René Carmona

Publication Activity (10 Years)

Years Active: 2003-2023
Publications (10 Years): 22

Top Topics

Control Problems

Convergence Analysis

Stochastic Games

Top Venues

SIAM J. Control. Optim.

Dyn. Games Appl.

Math. Oper. Res.

Publications

René Carmona, Laura Leal
Optimal Execution with Quadratic Variation Inventories. SIAM J. Financial Math. 14 (3) (2023)
Alexander Aurell, René Carmona, Gökçe Dayanikli, Mathieu Laurière
Finite State Graphon Games with Applications to Epidemics. Dyn. Games Appl. 12 (1) (2022)
René Carmona, Gokce Dayanikli
Mean Field Model for an Advertising Competition in a Duopoly. CoRR (2022)
René Carmona, Daniel B. Cooney, Christy V. Graves, Mathieu Laurière
Stochastic Graphon Games: I. The Static Case. Math. Oper. Res. 47 (1) (2022)
René Carmona, Gökçe Dayanikli, Mathieu Laurière
Mean Field Models to Regulate Carbon Emissions in Electricity Production. Dyn. Games Appl. 12 (3) (2022)
Alexander Aurell, René Carmona, Gökçe Dayanikli, Mathieu Laurière
Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach. SIAM J. Control. Optim. 60 (2) (2022)
René Carmona, Mathieu Laurière
Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance. CoRR (2021)
René Carmona, Mathieu Laurière
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case. SIAM J. Numer. Anal. 59 (3) (2021)
René Carmona, Peiqi Wang
A Probabilistic Approach to Extended Finite State Mean Field Games. Math. Oper. Res. 46 (2) (2021)
René Carmona, Gökçe Dayanikli
Mean Field Game Model for an Advertising Competition in a Duopoly. IGTR 23 (4) (2021)
René Carmona, Peiqi Wang
Finite-State Contract Theory with a Principal and a Field of Agents. Manag. Sci. 67 (8) (2021)
René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan
Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games. CoRR (2020)
René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan
Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games. CDC (2020)
René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan
Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions and Policy Optimization. CoRR (2020)
René Carmona, Christy V. Graves
Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game. Dyn. Games Appl. 10 (1) (2020)
René Carmona, Mathieu Laurière
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II - The Finite Horizon Case. CoRR (2019)
René Carmona, Mathieu Laurière, Zongjun Tan
Model-Free Mean-Field Reinforcement Learning: Mean-Field MDP and Mean-Field Q-Learning. CoRR (2019)
René Carmona, Mathieu Laurière
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: I - The Ergodic Case. CoRR (2019)
René Carmona, Mathieu Laurière, Zongjun Tan
Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods. CoRR (2019)
Beatrice Acciaio, Julio D. Backhoff Veraguas, René Carmona
Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective. SIAM J. Control. Optim. 57 (6) (2019)
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)
René Carmona, Yi Ma, Sergey Nadtochiy
Simulation of Implied Volatility Surfaces via Tangent Lévy Models. SIAM J. Financial Math. 8 (1) (2017)
René Carmona, François Delarue
Probabilistic Analysis of Mean-Field Games. SIAM J. Control. Optim. 51 (4) (2013)
René Carmona, Sergey Nadtochiy
Tangent Lévy market models. Finance Stochastics 16 (1) (2012)
René Carmona, Juri Hinz
Risk-Neutral Models for Emission Allowance Prices and Option Valuation. Manag. Sci. 57 (8) (2011)
René Carmona, Ronnie Sircar
Message From the Editors-in-Chief. SIAM J. Financial Math. 1 (1) (2010)
René Carmona, Max Fehr, Juri Hinz, Arnaud Porchet
Market Design for Emission Trading Schemes. SIAM Rev. 52 (3) (2010)
René Carmona, Sergey Nadtochiy
Local volatility dynamic models. Finance Stochastics 13 (1) (2009)
René Carmona, Jean-Pierre Fouque, Douglas Vestal
Interacting particle systems for the computation of rare credit portfolio losses. Finance Stochastics 13 (4) (2009)
René Carmona, Lixin Wang
Monte Carlo Malliavin Computation of the Sensitivities of Solutions of SPDEs. SIAM J. Appl. Math. 69 (6) (2009)
René Carmona, Max Fehr, Juri Hinz
Optimal Stochastic Control and Carbon Price Formation. SIAM J. Control. Optim. 48 (4) (2009)
René Carmona, Savas Dayanik
Optimal Multiple Stopping of Linear Diffusions. Math. Oper. Res. 33 (2) (2008)
Katherine L. Milkman, René Carmona, William Gleason
Fiction. Lit. Linguistic Comput. 22 (3) (2007)
René Carmona, Valdo Durrleman
Pricing and Hedging Spread Options. SIAM Rev. 45 (4) (2003)