René Carmona

According to our database1, René Carmona authored at least 22 papers between 2003 and 2020.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2020
Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game.
Dyn. Games Appl., 2020

Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions and Policy Optimization.
CoRR, 2020

Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games.
Proceedings of the 59th IEEE Conference on Decision and Control, 2020

2019
Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective.
SIAM J. Control. Optim., 2019

Model-Free Mean-Field Reinforcement Learning: Mean-Field MDP and Mean-Field Q-Learning.
CoRR, 2019

Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods.
CoRR, 2019

Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II - The Finite Horizon Case.
CoRR, 2019

Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: I - The Ergodic Case.
CoRR, 2019

2018
Systemic Risk and Stochastic Games with Delay.
J. Optim. Theory Appl., 2018

2017
Simulation of Implied Volatility Surfaces via Tangent Lévy Models.
SIAM J. Financial Math., 2017

2013
Probabilistic Analysis of Mean-Field Games.
SIAM J. Control. Optim., 2013

2012
Tangent Lévy market models.
Finance Stochastics, 2012

2011
Risk-Neutral Models for Emission Allowance Prices and Option Valuation.
Manag. Sci., 2011

2010
Market Design for Emission Trading Schemes.
SIAM Rev., 2010

Message From the Editors-in-Chief.
SIAM J. Financial Math., 2010

2009
Optimal Stochastic Control and Carbon Price Formation.
SIAM J. Control. Optim., 2009

Monte Carlo Malliavin Computation of the Sensitivities of Solutions of SPDEs.
SIAM J. Appl. Math., 2009

Local volatility dynamic models.
Finance Stochastics, 2009

Interacting particle systems for the computation of rare credit portfolio losses.
Finance Stochastics, 2009

2008
Optimal Multiple Stopping of Linear Diffusions.
Math. Oper. Res., 2008

2007
A Statistical Analysis of Editorial Influence and Author-Character Similarities in 1990s <i>New Yorker</i> Fiction.
Lit. Linguistic Comput., 2007

2003
Pricing and Hedging Spread Options.
SIAM Rev., 2003


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