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2022
Rate of convergence for particle approximation of pdes in wasserstein space
Journal of applied probability, vol. 59, iss. 4, pp. 992-1008, 2022.
By M. Germain, H. Pham, and X. Warin@article{Germain2022992, author={Germain, M. and Pham, H. and Warin, X.}, title={RATE OF CONVERGENCE FOR Particle APPROXIMATION OF PDES IN WASSERSTEIN SPACE}, journal={Journal of Applied Probability}, year={2022}, volume={59}, number={4}, pages={992-1008}, doi={10.1017/jpr.2021.102}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85139895714&doi=10.1017%2fjpr.2021.102&partnerID=40&md5=5b071d2d9f2d03a20cc0031aaff38dc8}, publisher={Cambridge University Press}, }Deepsets and their derivative networks for solving symmetric pdes
Journal of scientific computing, vol. 91, iss. 2, 2022.
By M. Germain, M. Laurière, H. Pham, and X. Warin@article{Germain2022, author={Germain, M. and Laurière, M. and Pham, H. and Warin, X.}, title={DeepSets and Their Derivative Networks for Solving Symmetric PDEs}, journal={Journal of Scientific Computing}, year={2022}, volume={91}, number={2}, doi={10.1007/s10915-022-01796-w}, art_number={63}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85128170242&doi=10.1007%2fs10915-022-01796-w&partnerID=40&md5=b571bfbeab8309f7488f10d15f9a05e0}, publisher={Springer}, }Optimal consumption with reference to past spending maximum
Finance and stochastics, vol. 26, iss. 2, pp. 217-266, 2022.
By S. Deng, X. Li, H. Pham, and X. Yu@article{Deng2022217, author={Deng, S. and Li, X. and Pham, H. and Yu, X.}, title={Optimal consumption with reference to past spending maximum}, journal={Finance and Stochastics}, year={2022}, volume={26}, number={2}, pages={217-266}, doi={10.1007/s00780-022-00475-w}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85125875689&doi=10.1007%2fs00780-022-00475-w&partnerID=40&md5=2d92b6dd2aece9e99b1f11997eebe323}, publisher={Springer Science and Business Media Deutschland GmbH}, }Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Methodology and computing in applied probability, vol. 24, iss. 1, pp. 143-178, 2022.
By A. Bachouch, C. Huré, N. Langrené, and H. Pham@article{Bachouch2022143, author={Bachouch, A. and Huré, C. and Langrené, N. and Pham, H.}, title={Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications}, journal={Methodology and Computing in Applied Probability}, year={2022}, volume={24}, number={1}, pages={143-178}, doi={10.1007/s11009-019-09767-9}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85099567833&doi=10.1007%2fs11009-019-09767-9&partnerID=40&md5=12bfc598cd6ed266c01f8cca3019caca}, publisher={Springer}, }Approximation error analysis of some deep backward schemes for nonlinear pdes
Siam journal on scientific computing, vol. 44, iss. 1, p. A28-A56, 2022.
By M. Germain, H. Pham, and X. Warin@article{Germain2022A28, author={Germain, M. and Pham, H. and Warin, X.}, title={APPROXIMATION ERROR ANALYSIS OF SOME DEEP BACKWARD SCHEMES FOR NONLINEAR PDEs}, journal={SIAM Journal on Scientific Computing}, year={2022}, volume={44}, number={1}, pages={A28-A56}, doi={10.1137/20M1355355}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85128261283&doi=10.1137%2f20M1355355&partnerID=40&md5=f6336321fcde81ed97c95b6f11baaf95}, publisher={Society for Industrial and Applied Mathematics Publications}, }Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
Mathematical finance, vol. 32, iss. 1, pp. 349-404, 2022.
By H. Pham, X. Wei, and C. Zhou@article{Pham2022349, author={Pham, H. and Wei, X. and Zhou, C.}, title={Portfolio diversification and model uncertainty: A robust dynamic mean-variance approach}, journal={Mathematical Finance}, year={2022}, volume={32}, number={1}, pages={349-404}, doi={10.1111/mafi.12320}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85110339414&doi=10.1111%2fmafi.12320&partnerID=40&md5=e8b5c7268cbb1041a9c90d9cce52f486}, publisher={John Wiley and Sons Inc}, }
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2021
Neural networks-based backward scheme for fully nonlinear pdes
Partial differential equations and applications, vol. 2, iss. 1, 2021.
