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20042023
most citedDeep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis

97 citations · 798 across the 62 of their papers we have counts for

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math.PR2010

Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management

Huyen Pham

We formulate and investigate a general stochastic control problem under a progressive enlargement of filtration. The global information is enlarged from a reference filtration and…