René Carmona

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

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2020

Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game.

René Carmona, Christy V. Graves

Dyn. Games Appl., 2020

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

René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan

CoRR, 2020

Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games.

René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan

Proceedings of the 59th IEEE Conference on Decision and Control, 2020

2019

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

Beatrice Acciaio, Julio D. Backhoff Veraguas, René Carmona

SIAM J. Control. Optim., 2019

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

René Carmona, Mathieu Laurière, Zongjun Tan

CoRR, 2019

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

René Carmona, Mathieu Laurière, Zongjun Tan

CoRR, 2019

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

René Carmona, Mathieu Laurière

CoRR, 2019

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

René Carmona, Mathieu Laurière

CoRR, 2019

2018

Systemic Risk and Stochastic Games with Delay.

René Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi, Li-Hsien Sun

J. Optim. Theory Appl., 2018

2017

Simulation of Implied Volatility Surfaces via Tangent Lévy Models.

René Carmona, Yi Ma, Sergey Nadtochiy

SIAM J. Financial Math., 2017

2013

Probabilistic Analysis of Mean-Field Games.

René Carmona, François Delarue

SIAM J. Control. Optim., 2013

2012

Tangent Lévy market models.

René Carmona, Sergey Nadtochiy

Finance Stochastics, 2012

2011

Risk-Neutral Models for Emission Allowance Prices and Option Valuation.

René Carmona, Juri Hinz

Manag. Sci., 2011

2010

Market Design for Emission Trading Schemes.

René Carmona, Max Fehr, Juri Hinz, Arnaud Porchet

SIAM Rev., 2010

Message From the Editors-in-Chief.

René Carmona, Ronnie Sircar

SIAM J. Financial Math., 2010

2009

Optimal Stochastic Control and Carbon Price Formation.

René Carmona, Max Fehr, Juri Hinz

SIAM J. Control. Optim., 2009

Monte Carlo Malliavin Computation of the Sensitivities of Solutions of SPDEs.

René Carmona, Lixin Wang

SIAM J. Appl. Math., 2009

Local volatility dynamic models.

René Carmona, Sergey Nadtochiy

Finance Stochastics, 2009

Interacting particle systems for the computation of rare credit portfolio losses.

René Carmona, Jean-Pierre Fouque, Douglas Vestal

Finance Stochastics, 2009

2008

Optimal Multiple Stopping of Linear Diffusions.

René Carmona, Savas Dayanik

Math. Oper. Res., 2008

2007

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

Katherine L. Milkman, René Carmona, William Gleason

Lit. Linguistic Comput., 2007

2003

Pricing and Hedging Spread Options.

René Carmona, Valdo Durrleman

SIAM Rev., 2003