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## Carmona, René A.

Compute Distance To:
 Author ID: carmona.rene-a Published as: Carmona, R.; Carmona, R. A.; Carmona, Rene; Carmona, Rene A.; Carmona, Renè; Carmona, René; Carmona, René A. Homepage: https://www.princeton.edu/~rcarmona/ External Links: MGP · Wikidata · ResearchGate · dblp · GND
 Documents Indexed: 124 Publications since 1974, including 17 Books
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#### Co-Authors

 32 single-authored 13 Delarue, François 8 Molchanov, Stanislav Alekseevich 7 Touzi, Nizar 5 Fouque, Jean-Pierre 5 Nadtochiy, Sergey 4 Cinlar, Erhan 4 Ekeland, Ivar 4 Jouini, Elyès 4 Lacker, Daniel 4 Nualart, David 4 Scheinkman, José Alexandre 4 Xu, Lin 3 Fehr, Max 3 Graves, Christy V. 3 Grishin, Stanislav A. 3 Hinz, Juri 3 Ludkovski, Michael 3 Simon, Barry 2 Coulon, Michael 2 Del Moral, Pierre 2 Hu, Peng 2 Hwang, Wen-Liang 2 Klein, Abel 2 Oudjane, Nadia 2 Schwarz, Daniel C. 2 Sun, Li-Hsien 2 Tehranchi, Michael R. 2 Torrésani, Bruno S. 2 Viens, Frederi G. 1 Acciaio, Beatrice 1 Ahn, Ho Seong 1 Angiuli, Andrea 1 Antoniadis, Anestis 1 Backhoff Veraguas, Julio D. 1 Bentosela, François 1 Berruyer, Jacques 1 Briand, Philippe 1 Brossard, Jean 1 Cerenzia, Mark 1 Cérou, Frédéric 1 Chassagneux, Jean-François 1 Chevet, Simone 1 Crepey, Stephane 1 Dayanik, Savas 1 Diko, Pavel 1 Duclos, Pierre 1 Durrleman, Valdo 1 Espinosa, Gilles-Edouard 1 Kono, Norio 1 Koralov, Leonid B. 1 Kotani, Shinichi 1 Lachapelle, Aime 1 Lacroix, Jean 1 Li, Houzhi 1 Ma, Yi 1 Martinelli, Fabio 1 Masters, Wen Chen 1 Mousavi, Seyyed Mostafa 1 Palmer, Aaron Zeff 1 Porchet, Arnaud 1 Rozovskii, Boris L. 1 Schweizer, Martin 1 Souillard, Bernard 1 Tan, Zongjun 1 Vestal, Douglas 1 Wang, Andrea 1 Wang, Lixin 1 Wang, Peiqi 1 Webster, Kevin N. 1 Weder, Ricardo A. 1 Yan, Jia-An 1 Zheng, Weian 1 Zhu, Xiuneng
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#### Serials

 7 Journal of Functional Analysis 6 Communications in Mathematical Physics 6 Probability Theory and Related Fields 5 The Annals of Probability 5 The Annals of Applied Probability 4 Finance and Stochastics 4 Lecture Notes in Mathematics 3 SIAM Journal on Control and Optimization 3 Random Operators and Stochastic Equations 3 International Journal of Theoretical and Applied Finance 2 Annales Scientifiques de l’Université de Clermont-Ferrand II. Mathématiques 2 Applied Mathematics and Optimization 2 Duke Mathematical Journal 2 SIAM Review 2 Electronic Communications in Probability 2 Quantitative Finance 2 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A 2 Mathematics and Financial Economics 2 Springer Texts in Statistics 2 Probability Theory and Stochastic Modelling 2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Journal of Statistical Physics 1 Physica A 1 Journal of Optimization Theory and Applications 1 Management Science 1 Mathematics of Operations Research 1 Memoirs of the American Mathematical Society 1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 1 Acta Applicandae Mathematicae 1 Journal of Applied Mathematics and Stochastic Analysis 1 SIAM Journal on Applied Mathematics 1 Stochastics and Stochastics Reports 1 Applied Mathematical Finance 1 Mathematical Finance 1 Annales Henri Poincaré 1 Communications in Mathematical Sciences 1 Oberwolfach Reports 1 Mathematical Surveys and Monographs 1 Communications on Stochastic Analysis 1 SIAM Journal on Financial Mathematics 1 Springer Proceedings in Mathematics 1 Dynamic Games and Applications 1 Probability and its Applications 1 Springer Finance
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#### Fields

 91 Probability theory and stochastic processes (60-XX) 54 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 17 Partial differential equations (35-XX) 16 Systems theory; control (93-XX) 10 Numerical analysis (65-XX) 9 Calculus of variations and optimal control; optimization (49-XX) 8 General and overarching topics; collections (00-XX) 6 Statistics (62-XX) 6 Quantum theory (81-XX) 4 Measure and integration (28-XX) 4 Operator theory (47-XX) 3 Ordinary differential equations (34-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 3 Fluid mechanics (76-XX) 3 Statistical mechanics, structure of matter (82-XX) 3 Information and communication theory, circuits (94-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Geophysics (86-XX) 2 Operations research, mathematical programming (90-XX) 2 Biology and other natural sciences (92-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Potential theory (31-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Mechanics of particles and systems (70-XX)

#### Citations contained in zbMATH

104 Publications have been cited 2,133 times in 1,568 Documents Cited by Year
Spectral theory of random Schrödinger operators. Zbl 0717.60074
Carmona, René; Lacroix, Jean
1990
Parabolic Anderson problem and intermittency. Zbl 0925.35074
Carmona, René A.; Molchanov, S. A.
