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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…
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…