Huyên Pham

Publication Activity (10 Years)

Years Active: 1998-2023
Publications (10 Years): 17

Top Topics

Convergence Analysis

Nonlinear Diffusion Filtering

Control Problems

Top Venues

SIAM J. Control. Optim.

SIAM J. Financial Math.

J. Appl. Probab.

Publications

Huyên Pham, Xavier Warin
Mean-field neural networks: Learning mappings on Wasserstein space. Neural Networks 168 (2023)
Huyên Pham, Xavier Warin
Actor critic learning algorithms for mean-field control with moment neural networks. CoRR (2023)
Maximilien Germain, Mathieu Laurière, Huyên Pham, Xavier Warin
DeepSets and Their Derivative Networks for Solving Symmetric PDEs. J. Sci. Comput. 91 (2) (2022)
Maximilien Germain, Huyên Pham, Xavier Warin
Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs. SIAM J. Sci. Comput. 44 (1) (2022)
Maximilien Germain, Huyên Pham, Xavier Warin
Rate of convergence for particle approximation of PDEs in Wasserstein space. J. Appl. Probab. 59 (4) (2022)
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems. SIAM J. Control. Optim. 59 (2) (2021)
Côme Huré, Huyên Pham, Achref Bachouch, Nicolas Langrené
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis. SIAM J. Numer. Anal. 59 (1) (2021)
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models. SIAM J. Financial Math. 12 (1) (2021)
René Aïd, Matteo Basei, Huyên Pham
A McKean-Vlasov approach to distributed electricity generation development. Math. Methods Oper. Res. 91 (2) (2020)
Côme Huré, Huyên Pham, Xavier Warin
Deep backward schemes for high-dimensional nonlinear PDEs. Math. Comput. 89 (324) (2020)
Côme Huré, Huyên Pham, Xavier Warin
Some machine learning schemes for high-dimensional nonlinear PDEs. CoRR (2019)
Matteo Basei, Huyên Pham
A Weak Martingale Approach to Linear-Quadratic McKean-Vlasov Stochastic Control Problems. J. Optim. Theory Appl. 181 (2) (2019)
Huyên Pham, Xavier Warin
Neural networks-based backward scheme for fully nonlinear PDEs. CoRR (2019)
Erhan Bayraktar, Andrea Cosso, Huyên Pham
Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities. SIAM J. Control. Optim. 55 (3) (2017)
Huyên Pham, Xiaoli Wei
Dynamic Programming for Optimal Control of Stochastic McKean-Vlasov Dynamics. SIAM J. Control. Optim. 55 (2) (2017)
Erhan Bayraktar, Andrea Cosso, Huyên Pham
Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions. SIAM J. Control. Optim. 54 (5) (2016)
Pietro Fodra, Huyên Pham
High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model. SIAM J. Financial Math. 6 (1) (2015)
Salvatore Federico, Huyên Pham
Characterization of the Optimal Boundaries in Reversible Investment Problems. SIAM J. Control. Optim. 52 (4) (2014)
Idris Kharroubi, Nicolas Langrené, Huyên Pham
A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. Monte Carlo Methods Appl. 20 (2) (2014)
René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension. SIAM J. Financial Math. 5 (1) (2014)
Paul Gassiat, Fausto Gozzi, Huyên Pham
Investment/Consumption Problem in Illiquid Markets with Regime-Switching. SIAM J. Control. Optim. 52 (3) (2014)
Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov
Optimal consumption policies in illiquid markets. Finance Stochastics 15 (1) (2011)
Ying Jiao, Huyên Pham
Optimal investment with counterparty risk: a default-density model approach. Finance Stochastics 15 (4) (2011)
Idris Kharroubi, Huyên Pham
Optimal Portfolio Liquidation with Execution Cost and Risk. SIAM J. Financial Math. 1 (1) (2010)
Huyên Pham, Vathana Ly Vath, Xun Yu Zhou
Optimal Switching over Multiple Regimes. SIAM J. Control. Optim. 48 (4) (2009)
Vathana Ly Vath, Mohamed Mnif, Huyên Pham
A model of optimal portfolio selection under liquidity risk and price impact. Finance Stochastics 11 (1) (2007)
Vathana Ly Vath, Huyên Pham
Explicit Solution to an Optimal Switching Problem in the Two-Regime Case. SIAM J. Control. Optim. 46 (2) (2007)
Emmanuel Gobet, Gilles Pagès, Huyên Pham, Jacques Printems
Discretization and Simulation of the Zakai Equation. SIAM J. Numer. Anal. 44 (6) (2006)
Huyên Pham, Wolfgang J. Runggaldier, Afef Sellami
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Monte Carlo Methods Appl. 11 (1) (2005)
Bruno Bouchard, Huyên Pham
Wealth-path dependent utility maximization in incomplete markets. Finance Stochastics 8 (4) (2004)
Huyên Pham
A risk-sensitive control dual approach to a large deviations control problem. Syst. Control. Lett. 49 (4) (2003)
Huyên Pham
A large deviations approach to optimal long term investment. Finance Stochastics 7 (2) (2003)
Huyên Pham
Dynamic L [sup p]-Hedging in Discrete Time under Cone Constraints. SIAM J. Control. Optim. 38 (3) (2000)
Huyên Pham
On quadratic hedging in continuous time. Math. Methods Oper. Res. 51 (2) (2000)
Jean Paul Laurent, Huyên Pham
Dynamic programming and mean-variance hedging. Finance Stochastics 3 (1) (1999)
Jaksa Cvitanic, Huyên Pham, Nizar Touzi
A closed-form solution to the problem of super-replication under transaction costs. Finance Stochastics 3 (1) (1999)
Damien Lamberton, Huyên Pham, Martin Schweizer
Local Risk-Minimization Under Transaction Costs. Math. Oper. Res. 23 (3) (1998)
Huyên Pham, Thorsten Rheinländer, Martin Schweizer
Mean-variance hedging for continuous processes: New proofs and examples. Finance Stochastics 2 (2) (1998)