1994
Anderson localization for Bernoulli and other singular potentials. Zbl 0615.60098
Carmona, Rene; Klein, Abel; Martinelli, Fabio
1987
Probabilistic analysis of mean-field games. Zbl 1275.93065
Carmona, René; Delarue, François
2013
Relativistic Schrödinger operators: Asymptotic behavior of the eigenfunctions. Zbl 0716.35006
Carmona, René; Masters, Wen Chen; Simon, Barry
1990
Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012
Carmona, René; Delarue, François; Lachapelle, Aimé
2013
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
2008
Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games. Zbl 1422.91014
Carmona, René; Delarue, François
2018
Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics. Zbl 1322.93103
Carmona, René; Delarue, François
2015
Mean field games and systemic risk. Zbl 1337.91031
Carmona, René; Fouque, Jean-Pierre; Sun, Li-Hsien
2015
Pricing and hedging spread options. Zbl 1033.60069
Carmona, René; Durrleman, Valdo
2003
Can one hear the dimension of a fractal? Zbl 0607.58043
Brossard, Jean; Carmona, René
1986
Interest rate models: an infinite dimensional stochastic analysis perspective. Zbl 1124.91030
Carmona, René A.; Tehranchi, Michael R.
2006
Indifference pricing: Theory and applications. Zbl 1155.91008
Carmona, René (ed.)
2009
Random nonlinear wave equations: Smoothness of the solutions. Zbl 0635.60073
Carmona, Rene; Nualart, David
1988
A probabilistic weak formulation of mean field games and applications. Zbl 1332.60100
Carmona, René; Lacker, Daniel
2015
Regularity properties of Schrödinger and Dirichlet semigroups. Zbl 0419.60075
Carmona, Rene
1979
BSDEs with polynomial growth generators. Zbl 0979.60046
Briand, Philippe; Carmona, René
2000
The master equation for large population equilibriums. Zbl 1391.92036
Carmona, René; Delarue, François
2014
Exponential localization in one dimensional disordered systems. Zbl 0491.60058
Carmona, Rene
1982
Valuation of energy storage: an optimal switching approach. Zbl 1203.91286
Carmona, René; Ludkovski, Michael
2010
One-dimensional Schrödinger operators with random or deterministic potentials: New spectral types. Zbl 0516.60069
Carmona, Rene
1983
Pointwise bounds on eigenfunctions and wave packets in N-body quantum systems. V: Lower bounds and path integrals. Zbl 0464.35085
Carmona, R.; Simon, B.
1981
Mean field forward-backward stochastic differential equations. Zbl 1297.93182
Carmona, René; Delarue, François
2013
Schrödinger operators with an electric field and random or deterministic potentials. Zbl 0531.60061
Bentosela, F.; Carmona, R.; Duclos, P.; Simon, B.; Souillard, B.; Weder, R.
1983
Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations. Zbl 1422.91015
Carmona, René; Delarue, François
2018
Mean field games with common noise. Zbl 1422.91083
Carmona, René; Delarue, François; Lacker, Daniel
2016
Optimal multiple stopping of linear diffusions. Zbl 1221.60061
Carmona, René; Dayanik, Savas
2008
Local volatility dynamic models. Zbl 1199.91202
2009
Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361
Carmona, Renè; Ludkovski, Michael
2008
A probabilistic approach to mean field games with major and minor players. Zbl 1342.93121
Carmona, René; Zhu, Xiuneng
2016
Market design for emission trading schemes. Zbl 1198.91166
Carmona, René; Fehr, Max; Hinz, Juri; Porchet, Arnaud
2010
Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062
Carmona, René A.; Viens, Frederi G.
1998
Practical time-frequency analysis. Gabor and wavelet transforms with an implementation in S. With a preface by Ingrid Daubechies. Zbl 1039.42504
Carmona, René; Hwang, Wen-Liang; Torrésani, Bruno
1998
Pointwise bounds for Schrödinger eigenstates. Zbl 0403.47016
Carmona, Rene
1978
Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications. Zbl 1342.60001
Carmona, René
2016
Stationary parabolic Anderson model and intermittency. Zbl 0827.60051
Carmona, R. A.; Molchanov, S. A.
