Research Interests
Stochastic analysis
Stochastic processes
Financial mathematics
Stochastic optimal controls
Limit theorems in probability theory
Preprints
On the grid-sampling limit SDE (with C. Bender). (2024) arXiv:2410.07778.
A random measure approach to reinforcement learning in continuous time (with C. Bender). (2024) arXiv:2409.17200
Directional gradient estimates on the Lévy-Itô space (with S. Geiss). (2024) a part of arXiv:2009.00899.
Entropy-regularized mean-variance portfolio optimization with jumps (with C. Bender). (2023) arXiv:2312.13409.
Explicit Follmer-Schweizer decomposition and discrete-time hedging in exponential Lévy models. (2022) arXiv:2009.04328.
Publications
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 Math. Vietnam. 45, 555–570.
N.T. Thuan (2016).
Approach for a metric space with a convex combination operation and applications. J. Math. Anal. Appl. 435, 440–460.
N.T. Thuan, N.V. Quang (2016).
Negative association and negative dependence for random upper semicontinuous functions, with applications. J. Multivar. Anal. 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 Syst. 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 Math. Hungar. 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 Syst. 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 Math. Hungar. 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. Stat. Probab. Lett. 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. J. Convex Anal. 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 J. Math. 30, no. 2, 159–167.
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