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Indifference pricing: theory and applications.

1, 2008

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Probabilistic Theory of Mean Field Games with Applications I: Mean Field FBSDEs, Control, and Games

1st ed. 2018 edition., 2018

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Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations

1st ed. 2018 edition., 2018

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A PROBABILISTIC WEAK FORMULATION OF MEAN FIELD GAMES AND APPLICATIONS

The Annals of applied probability, 2015-06, Vol.25 (3), p.1189-1231

2015

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MEAN FIELD GAMES WITH COMMON NOISE

The Annals of probability, 2016-11, Vol.44 (6), p.3740-3803

2016

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Probabilistic Analysis of Mean-Field Games

SIAM journal on control and optimization, 2013-01, Vol.51 (4), p.2705-2734

2013

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FORWARD–BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND CONTROLLED MCKEAN–VLASOV DYNAMICS

The Annals of probability, 2015-09, Vol.43 (5), p.2647-2700

2015

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A PROBABILISTIC APPROACH TO MEAN FIELD GAMES WITH MAJOR AND MINOR PLAYERS

The Annals of applied probability, 2016-06, Vol.26 (3), p.1535-1580

2016

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Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case

SIAM journal on numerical analysis, 2021-01, Vol.59 (3), p.1455-1485

2021

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Finite-State Contract Theory with a Principal and a Field of Agents

Management science, 2021-08, Vol.67 (8), p.4725-4741

2021

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Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games: II—the finite horizon case

The Annals of applied probability, 2022-12, Vol.32 (6), p.4065

2022

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The influence of economic research on financial mathematics: Evidence from the last 25 years

Finance and stochastics, 2022, Vol.26 (1), p.85-101

Carmona, René

2022

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Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective

SIAM journal on control and optimization, 2019-01, Vol.57 (6), p.3666-3693

2019

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Joint Granular Model for Load, Solar and Wind Power Scenario Generation

IEEE transactions on sustainable energy, 2024-01, Vol.15 (1), p.674-686

2024

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Interest rate models- an infinite dimensional stochastic analysis perspective

Carmona, Rene

2006

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Numerical Methods in Finance: Bordeaux, June 2010

1. Aufl., 2012

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A Probabilistic Approach to Extended Finite State Mean Field Games

Mathematics of operations research, 2021-05, Vol.46 (2), p.471-502

2021

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Stochastic Graphon Games: II. The Linear-Quadratic Case

Applied mathematics & optimization, 2022-06, Vol.85 (3), Article 39

2022

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Model-free mean-field reinforcement learning: Mean-field MDP and mean-field Q-learning

The Annals of applied probability, 2023-12, Vol.33 (6B), p.5334

2023

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Risk-Neutral Models for Emission Allowance Prices and Option Valuation

Management science, 2011-08, Vol.57 (8), p.1453-1468

2011

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The self-financing equation in limit order book markets

Finance and stochastics, 2019-07, Vol.23 (3), p.729-759

2019

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Mean Field Games of Timing and Models for Bank Runs

Applied mathematics & optimization, 2017-08, Vol.76 (1), p.217-260

2017

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Mean Field Games and systemic risk

Communications in mathematical sciences, 2015, Vol.13 (4), p.911-933

2015

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OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

Mathematical finance, 2008-04, Vol.18 (2), p.239-268

2008

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Leveraging the Turnpike Effect for Mean Field Games Numerics

IEEE Open Journal of Control Systems, 2024-06, p.1-16

2024

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Indifference pricing: theory and applications.

Probabilistic Theory of Mean Field Games with Applications I: Mean Field FBSDEs, Control, and Games

Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations

A PROBABILISTIC WEAK FORMULATION OF MEAN FIELD GAMES AND APPLICATIONS

MEAN FIELD GAMES WITH COMMON NOISE

Probabilistic Analysis of Mean-Field Games

FORWARD–BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND CONTROLLED MCKEAN–VLASOV DYNAMICS

A PROBABILISTIC APPROACH TO MEAN FIELD GAMES WITH MAJOR AND MINOR PLAYERS

Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case

Finite-State Contract Theory with a Principal and a Field of Agents

Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games: II—the finite horizon case

The influence of economic research on financial mathematics: Evidence from the last 25 years

Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective

Joint Granular Model for Load, Solar and Wind Power Scenario Generation

Interest rate models- an infinite dimensional stochastic analysis perspective

Numerical Methods in Finance: Bordeaux, June 2010

A Probabilistic Approach to Extended Finite State Mean Field Games

Stochastic Graphon Games: II. The Linear-Quadratic Case

Model-free mean-field reinforcement learning: Mean-field MDP and mean-field Q-learning

Risk-Neutral Models for Emission Allowance Prices and Option Valuation

The self-financing equation in limit order book markets

Mean Field Games of Timing and Models for Bank Runs

Mean Field Games and systemic risk

OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

Leveraging the Turnpike Effect for Mean Field Games Numerics

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