Research Interests
Stochastic analysis
Stochastic processes
Financial mathematics
Stochastic optimal controls
Limit theorems in probability theory
Preprints
Complete convergence under diagonal negative dependence and applications. In preparation.
Mean convergence for Banach space-valued random elements indexed in measure spaces (with N.T.K. Sang), 2026. arXiv:2608.30357
On the grid-sampling limit SDE (with C. Bender), 2024. arXiv:2410.07778.
Directional gradient estimates on the Lévy-Itô space (with S. Geiss). (2024) a part of arXiv:2009.00899.
Publications
C. Bender, N.T. Thuan (2026+).
Entropy-regularized mean-variance portfolio optimization with jumps.
Finance and Stochastics (to appear).
N.T. Thuan (2026).
Local risk-minimization in exponential Lévy models: Explicit representation and jump-adapted discretization.
Journal of Mathematical Analysis and Applications 564, no. 2, article 130893. Former version: arXiv:2009.04328.
C. Bender, N.T. Thuan (2026).
Continuous time reinforcement learning: A random measure approach.
Stochastic Processes and their Applications 194, article 104848. Supplementary material.
D.T. Giang, D.X. Giap, N.T. Thuan (2025).
A note on the compact uniform integrability in metric spaces.
Comptes Rendus Mathématique 363, 905–916.
S. Geiss, N.T. Thuan (2025).
On Riemann-Liouville type operators, BMO, gradient estimates and approximation on the Wiener space.
Stochastic Processes and their Applications 187, article 104651.
N.T. Thuan (2024).
Approximation of stochastic integrals with jumps via weighted BMO approach.
Annals of Applied Probability 34, no. 5, 4595–4634. Supplementary material.
N.T. Thuan, N.V. Quang (2020).
Baum-Katz's type theorems for pairwise independent random elements in certain metric spaces.
Acta Mathematica Vietnamica 45, 555–570.
N.T. Thuan (2016).
Approach for a metric space with a convex combination operation and applications.
Journal of Mathematical Analysis and Applications 435, 440–460.
N.T. Thuan, N.V. Quang (2016).
Negative association and negative dependence for random upper semicontinuous functions, with applications.
Journal of Multivariate Analysis 145, 44–57.
N.T. Thuan, N.V. Quang, P.T. Nguyen (2014).
Complete convergence for arrays of rowwise independent of random variables and fuzzy random variables in convex combination spaces.
Fuzzy Sets and Systems 250, 52–68.
N.V. Huan, N.V. Quang, N.T. Thuan (2014).
Baum–Katz type theorems for coordinatewise negatively associated random vectors in Hilbert spaces.
Acta Mathematica Hungarica 144, no. 1, 132–149.
N.V. Quang, N.T. Thuan (2012).
Strong laws of large numbers for adapted arrays of set-valued and fuzzy-valued random variables in Banach space.
Fuzzy Sets and Systems 209, 14–32.
N.V. Quang, N.T. Thuan (2012).
On the strong laws of large number for double arrays of random variables in convex combination spaces.
Acta Mathematica Hungarica 134, no. 4, 543–564.
C. Castaing, N.V. Quang, N.T. Thuan (2012).
A new family of convex weakly compact valued random variables in Banach space and applications to laws of large numbers.
Statistics & Probability Letters 82, no. 1, 84–95.
N.V. Quang, N.T. Thuan (2012).
Strong laws of large numbers for double arrays of independent set-valued random variables in Banach spaces.
Journal of Convex Analysis 19, no. 1, 141–157.
N.V. Quang, N.T. Thuan (2009).
On the weak law of large numbers for double adapted arrays of random elements in p-uniformly smooth Banach space.
Lobachevskii Journal of Mathematics 30, no. 2, 159–167.
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