1995
Optimal stochastic control and carbon price formation. Zbl 1203.93209
Carmona, René; Fehr, Max; Hinz, Juri
2009
Asymptotics for the almost sure Lyapunov exponent for the solution of the parabolic Anderson problem. Zbl 0972.60050
Carmona, Rene; Koralov, Leonid; Molchanov, Stanislav
2001
Random nonlinear wave equations: Propagation of singularities. Zbl 0643.60045
Carmona, René; Nualart, David
1988
Measurable norms and some Banach space valued Gaussian processes. Zbl 0355.60040
Carmona, Rene
1977
A characterization of hedging portfolios for interest rate contingent claims. Zbl 1048.60049
Carmona, Rene; Tehranchi, Michael
2004
Risk-neutral models for emission allowance prices and option values. Zbl 1279.91202
Carmona, René; Hinz, Juri
2011
Exponential moments for hitting times of uniformly ergodic Markov processes. Zbl 0523.60064
Carmona, Rene; Klein, Abel
1983
Stochastic partial differential equations: six perspectives. Zbl 0904.00017
Carmona, Rene A. (ed.); Rozovskij, Boris (ed.)
1999
Homogenization for time-dependent two-dimensional incompressible Gaussian flows. Zbl 0879.60063
Carmona, René A.; Xu, Lin
1997
Mean field games of timing and models for bank runs. Zbl 1411.91102
Carmona, René; Delarue, François; Lacker, Daniel
2017
Interaction particle systems for the computation of rare credit portfolio losses. Zbl 1199.91248
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas
2009
Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation. Zbl 0849.60062
Carmona, René; Viens, Frederi. G.; Molchanov, S. A.
1996
Random Schrödinger operators. Zbl 0607.35089
Carmona, René
1986
Tangent Lévy market models. Zbl 1259.91047
2012
Spot convenience yield models for the energy markets. Zbl 1055.62113
Carmona, René; Ludkovski, Michael
2004
Statistical analysis of financial data in S-Plus. Zbl 1055.62112
Carmona, René A.
2004
Nonlinear stochastic integrators, equations and flows. Zbl 0772.60041
Carmona, René A.; Nualart, David
1990
Tangent models as a mathematical framework for dynamic calibration. Zbl 1208.91169
2011
Convergence en loi et lois du algorithme iteré pour les vecteurs gaussiens. Zbl 0321.60023
Carmona, Rene; Kono, Norio
1976
Systemic risk and stochastic games with delay. Zbl 1418.91062
Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien
2018
An alternative approach to mean field game with major and minor players, and applications to herders impacts. Zbl 1378.49036
Carmona, Rene; Wang, Peiqi
2017
Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037
Carmona, René; Coulon, Michael; Schwarz, Daniel
2013
Singular forward-backward stochastic differential equations and emissions derivatives. Zbl 1276.60070
Carmona, René; Delarue, François; Espinosa, Gilles-Edouard; Touzi, Nizar
2013
An introduction to particle methods with financial applications. Zbl 1248.91096
Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia
2012
Particle methods for the estimation of credit portfolio loss distributions. Zbl 1233.91314
Carmona, René; Crépey, Stéphane
2010
Transport by incompressible random velocity fields: Simulations and mathematical conjectures. Zbl 0935.60048
Carmona, René A.; Cerou, Frédéric
1999
Path integrals for relativistic Schrödinger operators. Zbl 0712.35069
Carmona, René
1989
Inverse spectral theory for random Jacobi matrices. Zbl 0685.60066
Carmona, René; Kotani, Shinichi
1987
Mouvement brownien et fonctions propres de l’opérateur de Schrödinger. Zbl 0514.60074
Carmona, R.
1981
Pricing precipitation based derivatives. Zbl 1137.91435
Carmona, René; Diko, Pavel
2005
Massively parallel simulations of motions in a Gaussian velocity field. Zbl 0864.76063
Carmona, René A.; Grishin, Stanislav A.; Molchanov, Stanislav A.
1996
Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field. Zbl 0827.60047
Carmona, René A.; Fouque, Jean Pierre
1995
Processus de diffusion gouverne par la forme de Dirichlet de l’opérateur de Schrödinger. Zbl 0401.60084
Carmona, Rene
1979
Tensor product of Gaussian measures. Zbl 0386.28017
Carmona, Rene
1978
Module de continuite uniforme des mouvements browniens à valeurs dans un espace de Banach. Zbl 0326.60005
Carmona, Rene
1975
The clean development mechanism and joint price formation for allowances and CERs. Zbl 1282.91247
Carmona, René; Fehr, Max
2011
HJM: a unified approach to dynamic models for fixed income, credit and equity markets. Zbl 1151.91438
Carmona, René A.
2007
Transport properties of Gaussian velocity fields. Zbl 0897.60051
Carmona, René A.
1997
Diffusive hydrodynamic limits for systems of interacting diffusions with finite range random interaction. Zbl 0895.76003
Carmona, René A.; Xu, Lin
1997
Reflecting Brownian motions and comparison theorems for Neumann heat kernels. Zbl 0797.60064
Carmona, René A.; Zheng, Weian
1994
A diffusion approximation result for two parameter processes. Zbl 0794.60060
Carmona, René A.; Fouque, Jean Pierre
1994
Intermittency and phase transitions for some particle systems in random media. Zbl 0793.60106
Carmona, R.; Molchanov, S. A.