By H. Pham, X. Warin, and M. Germain@article{Pham2021, author={Pham, H. and Warin, X. and Germain, M.}, title={Neural networks-based backward scheme for fully nonlinear PDEs}, journal={Partial Differential Equations and Applications}, year={2021}, volume={2}, number={1}, doi={10.1007/s42985-020-00062-8}, art_number={16}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85103177666&doi=10.1007%2fs42985-020-00062-8&partnerID=40&md5=fa9b7d8c3f5be862c99dd47bfa35cd90}, publisher={Springer International Publishing}, }Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
Siam journal on numerical analysis, vol. 59, iss. 1, pp. 525-557, 2021.
By C. Huré, H. Pham, A. Bachouch, and N. Langrené@article{Huré2021525, author={Huré, C. and Pham, H. and Bachouch, A. and Langrené, N.}, title={Deep neural networks algorithms for stochastic control problems on finite horizon: Convergence analysis}, journal={SIAM Journal on Numerical Analysis}, year={2021}, volume={59}, number={1}, pages={525-557}, doi={10.1137/20M1316640}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85102664711&doi=10.1137%2f20M1316640&partnerID=40&md5=76032b7c593f8380f7ada1d9f06ea21b}, publisher={Society for Industrial and Applied Mathematics Publications}, }
2020
Algorithmic trading in a microstructural limit order book model
Quantitative finance, vol. 20, iss. 8, pp. 1263-1283, 2020.
By F. Abergel, C. Huré, and H. Pham@article{Abergel20201263, author={Abergel, F. and Huré, C. and Pham, H.}, title={Algorithmic trading in a microstructural limit order book model}, journal={Quantitative Finance}, year={2020}, volume={20}, number={8}, pages={1263-1283}, doi={10.1080/14697688.2020.1729396}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85083583570&doi=10.1080%2f14697688.2020.1729396&partnerID=40&md5=a1ee075342cf1755109570911a8f512c}, publisher={Routledge}, }A mckean–vlasov approach to distributed electricity generation development
Mathematical methods of operations research, vol. 91, iss. 2, pp. 269-310, 2020.
By R. Aïd, M. Basei, and H. Pham@article{Aïd2020269, author={Aïd, R. and Basei, M. and Pham, H.}, title={A McKean–Vlasov approach to distributed electricity generation development}, journal={Mathematical Methods of Operations Research}, year={2020}, volume={91}, number={2}, pages={269-310}, doi={10.1007/s00186-019-00692-8}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076231127&doi=10.1007%2fs00186-019-00692-8&partnerID=40&md5=cfbd68b8cc8a62e3eadbcf5200d076b6}, publisher={Springer}, }Deep backward schemes for high-dimensional nonlinear pdes
Mathematics of computation, vol. 89, pp. 1547-1579, 2020.
By C. Hure, H. Pham, and X. Warin@article{Hure20201547, author={Hure, C. and Pham, H. and Warin, X.}, title={Deep backward schemes for high-dimensional nonlinear pdes}, journal={Mathematics of Computation}, year={2020}, volume={89}, pages={1547-1579}, doi={10.1090/MCOM/3514}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85083218497&doi=10.1090%2fMCOM%2f3514&partnerID=40&md5=770d0edd6ee521d8a52195d8f7494dc9}, publisher={American Mathematical Society}, }
2019
Zero-sum stochastic differential games of generalized mckean–vlasov type
Journal des mathematiques pures et appliquees, vol. 129, pp. 180-212, 2019.
By A. Cosso and H. Pham@article{Cosso2019180, author={Cosso, A. and Pham, H.}, title={Zero-sum stochastic differential games of generalized McKean–Vlasov type}, journal={Journal des Mathematiques Pures et Appliquees}, year={2019}, volume={129}, pages={180-212}, doi={10.1016/j.matpur.2018.12.005}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058211022&doi=10.1016%2fj.matpur.2018.12.005&partnerID=40&md5=0ef5f3c13ea2781da3f0c094de37c7e2}, publisher={Elsevier Masson SAS}, }A weak martingale approach to linear-quadratic mckean–vlasov stochastic control problems
Journal of optimization theory and applications, vol. 181, iss. 2, pp. 347-382, 2019.
