2 citations · 3 across the 5 of their papers we have counts for
6 papers
Propagation of chaos for mean field Schrödinger problems
Camilo Hernández, Ludovic Tangpi
In this work, we study the mean field Schrödinger problem from a purely probabilistic point of view by exploiting its connection to stochastic control theory for McKean-Vlasov diff…
Time-inconsistent contract theory
Camilo Hernández, Dylan Possamaï
This paper investigates the moral hazard problem in finite horizon with both continuous and lump-sum payments, involving a time-inconsistent sophisticated agent and a standard util…
On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
Camilo Hernández
This paper investigates multidimensional extended type-I BSVIEs and infinite families of BSDEs in the case of quadratic generators. We establish existence and uniqueness results in…
A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
Camilo Hernández, Dylan Possamaï
We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard…
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
Camilo Hernández, Dylan Possamaï
We develop a theory for continuous-time non-Markovian stochastic control problems which are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman…
Compressive sensing and truncated moment problems on spheres
Hernán García, Camilo Hernández, Mauricio Junca +1
We propose convex optimization algorithms to recover a good approximation of a point measure on the unit sphere from its moments with respect to a set…