Jean-Pierre Fouque

Publication Activity (10 Years)

Years Active: 1996-2024
Publications (10 Years): 20

Top Topics

Stochastic Games

Reinforcement Learning

Portfolio Optimization

Top Venues

SIAM J. Financial Math.

SIAM J. Control. Optim.

Publications

Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière, Mengrui Zhang
Analysis of Multiscale Reinforcement Q-Learning Algorithms for Mean Field Control Games. CoRR (2024)
Andrea Angiuli, Jean-Pierre Fouque, Ruimeng Hu, Alan Raydan
Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces. CoRR (2023)
Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli
Multivariate Systemic Risk Measures and Deep Learning Algorithms. CoRR (2023)
Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
Optimal Trading with Signals and Stochastic Price Impact. SIAM J. Financial Math. 13 (3) (2022)
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets. SIAM J. Financial Math. 13 (1) (2022)
Yichen Feng, Ming Min, Jean-Pierre Fouque
Deep Learning for Systemic Risk Measures. CoRR (2022)
Yichen Feng, Ming Min, Jean-Pierre Fouque
Deep Learning for Systemic Risk Measures. ICAIF (2022)
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière
Unified reinforcement Q-learning for mean field game and control problems. Math. Control. Signals Syst. 34 (2) (2022)
Jimin Lin, Andrea Angiuli, Nils Detering, Jean-Pierre Fouque, Mathieu Laurière
Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game. ICAIF (2022)
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière
Reinforcement Learning for Mean Field Games, with Applications to Economics. CoRR (2021)
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière
Unified Reinforcement Q-Learning for Mean Field Game and Control Problems. CoRR (2020)
Jean-Pierre Fouque, Ruimeng Hu
Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment. Multiscale Model. Simul. 18 (3) (2020)
Jean-Pierre Fouque, Zhaoyu Zhang
Deep Learning Methods for Mean Field Control Problems With Delay. Frontiers Appl. Math. Stat. 6 (2020)
Jean-Pierre Fouque, Ruimeng Hu
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment. SIAM J. Financial Math. 9 (2) (2018)
René Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi, Li-Hsien Sun
Systemic Risk and Stochastic Games with Delay. J. Optim. Theory Appl. 179 (2) (2018)
Jean-Pierre Fouque, Ning Ning
Uncertain Volatility Models with Stochastic Bounds. SIAM J. Financial Math. 9 (4) (2018)
Jean-Pierre Fouque, Ruimeng Hu
Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment. SIAM J. Control. Optim. 55 (3) (2017)
Jean-Pierre Fouque, A. Papanicolaou, Ronnie Sircar
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions. SIAM J. Control. Optim. 55 (3) (2017)
Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20 (3) (2016)
Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM J. Control. Optim. 54 (5) (2016)
Jean-Pierre Fouque, Bin Ren
Approximation for Option Prices under Uncertain Volatility. SIAM J. Financial Math. 5 (1) (2014)
Chuan-Hsiang Han, German Molina, Jean-Pierre Fouque
McMC estimation of multiscale stochastic volatility models with applications. Math. Comput. Simul. 103 (2014)
Jean-Pierre Fouque, Tomoyuki Ichiba
Stability in a Model of Interbank Lending. SIAM J. Financial Math. 4 (1) (2013)
Jean-Pierre Fouque, Matthew J. Lorig
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. SIAM J. Financial Math. 2 (1) (2011)
Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. 2 (1) (2011)
Jin Feng, Martin Forde, Jean-Pierre Fouque
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model. SIAM J. Financial Math. 1 (1) (2010)
René Carmona, Jean-Pierre Fouque, Douglas Vestal
Interacting particle systems for the computation of rare credit portfolio losses. Finance Stochastics 13 (4) (2009)
Jean-Pierre Fouque, Ronnie Sircar, Knut Sølna
Multiname and Multiscale Default Modeling. Multiscale Model. Simul. 7 (4) (2009)
Oleg V. Poliannikov, Jean-Pierre Fouque
Detection of a reflective layer in a random layered medium using time reversal [acoustic measurement method]. ICASSP (4) (2005)
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
Maturity cycles in implied volatility. Finance Stochastics 8 (4) (2004)
André Nachbin, Jean-Pierre Fouque, Josselin Garnier
Time Reversal for Dispersive Waves in Random Media. SIAM J. Appl. Math. 64 (5) (2004)
Jean-Pierre Fouque, Knut Sølna
Time-Reversal Aperture Enhancement. Multiscale Model. Simul. 1 (2) (2003)
George Papanicolaou, Jean-Pierre Fouque, Knut Solna, Ronnie Sircar
Singular Perturbations in Option Pricing. SIAM J. Appl. Math. 63 (5) (2003)
Jean-Pierre Fouque, André Nachbin
Time-Reversed Refocusing of Surface Water Waves. Multiscale Model. Simul. 1 (4) (2003)
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
Multiscale Stochastic Volatility Asymptotics. Multiscale Model. Simul. 2 (1) (2003)
José Chillan, Jean-Pierre Fouque
Pressure Fields Generated by Acoustical Pulses Propagating in Randomly Layered Media. SIAM J. Appl. Math. 58 (5) (1998)
F. Bailly, J. F. Clouet, Jean-Pierre Fouque
Parabolic and Gaussian White Noise Approximation for Wave Propagation in Random Media. SIAM J. Appl. Math. 56 (5) (1996)