By M. Basei and H. Pham@article{Basei2019347, author={Basei, M. and Pham, H.}, title={A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems}, journal={Journal of Optimization Theory and Applications}, year={2019}, volume={181}, number={2}, pages={347-382}, doi={10.1007/s10957-018-01453-z}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058407689&doi=10.1007%2fs10957-018-01453-z&partnerID=40&md5=89def0a2cecc9f24cd61746896c3e9f9}, publisher={Springer Science and Business Media, LLC}, }Randomized filtering and bellman equation in wasserstein space for partial observation control problem
Stochastic processes and their applications, vol. 129, iss. 2, pp. 674-711, 2019.
By E. Bandini, A. Cosso, M. Fuhrman, and H. Pham@article{Bandini2019674, author={Bandini, E. and Cosso, A. and Fuhrman, M. and Pham, H.}, title={Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem}, journal={Stochastic Processes and their Applications}, year={2019}, volume={129}, number={2}, pages={674-711}, doi={10.1016/j.spa.2018.03.014}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045470408&doi=10.1016%2fj.spa.2018.03.014&partnerID=40&md5=b46e7a9aaf2c56b0407a61c15b87cf46}, publisher={Elsevier B.V.}, }Robust markowitz mean-variance portfolio selection under ambiguous covariance matrix
Mathematical finance, vol. 29, iss. 1, pp. 174-207, 2019.
By A. Ismail and H. Pham@article{Ismail2019174, author={Ismail, A. and Pham, H.}, title={Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix}, journal={Mathematical Finance}, year={2019}, volume={29}, number={1}, pages={174-207}, doi={10.1111/mafi.12169}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85059701972&doi=10.1111%2fmafi.12169&partnerID=40&md5=9fbe64b073b9774f6203488c536017c9}, publisher={Blackwell Publishing Inc.}, }
2018
Randomized dynamic programming principle and feynman-kac representation for optimal control of mckean-vlasov dynamics
Transactions of the american mathematical society, vol. 370, iss. 3, pp. 2115-2160, 2018.
By E. Bayraktar, A. Cosso, and H. Pham@article{Bayraktar20182115, author={Bayraktar, E. and Cosso, A. and Pham, H.}, title={Randomized dynamic programming principle and feynman-kac representation for optimal control of McKean-Vlasov dynamics}, journal={Transactions of the American Mathematical Society}, year={2018}, volume={370}, number={3}, pages={2115-2160}, doi={10.1090/tran/7118}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85039799809&doi=10.1090%2ftran%2f7118&partnerID=40&md5=301af8514569ba5bfab6d073d62217e5}, publisher={American Mathematical Society}, }
2017
Bsdes with diffusion constraint and viscous hamilton-jacobi equations with unbounded data
Annales de l'institut henri poincare (b) probability and statistics, vol. 53, iss. 4, pp. 1528-1547, 2017.
By A. Cosso, H. Pham, and H. Xing@article{Cosso20171528, author={Cosso, A. and Pham, H. and Xing, H.}, title={BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data}, journal={Annales de l'institut Henri Poincare (B) Probability and Statistics}, year={2017}, volume={53}, number={4}, pages={1528-1547}, doi={10.1214/16-AIHP762}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85035349569&doi=10.1214%2f16-AIHP762&partnerID=40&md5=c4d776650a32018b54024b366a13c1f1}, publisher={Institute of Mathematical Statistics}, }Dynamic programming for optimal control of stochastic mckean-vlasov dynamics
Siam journal on control and optimization, vol. 55, iss. 2, pp. 1069-1101, 2017.
By H. Pham and X. Wei@article{Pham20171069, author={Pham, H. and Wei, X.}, title={Dynamic programming for optimal control of stochastic mckean-vlasov dynamics}, journal={SIAM Journal on Control and Optimization}, year={2017}, volume={55}, number={2}, pages={1069-1101}, doi={10.1137/16M1071390}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85019004246&doi=10.1137%2f16M1071390&partnerID=40&md5=3f3bf4c1dce93225f3b617563110867a}, publisher={Society for Industrial and Applied Mathematics Publications}, }
2016
Discrete time mckean–vlasov control problem: a dynamic programming approach
Applied mathematics and optimization, vol. 74, iss. 3, pp. 487-506, 2016.