1993
Traces of random variables on Wiener space and the Onsager-Machlup functional. Zbl 0760.60062
Carmona, René A.; Nualart, David
1992
Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes. Zbl 0586.60073
1986
One-dimensional Schrödinger operators with random potentials. Zbl 0598.60070
Carmona, René
1984
Tensor Gaussian measures on $$L^p(E)$$. Zbl 0428.60007
Carmona, Rene; Chevet, Simone
1979
Extended mean field control problems: stochastic maximum principle and transport perspective. Zbl 1426.93364
Acciaio, Beatrice; Backhoff-Veraguas, Julio; Carmona, René
2019
The self-financing equation in limit order book markets. Zbl 07074036
Carmona, René; Webster, Kevin
2019
The valuation of clean spread options: linking electricity, emissions and fuels. Zbl 1280.91163
Carmona, René; Coulon, Michael; Schwarz, Daniel
2012
Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Zbl 1238.91005
Carmona, René A. (ed.); Del Moral, Pierre (ed.); Hu, Peng (ed.); Oudjane, Nadia (ed.)
2012
From Markovian to partially observable models. Zbl 1185.91171
Carmona, René
2009
An infinite dimensional stochastic analysis approach to local volatility dynamic models. Zbl 1331.91201
2008
Paris-Princeton lectures on mathematical finance 2003. Zbl 1047.91002
Carmona, R. A. (ed.); Çinlar, E. (ed.); Ekeland, I. (ed.); Jouini, E. (ed.); Scheinkman, J. A. (ed.); Touzi, N. (ed.)
2004
Surface stretching for Ornstein Uhlenbeck velocity fields. Zbl 0890.60047
Carmona, Rene A.; Grishin, Stanislav; Xu, Lin
1997
Nonstationary Anderson model with Lévy potential. Zbl 0766.60054
Ahn, Ho S.; Carmona, René A.; Molchanov, Stanislas A.
1992
Infinite dimensional Newtonian potentials. Zbl 0455.60063
Carmona, Rene
1980
Price of anarchy for mean field games. Zbl 1417.91071
Carmona, René; Graves, Christy V.; Tan, Zongjun
2019
Simulation of implied volatility surfaces via tangent Lévy models. Zbl 1410.91478
Carmona, Rene; Ma, Yi; Nadtochiy, Sergey
2017
Singular FBSDEs and scalar conservation laws driven by diffusion processes. Zbl 1284.60114
Carmona, René; Delarue, François
2013
Monte Carlo Malliavin computation of the sensitivities of solutions of SPDEs. Zbl 1196.60099
Carmona, René; Wang, Lixin
2009
Paris-Princeton lectures on mathematical finance 2004. Zbl 1121.91003
Carmona, René A. (ed.); Çinlar, Erhan (ed.); Ekeland, Ivar (ed.); Jouini, Elyes (ed.); Scheinkman, José A. (ed.); Touzi, Nizar (ed.)
2007
Asymptotics for the boundary parabolic Anderson problem in a half space. Zbl 1093.35015
Carmona, Rene; Grishin, Stanislav A.; Molchanov, Stanislav
2004
Comparison tests for the spectra of dependent multivariate time series. Zbl 0864.76072
Carmona, René A.; Wang, Andrea
1996
Extended mean field control problems: stochastic maximum principle and transport perspective. Zbl 1426.93364
Acciaio, Beatrice; Backhoff-Veraguas, Julio; Carmona, René
2019
The self-financing equation in limit order book markets. Zbl 07074036
Carmona, René; Webster, Kevin
2019
Price of anarchy for mean field games. Zbl 1417.91071
Carmona, René; Graves, Christy V.; Tan, Zongjun
2019
Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games. Zbl 1422.91014
Carmona, René; Delarue, François
2018
Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations. Zbl 1422.91015
Carmona, René; Delarue, François
2018
Systemic risk and stochastic games with delay. Zbl 1418.91062
Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien
2018
Mean field games of timing and models for bank runs. Zbl 1411.91102
Carmona, René; Delarue, François; Lacker, Daniel
2017
An alternative approach to mean field game with major and minor players, and applications to herders impacts. Zbl 1378.49036
Carmona, Rene; Wang, Peiqi
2017
Simulation of implied volatility surfaces via tangent Lévy models. Zbl 1410.91478
Carmona, Rene; Ma, Yi; Nadtochiy, Sergey
2017
Mean field games with common noise. Zbl 1422.91083
Carmona, René; Delarue, François; Lacker, Daniel
2016
A probabilistic approach to mean field games with major and minor players. Zbl 1342.93121
Carmona, René; Zhu, Xiuneng
2016
Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications. Zbl 1342.60001
Carmona, René
2016
Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics. Zbl 1322.93103
Carmona, René; Delarue, François
2015
Mean field games and systemic risk. Zbl 1337.91031
Carmona, René; Fouque, Jean-Pierre; Sun, Li-Hsien
2015
A probabilistic weak formulation of mean field games and applications. Zbl 1332.60100
Carmona, René; Lacker, Daniel
2015
The master equation for large population equilibriums. Zbl 1391.92036
Carmona, René; Delarue, François
2014
Probabilistic analysis of mean-field games. Zbl 1275.93065
Carmona, René; Delarue, François
2013
Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012
Carmona, René; Delarue, François; Lachapelle, Aimé
2013
Mean field forward-backward stochastic differential equations. Zbl 1297.93182
Carmona, René; Delarue, François
2013
Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037
Carmona, René; Coulon, Michael; Schwarz, Daniel
2013
Singular forward-backward stochastic differential equations and emissions derivatives. Zbl 1276.60070
Carmona, René; Delarue, François; Espinosa, Gilles-Edouard; Touzi, Nizar
2013
Singular FBSDEs and scalar conservation laws driven by diffusion processes. Zbl 1284.60114
Carmona, René; Delarue, François
2013
Tangent Lévy market models. Zbl 1259.91047
2012
An introduction to particle methods with financial applications. Zbl 1248.91096
Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia
2012
The valuation of clean spread options: linking electricity, emissions and fuels. Zbl 1280.91163
Carmona, René; Coulon, Michael; Schwarz, Daniel
2012
Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Zbl 1238.91005
Carmona, René A. (ed.); Del Moral, Pierre (ed.); Hu, Peng (ed.); Oudjane, Nadia (ed.)
