90 citations · 165 across the 16 of their papers we have counts for
7 papers · 1 filter
Generative modeling for time series via Schr{ö}dinger bridge
Mohamed Hamdouche, Pierre Henry-Labordere, Huyên Pham
We propose a novel generative model for time series based on Schr{ö}dinger bridge (SB) approach. This consists in the entropic interpolation via optimal transport between a referen…
Neural networks-based algorithms for stochastic control and PDEs in finance
Maximilien Germain, Huyên Pham, Xavier Warin
This paper presents machine learning techniques and deep reinforcement learningbased algorithms for the efficient resolution of nonlinear partial differential equations and dynamic…
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate cl…
Integral operator Riccati equations arising in stochastic Volterra control problems
Eduardo Abi Jaber, Enzo Miller, Huyen Pham
We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ( ) for certain signed matrix measures wh…
Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
We provide an exhaustive treatment of Linear-Quadratic control problems for a class of stochastic Volterra equations of convolution type, whose kernels are Laplace transforms of ce…
Neural networks-based backward scheme for fully nonlinear PDEs
Huyen Pham, Xavier Warin, Maximilien Germain
We propose a numerical method for solving high dimensional fully nonlinear partial differential equations (PDEs). Our algorithm estimates simultaneously by backward time induction…