By H. Pham and X. Wei@article{Pham2016487, author={Pham, H. and Wei, X.}, title={Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach}, journal={Applied Mathematics and Optimization}, year={2016}, volume={74}, number={3}, pages={487-506}, doi={10.1007/s00245-016-9386-9}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84994104475&doi=10.1007%2fs00245-016-9386-9&partnerID=40&md5=2bde7ad1d5f813ab8b8c261f7b9410aa}, publisher={Springer New York LLC}, }Optimal switching for the pairs trading rule: a viscosity solutions approach
Journal of mathematical analysis and applications, vol. 441, iss. 1, pp. 403-425, 2016.
By M. -M. Ngo and H. Pham@article{Ngo2016403, author={Ngo, M.-M. and Pham, H.}, title={Optimal switching for the pairs trading rule: A viscosity solutions approach}, journal={Journal of Mathematical Analysis and Applications}, year={2016}, volume={441}, number={1}, pages={403-425}, doi={10.1016/j.jmaa.2016.03.060}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963593347&doi=10.1016%2fj.jmaa.2016.03.060&partnerID=40&md5=dc58209409d31685a73940af61170606}, publisher={Academic Press Inc.}, }Long time asymptotics for fully nonlinear bellman equations: a backward sde approach
Stochastic processes and their applications, vol. 126, iss. 7, pp. 1932-1973, 2016.
By A. Cosso, M. Fuhrman, and H. Pham@article{Cosso20161932, author={Cosso, A. and Fuhrman, M. and Pham, H.}, title={Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach}, journal={Stochastic Processes and their Applications}, year={2016}, volume={126}, number={7}, pages={1932-1973}, doi={10.1016/j.spa.2015.12.009}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84956666181&doi=10.1016%2fj.spa.2015.12.009&partnerID=40&md5=b01f451782386bea00aea41a2d30ac53}, publisher={Elsevier B.V.}, }Linear quadratic optimal control of conditional mckean-vlasov equation with random coefficients and applications
Probability, uncertainty and quantitative risk, vol. 1, iss. 1, 2016.
By H. Pham@article{Pham2016, author={Pham, H.}, title={Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications}, journal={Probability, Uncertainty and Quantitative Risk}, year={2016}, volume={1}, number={1}, doi={10.1186/s41546-016-0008-x}, art_number={7}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85065510872&doi=10.1186%2fs41546-016-0008-x&partnerID=40&md5=d5907c82e38102d8f83746d5f973a1c8}, publisher={American Institute of Mathematical Sciences}, }Robust feedback switching control: dynamic programming and viscosity solutions
Siam journal on control and optimization, vol. 54, iss. 5, pp. 2594-2628, 2016.
By E. Bayraktar, A. Cosso, and H. Pham@article{Bayraktar20162594, author={Bayraktar, E. and Cosso, A. and Pham, H.}, title={Robust feedback switching control: Dynamic programming and viscosity solutions}, journal={SIAM Journal on Control and Optimization}, year={2016}, volume={54}, number={5}, pages={2594-2628}, doi={10.1137/15M1046903}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84992665607&doi=10.1137%2f15M1046903&partnerID=40&md5=f35a61687490c91e2934046b5ed73165}, publisher={Society for Industrial and Applied Mathematics Publications}, }An optimal trading problem in intraday electricity markets
Mathematics and financial economics, vol. 10, iss. 1, pp. 49-85, 2016.
By R. Aïd, P. Gruet, and H. Pham@article{Aïd201649, author={Aïd, R. and Gruet, P. and Pham, H.}, title={An optimal trading problem in intraday electricity markets}, journal={Mathematics and Financial Economics}, year={2016}, volume={10}, number={1}, pages={49-85}, doi={10.1007/s11579-015-0150-8}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84952931520&doi=10.1007%2fs11579-015-0150-8&partnerID=40&md5=85bd66b3712daacc9f6a63bde0bce5ef}, publisher={Springer Verlag}, }
2015
Optimal high-frequency trading in a pro rata microstructure with predictive information
Mathematical finance, vol. 25, iss. 3, pp. 545-575, 2015.