2012
Risk-neutral models for emission allowance prices and option values. Zbl 1279.91202
Carmona, René; Hinz, Juri
2011
Tangent models as a mathematical framework for dynamic calibration. Zbl 1208.91169
2011
The clean development mechanism and joint price formation for allowances and CERs. Zbl 1282.91247
Carmona, René; Fehr, Max
2011
Valuation of energy storage: an optimal switching approach. Zbl 1203.91286
Carmona, René; Ludkovski, Michael
2010
Market design for emission trading schemes. Zbl 1198.91166
Carmona, René; Fehr, Max; Hinz, Juri; Porchet, Arnaud
2010
Particle methods for the estimation of credit portfolio loss distributions. Zbl 1233.91314
Carmona, René; Crépey, Stéphane
2010
Indifference pricing: Theory and applications. Zbl 1155.91008
Carmona, René (ed.)
2009
Local volatility dynamic models. Zbl 1199.91202
2009
Optimal stochastic control and carbon price formation. Zbl 1203.93209
Carmona, René; Fehr, Max; Hinz, Juri
2009
Interaction particle systems for the computation of rare credit portfolio losses. Zbl 1199.91248
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas
2009
From Markovian to partially observable models. Zbl 1185.91171
Carmona, René
2009
Monte Carlo Malliavin computation of the sensitivities of solutions of SPDEs. Zbl 1196.60099
Carmona, René; Wang, Lixin
2009
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
2008
Optimal multiple stopping of linear diffusions. Zbl 1221.60061
Carmona, René; Dayanik, Savas
2008
Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361
Carmona, Renè; Ludkovski, Michael
2008
An infinite dimensional stochastic analysis approach to local volatility dynamic models. Zbl 1331.91201
2008
HJM: a unified approach to dynamic models for fixed income, credit and equity markets. Zbl 1151.91438
Carmona, René A.
2007
Paris-Princeton lectures on mathematical finance 2004. Zbl 1121.91003
Carmona, René A. (ed.); Çinlar, Erhan (ed.); Ekeland, Ivar (ed.); Jouini, Elyes (ed.); Scheinkman, José A. (ed.); Touzi, Nizar (ed.)
2007
Interest rate models: an infinite dimensional stochastic analysis perspective. Zbl 1124.91030
Carmona, René A.; Tehranchi, Michael R.
2006
Pricing precipitation based derivatives. Zbl 1137.91435
Carmona, René; Diko, Pavel
2005
A characterization of hedging portfolios for interest rate contingent claims. Zbl 1048.60049
Carmona, Rene; Tehranchi, Michael
2004
Spot convenience yield models for the energy markets. Zbl 1055.62113
Carmona, René; Ludkovski, Michael
2004
Statistical analysis of financial data in S-Plus. Zbl 1055.62112
Carmona, René A.
2004
Paris-Princeton lectures on mathematical finance 2003. Zbl 1047.91002
Carmona, R. A. (ed.); Çinlar, E. (ed.); Ekeland, I. (ed.); Jouini, E. (ed.); Scheinkman, J. A. (ed.); Touzi, N. (ed.)
2004
Asymptotics for the boundary parabolic Anderson problem in a half space. Zbl 1093.35015
Carmona, Rene; Grishin, Stanislav A.; Molchanov, Stanislav
2004
Pricing and hedging spread options. Zbl 1033.60069
Carmona, René; Durrleman, Valdo
2003
Asymptotics for the almost sure Lyapunov exponent for the solution of the parabolic Anderson problem. Zbl 0972.60050
Carmona, Rene; Koralov, Leonid; Molchanov, Stanislav
2001
BSDEs with polynomial growth generators. Zbl 0979.60046
Briand, Philippe; Carmona, René
2000
Stochastic partial differential equations: six perspectives. Zbl 0904.00017
Carmona, Rene A. (ed.); Rozovskij, Boris (ed.)
1999
Transport by incompressible random velocity fields: Simulations and mathematical conjectures. Zbl 0935.60048
Carmona, René A.; Cerou, Frédéric
1999
Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062
Carmona, René A.; Viens, Frederi G.
1998
Practical time-frequency analysis. Gabor and wavelet transforms with an implementation in S. With a preface by Ingrid Daubechies. Zbl 1039.42504
Carmona, René; Hwang, Wen-Liang; Torrésani, Bruno
1998
Homogenization for time-dependent two-dimensional incompressible Gaussian flows. Zbl 0879.60063
Carmona, René A.; Xu, Lin
1997
Transport properties of Gaussian velocity fields. Zbl 0897.60051
Carmona, René A.
1997
Diffusive hydrodynamic limits for systems of interacting diffusions with finite range random interaction. Zbl 0895.76003
Carmona, René A.; Xu, Lin
1997
Surface stretching for Ornstein Uhlenbeck velocity fields. Zbl 0890.60047
Carmona, Rene A.; Grishin, Stanislav; Xu, Lin
1997
Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation. Zbl 0849.60062
Carmona, René; Viens, Frederi. G.; Molchanov, S. A.
1996
Massively parallel simulations of motions in a Gaussian velocity field. Zbl 0864.76063
Carmona, René A.; Grishin, Stanislav A.; Molchanov, Stanislav A.
1996
Comparison tests for the spectra of dependent multivariate time series. Zbl 0864.76072
Carmona, René A.; Wang, Andrea
1996
Stationary parabolic Anderson model and intermittency. Zbl 0827.60051
Carmona, R. A.; Molchanov, S. A.
1995
Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field. Zbl 0827.60047
Carmona, René A.; Fouque, Jean Pierre
1995
Parabolic Anderson problem and intermittency. Zbl 0925.35074
Carmona, René A.; Molchanov, S. A.
1994
Reflecting Brownian motions and comparison theorems for Neumann heat kernels. Zbl 0797.60064
Carmona, René A.; Zheng, Weian
1994
A diffusion approximation result for two parameter processes. Zbl 0794.60060
Carmona, René A.; Fouque, Jean Pierre
1994
Intermittency and phase transitions for some particle systems in random media. Zbl 0793.60106
Carmona, R.; Molchanov, S. A.
1993
Traces of random variables on Wiener space and the Onsager-Machlup functional. Zbl 0760.60062
Carmona, René A.; Nualart, David
1992
Nonstationary Anderson model with Lévy potential. Zbl 0766.60054
Ahn, Ho S.; Carmona, René A.; Molchanov, Stanislas A.
1992
Spectral theory of random Schrödinger operators. Zbl 0717.60074
Carmona, René; Lacroix, Jean
1990
Relativistic Schrödinger operators: Asymptotic behavior of the eigenfunctions. Zbl 0716.35006
Carmona, René; Masters, Wen Chen; Simon, Barry
1990
Nonlinear stochastic integrators, equations and flows. Zbl 0772.60041
Carmona, René A.; Nualart, David
1990
Path integrals for relativistic Schrödinger operators. Zbl 0712.35069
Carmona, René
1989
Random nonlinear wave equations: Smoothness of the solutions. Zbl 0635.60073
Carmona, Rene; Nualart, David
1988
Random nonlinear wave equations: Propagation of singularities. Zbl 0643.60045
Carmona, René; Nualart, David
1988
Anderson localization for Bernoulli and other singular potentials. Zbl 0615.60098
Carmona, Rene; Klein, Abel; Martinelli, Fabio
1987
Inverse spectral theory for random Jacobi matrices. Zbl 0685.60066
Carmona, René; Kotani, Shinichi
1987
Can one hear the dimension of a fractal? Zbl 0607.58043
Brossard, Jean; Carmona, René
1986
Random Schrödinger operators. Zbl 0607.35089
Carmona, René
1986
Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes. Zbl 0586.60073
1986
One-dimensional Schrödinger operators with random potentials: a survey. Zbl 0547.60069
Carmona, René
1985
One-dimensional Schrödinger operators with random potentials. Zbl 0598.60070
Carmona, René
1984
One-dimensional Schrödinger operators with random or deterministic potentials: New spectral types. Zbl 0516.60069
Carmona, Rene
1983
Schrödinger operators with an electric field and random or deterministic potentials. Zbl 0531.60061
Bentosela, F.; Carmona, R.; Duclos, P.; Simon, B.; Souillard, B.; Weder, R.
1983
Exponential moments for hitting times of uniformly ergodic Markov processes. Zbl 0523.60064
Carmona, Rene; Klein, Abel
1983
Exponential localization in one dimensional disordered systems. Zbl 0491.60058
Carmona, Rene
1982
Pointwise bounds on eigenfunctions and wave packets in N-body quantum systems. V: Lower bounds and path integrals. Zbl 0464.35085
Carmona, R.; Simon, B.
1981
Mouvement brownien et fonctions propres de l’opérateur de Schrödinger. Zbl 0514.60074
Carmona, R.
1981
Infinite dimensional Newtonian potentials. Zbl 0455.60063
Carmona, Rene
1980
Regularity properties of Schrödinger and Dirichlet semigroups. Zbl 0419.60075
Carmona, Rene
1979
Processus de diffusion gouverne par la forme de Dirichlet de l’opérateur de Schrödinger. Zbl 0401.60084
Carmona, Rene
1979
Tensor Gaussian measures on $$L^p(E)$$. Zbl 0428.60007
Carmona, Rene; Chevet, Simone
1979
Opérateur de Schrödinger à resolvante compacte. Zbl 0401.60085
Carmona, Rene
1979
Pointwise bounds for Schrödinger eigenstates. Zbl 0403.47016
Carmona, Rene
1978
Tensor product of Gaussian measures. Zbl 0386.28017
Carmona, Rene
1978
Measurable norms and some Banach space valued Gaussian processes. Zbl 0355.60040
Carmona, Rene
1977
...and 4 more Documents
all top 5

#### Cited by 1,873 Authors

 42 Carmona, René A. 32 Simon, Barry 23 Klein, Abel 21 Damanik, David 21 Stolz, Gunter 15 Lenz, Daniel H. 14 Khoshnevisan, Davar 13 Albeverio, Sergio A. 13 Kaleta, Kamil 13 Lörinczi, József 12 Benth, Fred Espen 12 Delarue, François 12 Kirsch, Werner 12 Lapidus, Michel L. 12 Pham, Huyên 11 Bayraktar, Erhan 11 Bensoussan, Alain 11 Cardaliaguet, Pierre 11 Chen, Xia 11 Molchanov, Stanislav Alekseevich 11 Müller, Peter 11 Nualart, David 10 Gesztesy, Fritz 10 Lacker, Daniel 10 Veselić, Ivan 9 Chen, Zhen-Qing 9 Cranston, Michael Craig 9 Germinet, François 9 Jitomirskaya, Svetlana Ya. 9 Klopp, Frédéric 9 Song, Renming 9 Warzel, Simone 9 Yam, Sheung Chi Phillip 8 Chen, Le 8 Combes, Jean-Michel 8 Hinz, Juri 8 Hiroshima, Fumio 8 Hislop, Peter D. 8 Kim, Panki 8 Kolokoltsov, Vassili N. 8 König, Wolfgang Dieter 8 Leung, Tim 8 Nadtochiy, Sergey 8 Tindel, Samy 8 Viens, Frederi G. 8 Zayed, Elsayed M. E. 7 Brzeźniak, Zdzisław 7 Conus, Daniel 7 Dalang, Robert C. 7 Del Moral, Pierre 7 Hambly, Ben M. 7 Kulczycki, Tadeusz 7 Last, Yoram 7 Ludkovski, Michael 7 Röckner, Michael 7 Sadel, Christian 6 Agram, Nacira 6 Aizenman, Michael 6 Campi, Luciano 6 Chulaevsky, Victor 6 de Oliveira, César R. 6 Djehiche, Boualem 6 Fouque, Jean-Pierre 6 Froese, Richard 6 Hamadene, Saïd 6 Herbst, Ira W. 6 Hu, Ying 6 Huang, Jianhui 6 Kiselev, Alexander A. 6 Laurière, Mathieu 6 Leschke, Hajo 6 Lions, Pierre-Louis 6 Meyer-Brandis, Thilo 6 Ondreját, Martin 6 Quer-Sardanyons, Lluís 6 Torrésani, Bruno S. 5 Ambrosio, Vincenzo 5 Averboukh, Yuriĭ Vladimirovich 5 Bañuelos, Rodrigo 5 Başar, Tamer 5 Bourgain, Jean 5 Briet, Philippe 5 den Hollander, Frank 5 Foondun, Mohammud 5 Gomes, Diogo Luís Aguiar 5 Henderson, Vicky 5 Huang, Minyi 5 Joseph, Mathew 5 Kharroubi, Idris 5 Kim, Kunwoo 5 Leonenko, Nikolai N. 5 Li, Juan 5 Martinelli, Fabio 5 Mountford, Thomas S. 5 Pietruska-Pałuba, Katarzyna 5 Proske, Frank Norbert 5 Saldi, Naci 5 Sanz-Solé, Marta 5 Sims, Robert L. 5 Stollmann, Peter ...and 1,773 more Authors
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#### Cited in 275 Serials

 92 Journal of Functional Analysis 90 Communications in Mathematical Physics 77 Stochastic Processes and their Applications 44 Journal of Statistical Physics 40 SIAM Journal on Control and Optimization 39 Probability Theory and Related Fields 35 The Annals of Applied Probability 33 The Annals of Probability 31 Journal of Mathematical Physics 31 Applied Mathematics and Optimization 29 Finance and Stochastics 25 Transactions of the American Mathematical Society 23 Journal of Mathematical Analysis and Applications 22 International Journal of Theoretical and Applied Finance 22 Quantitative Finance 21 Stochastic Analysis and Applications 20 Potential Analysis 19 Journal of Differential Equations 19 Annales Henri Poincaré 18 Proceedings of the American Mathematical Society 18 Mathematical Physics, Analysis and Geometry 17 SIAM Journal on Financial Mathematics 15 Annales de l’Institut Henri Poincaré. Physique Théorique 15 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 14 Letters in Mathematical Physics 13 Reviews in Mathematical Physics 13 Automatica 13 Mathematical Finance 13 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 13 Dynamic Games and Applications 12 Journal d’Analyse Mathématique 12 Duke Mathematical Journal 12 Statistics & Probability Letters 11 Journal of Optimization Theory and Applications 11 Proceedings of the Indian Academy of Sciences. Mathematical Sciences 10 Journal of Computational and Applied Mathematics 10 Journal of Theoretical Probability 10 Communications in Partial Differential Equations 10 European Journal of