97 citations · 329 across the 13 of their papers we have counts for
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math.OC2019★ 10 cited
Robust utility maximization under model uncertainty via a penalization approach
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within…
math.OC2018★ 20 cited
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Achref Bachouch, Côme Huré, Nicolas Langrené +1
This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow illustr…