By F. Guilbaud and H. Pham@article{Guilbaud2015545, author={Guilbaud, F. and Pham, H.}, title={Optimal high-frequency trading in a pro rata microstructure with predictive information}, journal={Mathematical Finance}, year={2015}, volume={25}, number={3}, pages={545-575}, doi={10.1111/mafi.12042}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84930383397&doi=10.1111%2fmafi.12042&partnerID=40&md5=cb717b5772bea97d9251f3b75422741d}, }Semi-markov model for market microstructure
Applied mathematical finance, vol. 22, iss. 3, pp. 261-295, 2015.
By P. Fodra and H. Pham@article{Fodra2015261, author={Fodra, P. and Pham, H.}, title={Semi-Markov Model for Market Microstructure}, journal={Applied Mathematical Finance}, year={2015}, volume={22}, number={3}, pages={261-295}, doi={10.1080/1350486X.2015.1037963}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84936847350&doi=10.1080%2f1350486X.2015.1037963&partnerID=40&md5=d95aa5081db387a3deaf4fa9d10a5e78}, publisher={Routledge}, }High frequency trading and asymptotics for small risk aversion in a markov renewal model
Siam journal on financial mathematics, vol. 6, iss. 1, pp. 656-684, 2015.
By P. Fodra and H. Pham@article{Fodra2015656, author={Fodra, P. and Pham, H.}, title={High frequency trading and asymptotics for small risk aversion in a Markov renewal model}, journal={SIAM Journal on Financial Mathematics}, year={2015}, volume={6}, number={1}, pages={656-684}, doi={10.1137/140976005}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84982255574&doi=10.1137%2f140976005&partnerID=40&md5=89c28e69024ceb1e98eb7bba718e5795}, publisher={Society for Industrial and Applied Mathematics Publications}, }Feynman-kac representation for hamilton-jacobi-bellman ipde
Annals of probability, vol. 43, iss. 4, pp. 1823-1865, 2015.
By I. Kharroubi and H. Pham@article{Kharroubi20151823, author={Kharroubi, I. and Pham, H.}, title={Feynman-KAC representation for hamilton-jacobi-bellman IPDE}, journal={Annals of Probability}, year={2015}, volume={43}, number={4}, pages={1823-1865}, doi={10.1214/14-AOP920}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84930838763&doi=10.1214%2f14-AOP920&partnerID=40&md5=cac868cb1a7b4823439a9356101c0d6a}, publisher={Institute of Mathematical Statistics}, }Reflected bsdes with nonpositive jumps, and controller-and-stopper games
Stochastic processes and their applications, vol. 125, iss. 2, pp. 597-633, 2015.
By S. Choukroun, A. Cosso, and H. Pham@article{Choukroun2015597, author={Choukroun, S. and Cosso, A. and Pham, H.}, title={Reflected BSDEs with nonpositive jumps, and controller-and-stopper games}, journal={Stochastic Processes and their Applications}, year={2015}, volume={125}, number={2}, pages={597-633}, doi={10.1016/j.spa.2014.09.015}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84908433023&doi=10.1016%2fj.spa.2014.09.015&partnerID=40&md5=e445cbd8174e714a61306608063df369}, publisher={Elsevier}, }
2014
A numerical algorithm for fully nonlinear hjb equations: an approach by control randomization
Monte carlo methods and applications, vol. 20, iss. 2, pp. 145-165, 2014.
By I. Kharroubi, N. Langrené, and H. Pham@article{Kharroubi2014145, author={Kharroubi, I. and Langrené, N. and Pham, H.}, title={A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization}, journal={Monte Carlo Methods and Applications}, year={2014}, volume={20}, number={2}, pages={145-165}, doi={10.1515/mcma-2013-0024}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84902305162&doi=10.1515%2fmcma-2013-0024&partnerID=40&md5=974180a4454d7f24c50d9182a203cd26}, publisher={Walter de Gruyter GmbH}, }Characterization of the optimal boundaries in reversible investment problems
Siam journal on control and optimization, vol. 52, iss. 4, pp. 2180-2223, 2014.
