Journal Publications

Optimal Execution under Liquidity Uncertainty with Etienne Chevalier, Sergio Pulido and Vathana Ly Vath, 2026, Forthcoming in SIAM Journal on Financial Mathematics.

Uncovering Market Disorder and Liquidity Trends Detection with Etienne Chevalier and Vathana Ly Vath, 2026, Forthcoming in Mathematical Finance.

Conference Proceedings

Optimal Execution with Reinforcement Learning in a Multi-Agent Market Simulator with Edoardo Vittori, 2026, The 3rd International Conference on Artificial Intelligence, Computer, Data Sciences and Applications, IEEE Conference Proceedings.

Preprints

Policy Gradient Learning for Distributionally Robust Markov Decision Processes under Wasserstein Ambiguity with Samy Mekkaoui, Huyên Pham and Kaixin Yan, submitted.

Learning Generative Dynamics with Soft Law Constraints: A McKean-Vlasov FBSDE Approach with Samer El Boustany, Samy Mekkaoui, Alexandre Alouadi and Huyên Pham, 2026, submitted.

Trading in CEXs and DEXs with Priority Fees and Stochastic Delays with Philippe Bergault and Leandro Sánchez-Betancourt, 2026, submitted.

Reinforcement Learning for Optimal Execution with the Queue Reactive Model with Tomas España, Fabrizio Lillo and Edoardo Vittori, 2025, submitted. 

Optimal Execution under Incomplete Information with Etienne Chevalier and Vathana Ly Vath, 2024, submitted.

Working papers

Stochastic Maximum Principle for Path-Dependent McKean–Vlasov Control with Applications to Time Series Modeling with Samy Mekkaoui and Huyên Pham.

Optimal Dividend and Portfolio Growth for an Insurance Company under Uncertainty with Etienne Chevalier, Vathana Ly Vath and Chao Zhou.

Thesis manuscript: Inference and Control of Liquidity Risk Model