Huyên PHAM


Huyên PHAM
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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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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},
    }

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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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

    [DOI] [Bibtex]

    @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},
    }