1 citations · 1 across the 1 of their papers we have counts for
3 papers
q-fin.CP2022★ 1 cited
Differential learning methods for solving fully nonlinear PDEs
William Lefebvre, Grégoire Loeper, Huyên Pham
We propose machine learning methods for solving fully nonlinear partial differential equations (PDEs) with convex Hamiltonian. Our algorithms are conducted in two steps. First the…
math.OC2021
Linear-quadratic stochastic delayed control and deep learning resolution
William Lefebvre, Enzo Miller
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = t--d (bdt + dW t). We provide a new characterizati…
q-fin.CP2020
Mean-variance portfolio selection with tracking error penalization
William Lefebvre, Gregoire Loeper, Huyên Pham
This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking er…