Edit Profile Carmona, René A. Compute Distance To: Compute 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 all top 5 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 all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications 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 0717.60074Carmona, René; Lacroix, Jean 253 1990 Parabolic Anderson problem and intermittency. Zbl 0925.35074Carmona, René A.; Molchanov, S. A. 105 1994 Anderson localization for Bernoulli and other singular potentials. Zbl 0615.60098Carmona, Rene; Klein, Abel; Martinelli, Fabio 104 1987 Probabilistic analysis of mean-field games. Zbl 1275.93065Carmona, René; Delarue, François 102 2013 Relativistic Schrödinger operators: Asymptotic behavior of the eigenfunctions. Zbl 0716.35006Carmona, René; Masters, Wen Chen; Simon, Barry 99 1990 Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012Carmona, René; Delarue, François; Lachapelle, Aimé 71 2013 Optimal multiple stopping and valuation of swing options. Zbl 1133.91499Carmona, René; Touzi, Nizar 66 2008 Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games. Zbl 1422.91014Carmona, René; Delarue, François 65 2018 Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics. Zbl 1322.93103Carmona, René; Delarue, François 57 2015 Mean field games and systemic risk. Zbl 1337.91031Carmona, René; Fouque, Jean-Pierre; Sun, Li-Hsien 55 2015 Pricing and hedging spread options. Zbl 1033.60069Carmona, René; Durrleman, Valdo 54 2003 Can one hear the dimension of a fractal? Zbl 0607.58043Brossard, Jean; Carmona, René 45 1986 Interest rate models: an infinite dimensional stochastic analysis perspective. Zbl 1124.91030Carmona, René A.; Tehranchi, Michael R. 44 2006 Indifference pricing: Theory and applications. Zbl 1155.91008Carmona, René (ed.) 43 2009 Random nonlinear wave equations: Smoothness of the solutions. Zbl 0635.60073Carmona, Rene; Nualart, David 42 1988 A probabilistic weak formulation of mean field games and applications. Zbl 1332.60100Carmona, René; Lacker, Daniel 40 2015 Regularity properties of Schrödinger and Dirichlet semigroups. Zbl 0419.60075Carmona, Rene 40 1979 BSDEs with polynomial growth generators. Zbl 0979.60046Briand, Philippe; Carmona, René 37 2000 The master equation for large population equilibriums. Zbl 1391.92036Carmona, René; Delarue, François 34 2014 Exponential localization in one dimensional disordered systems. Zbl 0491.60058Carmona, Rene 34 1982 Valuation of energy storage: an optimal switching approach. Zbl 1203.91286Carmona, René; Ludkovski, Michael 32 2010 One-dimensional Schrödinger operators with random or deterministic potentials: New spectral types. Zbl 0516.60069Carmona, Rene 32 1983 Pointwise bounds on eigenfunctions and wave packets in N-body quantum systems. V: Lower bounds and path integrals. Zbl 0464.35085Carmona, R.; Simon, B. 32 1981 Mean field forward-backward stochastic differential equations. Zbl 1297.93182Carmona, René; Delarue, François 29 2013 Schrödinger operators with an electric field and random or deterministic potentials. Zbl 0531.60061Bentosela, F.; Carmona, R.; Duclos, P.; Simon, B.; Souillard, B.; Weder, R. 29 1983 Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations. Zbl 1422.91015Carmona, René; Delarue, François 27 2018 Mean field games with common noise. Zbl 1422.91083Carmona, René; Delarue, François; Lacker, Daniel 26 2016 Optimal multiple stopping of linear diffusions. Zbl 1221.60061Carmona, René; Dayanik, Savas 24 2008 Local volatility dynamic models. Zbl 1199.91202Carmona, René; Nadtochiy, Sergey 22 2009 Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361Carmona, Renè; Ludkovski, Michael 21 2008 A probabilistic approach to mean field games with major and minor players. Zbl 1342.93121Carmona, René; Zhu, Xiuneng 20 2016 Market design for emission trading schemes. Zbl 1198.91166Carmona, René; Fehr, Max; Hinz, Juri; Porchet, Arnaud 20 2010 Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062Carmona, René A.; Viens, Frederi G. 20 1998 Practical time-frequency analysis. Gabor and wavelet transforms with an implementation in S. With a preface by Ingrid Daubechies. Zbl 1039.42504Carmona, René; Hwang, Wen-Liang; Torrésani, Bruno 19 1998 Pointwise bounds for Schrödinger eigenstates. Zbl 0403.47016Carmona, Rene 19 1978 Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications. Zbl 1342.60001Carmona, René 17 2016 Stationary parabolic Anderson model and intermittency. Zbl 0827.60051Carmona, R. A.; Molchanov, S. A. 17 1995 Optimal stochastic control and carbon price formation. Zbl 1203.93209Carmona, René; Fehr, Max; Hinz, Juri 