By S. Federico and H. Pham@article{Federico20142180, author={Federico, S. and Pham, H.}, title={Characterization of the optimal boundaries in reversible investment problems}, journal={SIAM Journal on Control and Optimization}, year={2014}, volume={52}, number={4}, pages={2180-2223}, doi={10.1137/130927814}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84906811797&doi=10.1137%2f130927814&partnerID=40&md5=1185da2a1002e534e6a0c95cce66d960}, publisher={Society for Industrial and Applied Mathematics Publications}, }A probabilistic numerical method for optimal multiple switching problems in high dimension
Siam journal on financial mathematics, vol. 5, iss. 1, pp. 191-231, 2014.
By R. Aïd, L. Campi, N. Langrené, and H. Pham@article{Aïd2014191, author={Aïd, R. and Campi, L. and Langrené, N. and Pham, H.}, title={A probabilistic numerical method for optimal multiple switching problems in high dimension}, journal={SIAM Journal on Financial Mathematics}, year={2014}, volume={5}, number={1}, pages={191-231}, doi={10.1137/120897298}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84902314824&doi=10.1137%2f120897298&partnerID=40&md5=8332bf314501c626b8a9d066c6ae6c38}, publisher={Society for Industrial and Applied Mathematics Publications}, }
2013
Optimal investment under multiple defaults risk: a bsde-decomposition approach
Annals of applied probability, vol. 23, iss. 2, pp. 455-491, 2013.
By Y. Jiao, I. Kharroubi, and H. Pham@article{Jiao2013455, author={Jiao, Y. and Kharroubi, I. and Pham, H.}, title={Optimal investment under multiple defaults risk: A bsde-decomposition approach}, journal={Annals of Applied Probability}, year={2013}, volume={23}, number={2}, pages={455-491}, doi={10.1214/11-AAP829}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84879741277&doi=10.1214%2f11-AAP829&partnerID=40&md5=68490eb1103a61ce5cfb256f63a838c0}, }Optimal high-frequency trading with limit and market orders
Quantitative finance, vol. 13, iss. 1, pp. 79-94, 2013.
By F. Guilbaud and H. Pham@article{Guilbaud201379, author={Guilbaud, F. and Pham, H.}, title={Optimal high-frequency trading with limit and market orders}, journal={Quantitative Finance}, year={2013}, volume={13}, number={1}, pages={79-94}, doi={10.1080/14697688.2012.708779}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871320328&doi=10.1080%2f14697688.2012.708779&partnerID=40&md5=8564e91f4b78bd5cdc770a50ecb0cf0a}, }
2012
Time discretization and quantization methods for optimal multiple switching problem
Stochastic processes and their applications, vol. 122, iss. 5, pp. 2019-2052, 2012.
By P. Gassiat, I. Kharroubi, and H. Pham@article{Gassiat20122019, author={Gassiat, P. and Kharroubi, I. and Pham, H.}, title={Time discretization and quantization methods for optimal multiple switching problem}, journal={Stochastic Processes and their Applications}, year={2012}, volume={122}, number={5}, pages={2019-2052}, doi={10.1016/j.spa.2012.02.008}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859802688&doi=10.1016%2fj.spa.2012.02.008&partnerID=40&md5=808b35fac6066baa99d0e5f52664537e}, }
2011
Optimal consumption policies in illiquid markets
Finance and stochastics, vol. 15, iss. 1, pp. 85-115, 2011.
By A. Cretarola, F. Gozzi, H. Pham, and P. Tankov@article{Cretarola201185, author={Cretarola, A. and Gozzi, F. and Pham, H. and Tankov, P.}, title={Optimal consumption policies in illiquid markets}, journal={Finance and Stochastics}, year={2011}, volume={15}, number={1}, pages={85-115}, doi={10.1007/s00780-010-0123-y}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651447545&doi=10.1007%2fs00780-010-0123-y&partnerID=40&md5=d33a1f2b00fa395e5f42d2e2ba30be4e}, publisher={Springer Verlag}, }
2010
Optimal portfolio liquidation with execution cost and risk
Siam journal on financial mathematics, vol. 1, iss. 1, pp. 897-931, 2010.
