68 citations · 217 across the 38 of their papers we have counts for
4 papers · 1 filter
Mean Field Game with Delay: a Toy Model
Jean-Pierre Fouque, Zhaoyu Zhang
We study a toy model of linear-quadratic mean field game with delay. We "lift" the delayed dynamic into an infinite dimensional space, and recast the mean field game system which i…
Directed Chain Stochastic Differential Equations
Nils Detering, Jean-Pierre Fouque, Tomoyuki Ichiba
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation…
Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand,…
On Fairness of Systemic Risk Measures
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk…