Mathematical Finance. 23-25 August 2021.
King's College London, Financial Mathematics seminar. 24 February 2022. London, England.
London-Paris Bachelier Workshop.15-16 September 2022. Paris, France.
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