By I. Kharroubi and H. Pham@article{Kharroubi2010897, author={Kharroubi, I. and Pham, H.}, title={Optimal portfolio liquidation with execution cost and risk}, journal={SIAM Journal on Financial Mathematics}, year={2010}, volume={1}, number={1}, pages={897-931}, doi={10.1137/09076372X}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871083451&doi=10.1137%2f09076372X&partnerID=40&md5=be79160b623902b2df0c7fb9d758e1bb}, }Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
Stochastic processes and their applications, vol. 120, iss. 9, pp. 1795-1820, 2010.
By H. Pham@article{Pham20101795, author={Pham, H.}, title={Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management}, journal={Stochastic Processes and their Applications}, year={2010}, volume={120}, number={9}, pages={1795-1820}, doi={10.1016/j.spa.2010.05.003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955426527&doi=10.1016%2fj.spa.2010.05.003&partnerID=40&md5=70f7d67a383b65a80474a9d7fa34f011}, }
2009
Optimal switching over multiple regimes
Siam journal on control and optimization, vol. 48, iss. 4, pp. 2217-2253, 2009.
By H. Pham, V. L. Vath, and X. Y. Zhou@article{Pham20092217, author={Pham, H. and Vath, V.L. and Zhou, X.Y.}, title={Optimal switching over multiple regimes}, journal={SIAM Journal on Control and Optimization}, year={2009}, volume={48}, number={4}, pages={2217-2253}, doi={10.1137/070709372}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79957684024&doi=10.1137%2f070709372&partnerID=40&md5=ab3e534a85307b66347dc1d45a2b70ae}, publisher={Society for Industrial and Applied Mathematics Publications}, }
2007
A model of optimal portfolio selection under liquidity risk and price impact
Finance and stochastics, vol. 11, iss. 1, pp. 51-90, 2007.
By V. L. Vath, M. Mnif, and H. Pham@article{Vath200751, author={Vath, V.L. and Mnif, M. and Pham, H.}, title={A model of optimal portfolio selection under liquidity risk and price impact}, journal={Finance and Stochastics}, year={2007}, volume={11}, number={1}, pages={51-90}, doi={10.1007/s00780-006-0025-1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845923217&doi=10.1007%2fs00780-006-0025-1&partnerID=40&md5=2d9f03db058675edfdd938b9479a1a34}, }
2005
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
Annals of applied probability, vol. 15, iss. 4, pp. 2393-2421, 2005.
By B. Bouchard and H. Pham@article{Bouchard20052393, author={Bouchard, B. and Pham, H.}, title={Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns}, journal={Annals of Applied Probability}, year={2005}, volume={15}, number={4}, pages={2393-2421}, doi={10.1214/105051605000000467}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-30844455316&doi=10.1214%2f105051605000000467&partnerID=40&md5=78d9f2a1809af8ccac7215b9248c7bd5}, }Optimal quantization methods for nonlinear filtering with discrete-time observations
Bernoulli, vol. 11, iss. 5, pp. 893-932, 2005.
By G. Pagés and H. Pham@article{Pagés2005893, author={Pagés, G. and Pham, H.}, title={Optimal quantization methods for nonlinear filtering with discrete-time observations}, journal={Bernoulli}, year={2005}, volume={11}, number={5}, pages={893-932}, doi={10.3150/bj/1130077599}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845685812&doi=10.3150%2fbj%2f1130077599&partnerID=40&md5=7f7632d9c9c94a5d285858c23bbe0bcd}, }Optimal partially reversible investment with entry decision and general production function
Stochastic processes and their applications, vol. 115, iss. 5, pp. 705-736, 2005.
By X. Guo and H. Pham@article{Guo2005705, author={Guo, X. and Pham, H.}, title={Optimal partially reversible investment with entry decision and general production function}, journal={Stochastic Processes and their Applications}, year={2005}, volume={115}, number={5}, pages={705-736}, doi={10.1016/j.spa.2004.12.002}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-16244417484&doi=10.1016%2fj.spa.2004.12.002&partnerID=40&md5=fec9276f54807133acfa56e529179d8e}, }Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
Monte carlo methods and applications, vol. 11, iss. 1, pp. 57-81, 2005.