Operational Research 10 Applied Mathematical Finance 10 Mathematical Methods of Operations Research 10 Stochastics and Dynamics 10 Stochastics 9 Mathematics of Operations Research 9 Bernoulli 9 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 8 Electronic Journal of Probability 8 Discrete and Continuous Dynamical Systems 8 Comptes Rendus. Mathématique. Académie des Sciences, Paris 8 Mathematics and Financial Economics 7 Applied Mathematics and Computation 7 Journal of Applied Probability 7 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 7 Journal de Mathématiques Pures et Appliquées. Neuvième Série 6 Chaos, Solitons and Fractals 6 Advances in Mathematics 6 Operations Research 6 Insurance Mathematics & Economics 6 Acta Applicandae Mathematicae 6 Applied and Computational Harmonic Analysis 6 Asia-Pacific Financial Markets 5 Arkiv för Matematik 5 Inventiones Mathematicae 5 Journal of Economic Dynamics & Control 5 Annals of Operations Research 5 SIAM Journal on Mathematical Analysis 5 NoDEA. Nonlinear Differential Equations and Applications 5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 4 Advances in Applied Probability 4 Communications on Pure and Applied Mathematics 4 International Journal of Control 4 Israel Journal of Mathematics 4 Acta Mathematica 4 Integral Equations and Operator Theory 4 Journal of Multivariate Analysis 4 Systems & Control Letters 4 International Journal of Computer Mathematics 4 Infinite Dimensional Analysis, Quantum Probability and Related Topics 4 Journal of the European Mathematical Society (JEMS) 4 Review of Derivatives Research 4 Annals of Finance 4 Mathematical Control and Related Fields 4 Stochastic and Partial Differential Equations. Analysis and Computations 4 Journal of Dynamics and Games 3 Journal of Computational Physics 3 Physica A 3 Reports on Mathematical Physics 3 Theory of Probability and its Applications 3 Annales de l’Institut Fourier 3 Illinois Journal of Mathematics 3 Journal of Statistical Planning and Inference 3 Mathematische Annalen 3 Mathematische Nachrichten 3 Mathematische Zeitschrift 3 Osaka Journal of Mathematics 3 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 3 Operations Research Letters 3 Physica D 3 Applied Mathematics Letters 3 Journal of Applied Mathematics and Stochastic Analysis ...and 175 more Serials
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#### Cited in 49 Fields

 850 Probability theory and stochastic processes (60-XX) 468 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 394 Partial differential equations (35-XX) 265 Operator theory (47-XX) 223 Statistical mechanics, structure of matter (82-XX) 211 Quantum theory (81-XX) 171 Systems theory; control (93-XX) 134 Calculus of variations and optimal control; optimization (49-XX) 88 Numerical analysis (65-XX) 74 Ordinary differential equations (34-XX) 63 Statistics (62-XX) 56 Operations research, mathematical programming (90-XX) 52 Dynamical systems and ergodic theory (37-XX) 32 Measure and integration (28-XX) 31 Global analysis, analysis on manifolds (58-XX) 30 Functional analysis (46-XX) 25 Harmonic analysis on Euclidean spaces (42-XX) 22 Linear and multilinear algebra; matrix theory (15-XX) 21 Difference and functional equations (39-XX) 19 Fluid mechanics (76-XX) 18 Combinatorics (05-XX) 18 Potential theory (31-XX) 12 Information and communication theory, circuits (94-XX) 11 Functions of a complex variable (30-XX) 10 Number theory (11-XX) 9 Biology and other natural sciences (92-XX) 8 Real functions (26-XX) 8 Approximations and expansions (41-XX) 8 Mechanics of deformable solids (74-XX) 7 Integral equations (45-XX) 7 Differential geometry (53-XX) 7 Optics, electromagnetic theory (78-XX) 4 Computer science (68-XX) 4 Mechanics of particles and systems (70-XX) 4 Relativity and gravitational theory (83-XX) 3 General and overarching topics; collections (00-XX) 3 History and biography (01-XX) 3 Special functions (33-XX) 3 Sequences, series, summability (40-XX) 3 Abstract harmonic analysis (43-XX) 3 Convex and discrete geometry (52-XX) 2 Several complex variables and analytic spaces (32-XX) 2 Integral transforms, operational calculus (44-XX) 2 General topology (54-XX) 2 Astronomy and astrophysics (85-XX) 1 Nonassociative rings and algebras (17-XX) 1 Group theory and generalizations (20-XX) 1 Topological groups, Lie groups (22-XX) 1 Geophysics (86-XX)

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