By H. Pham, W. Runggaldier, and A. Sellami@article{Pham200557, author={Pham, H. and Runggaldier, W. and Sellami, A.}, title={Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation}, journal={Monte Carlo Methods and Applications}, year={2005}, volume={11}, number={1}, pages={57-81}, doi={10.1163/1569396054027283}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350475084&doi=10.1163%2f1569396054027283&partnerID=40&md5=6f7bc37597f0c1ef93aac7de367f8950}, }
2004
Wealth-path dependent utility maximization in incomplete markets
Finance and stochastics, vol. 8, iss. 4, pp. 579-603, 2004.
By B. Bouchard and H. Pham@article{Bouchard2004579, author={Bouchard, B. and Pham, H.}, title={Wealth-path dependent utility maximization in incomplete markets}, journal={Finance and Stochastics}, year={2004}, volume={8}, number={4}, pages={579-603}, doi={10.1007/s00780-004-0125-8}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-21144436642&doi=10.1007%2fs00780-004-0125-8&partnerID=40&md5=8afa74d200d952bd01c33294621ff31d}, }
2002
Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
Applied mathematics and optimization, vol. 46, iss. 1, pp. 55-78, 2002.
By H. Pham@article{Pham200255, author={Pham, H.}, title={Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints}, journal={Applied Mathematics and Optimization}, year={2002}, volume={46}, number={1}, pages={55-78}, doi={10.1007/s00245-002-0735-5}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0141904066&doi=10.1007%2fs00245-002-0735-5&partnerID=40&md5=196eb58a73d03af942d3aad97d06baa7}, }
2001
Stochastic optimization under constraints*
Stochastic processes and their applications, vol. 93, iss. 1, pp. 149-180, 2001.
By M. Mnif, H. Pham, and H. Pham@article{Mnif2001149, author={Mnif, M. and Pham, H. and Pham, H.}, title={Stochastic optimization under constraints*}, journal={Stochastic Processes and their Applications}, year={2001}, volume={93}, number={1}, pages={149-180}, doi={10.1016/S0304-4149(00)00089-2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041406098&doi=10.1016%2fS0304-4149%2800%2900089-2&partnerID=40&md5=fccbcfc042ed6b904fd947bff5ce73d6}, }
2000
On quadratic hedging in continuous time
Mathematical methods of operations research, vol. 51, iss. 2, pp. 315-339, 2000.
By H. Pham@article{Pham2000315, author={Pham, H.}, title={On quadratic hedging in continuous time}, journal={Mathematical Methods of Operations Research}, year={2000}, volume={51}, number={2}, pages={315-339}, doi={10.1007/s001860050091}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1842555622&doi=10.1007%2fs001860050091&partnerID=40&md5=d963e2cf4d8acd99c5717ccbc166b23f}, publisher={Physica-Verlag}, }
1999
Hedging in discrete time under transaction costs and continuous-time limit
Journal of applied probability, vol. 36, iss. 1, pp. 163-178, 1999.
By P. F. Koehl, H. Pham, and N. Touzi@article{Koehl1999163, author={Koehl, P.F. and Pham, H. and Touzi, N.}, title={Hedging in discrete time under transaction costs and continuous-time limit}, journal={Journal of Applied Probability}, year={1999}, volume={36}, number={1}, pages={163-178}, doi={10.1239/jap/1032374239}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85037919549&doi=10.1239%2fjap%2f1032374239&partnerID=40&md5=0f2d29300160cb36bb29dc1d669e3109}, publisher={University of Sheffield}, }The fundamental theorem of asset pricing with cone constraints
Journal of mathematical economics, vol. 31, iss. 2, pp. 265-279, 1999.
By H. Pham and N. Touzi@article{Pham1999265, author={Pham, H. and Touzi, N.}, title={The fundamental theorem of asset pricing with cone constraints}, journal={Journal of Mathematical Economics}, year={1999}, volume={31}, number={2}, pages={265-279}, doi={10.1016/S0304-4068(97)00059-1}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000483690&doi=10.1016%2fS0304-4068%2897%2900059-1&partnerID=40&md5=c9029c2b8ed2de792332174a89dbe53d}, publisher={Elsevier}, }