16 2009 Asymptotics for the almost sure Lyapunov exponent for the solution of the parabolic Anderson problem. Zbl 0972.60050Carmona, Rene; Koralov, Leonid; Molchanov, Stanislav 16 2001 Random nonlinear wave equations: Propagation of singularities. Zbl 0643.60045Carmona, René; Nualart, David 15 1988 Measurable norms and some Banach space valued Gaussian processes. Zbl 0355.60040Carmona, Rene 15 1977 A characterization of hedging portfolios for interest rate contingent claims. Zbl 1048.60049Carmona, Rene; Tehranchi, Michael 13 2004 Risk-neutral models for emission allowance prices and option values. Zbl 1279.91202Carmona, René; Hinz, Juri 12 2011 Exponential moments for hitting times of uniformly ergodic Markov processes. Zbl 0523.60064Carmona, Rene; Klein, Abel 12 1983 Stochastic partial differential equations: six perspectives. Zbl 0904.00017Carmona, Rene A. (ed.); Rozovskij, Boris (ed.) 11 1999 Homogenization for time-dependent two-dimensional incompressible Gaussian flows. Zbl 0879.60063Carmona, René A.; Xu, Lin 11 1997 Mean field games of timing and models for bank runs. Zbl 1411.91102Carmona, René; Delarue, François; Lacker, Daniel 10 2017 Interaction particle systems for the computation of rare credit portfolio losses. Zbl 1199.91248Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas 10 2009 Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation. Zbl 0849.60062Carmona, René; Viens, Frederi. G.; Molchanov, S. A. 10 1996 Random Schrödinger operators. Zbl 0607.35089Carmona, René 8 1986 Tangent Lévy market models. Zbl 1259.91047Carmona, René; Nadtochiy, Sergey 7 2012 Spot convenience yield models for the energy markets. Zbl 1055.62113Carmona, René; Ludkovski, Michael 7 2004 Statistical analysis of financial data in S-Plus. Zbl 1055.62112Carmona, René A. 7 2004 Nonlinear stochastic integrators, equations and flows. Zbl 0772.60041Carmona, René A.; Nualart, David 7 1990 Tangent models as a mathematical framework for dynamic calibration. Zbl 1208.91169Carmona, René; Nadtochiy, Sergey 6 2011 Convergence en loi et lois du algorithme iteré pour les vecteurs gaussiens. Zbl 0321.60023Carmona, Rene; Kono, Norio 6 1976 Systemic risk and stochastic games with delay. Zbl 1418.91062Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien 5 2018 An alternative approach to mean field game with major and minor players, and applications to herders impacts. Zbl 1378.49036Carmona, Rene; Wang, Peiqi 5 2017 Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037Carmona, René; Coulon, Michael; Schwarz, Daniel 5 2013 Singular forward-backward stochastic differential equations and emissions derivatives. Zbl 1276.60070Carmona, René; Delarue, François; Espinosa, Gilles-Edouard; Touzi, Nizar 5 2013 An introduction to particle methods with financial applications. Zbl 1248.91096Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia 5 2012 Particle methods for the estimation of credit portfolio loss distributions. Zbl 1233.91314Carmona, René; Crépey, Stéphane 5 2010 Transport by incompressible random velocity fields: Simulations and mathematical conjectures. Zbl 0935.60048Carmona, René A.; Cerou, Frédéric 5 1999 Path integrals for relativistic Schrödinger operators. Zbl 0712.35069Carmona, René 5 1989 Inverse spectral theory for random Jacobi matrices. Zbl 0685.60066Carmona, René; Kotani, Shinichi 5 1987 Mouvement brownien et fonctions propres de l’opérateur de Schrödinger. Zbl 0514.60074Carmona, R. 5 1981 Pricing precipitation based derivatives. Zbl 1137.91435Carmona, René; Diko, Pavel 4 2005 Massively parallel simulations of motions in a Gaussian velocity field. Zbl 0864.76063Carmona, René A.; Grishin, Stanislav A.; Molchanov, Stanislav A. 4 1996 Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field. Zbl 0827.60047Carmona, René A.; Fouque, Jean Pierre 4 1995 Processus de diffusion gouverne par la forme de Dirichlet de l’opérateur de Schrödinger. Zbl 0401.60084Carmona, Rene 4 1979 Tensor product of Gaussian measures. Zbl 0386.28017Carmona, Rene 4 1978 Module de continuite uniforme des mouvements browniens à valeurs dans un espace de Banach. Zbl 0326.60005Carmona, Rene 4 1975 The clean development mechanism and joint price formation for allowances and CERs. Zbl 1282.91247Carmona, René; Fehr, Max 3 2011 HJM: a unified approach to dynamic models for fixed income, credit and equity markets. Zbl 1151.91438Carmona, René A. 3 2007 Transport properties of Gaussian velocity fields. Zbl 0897.60051Carmona, René A. 3 1997 Diffusive hydrodynamic limits for systems of interacting diffusions with finite range random interaction. Zbl 0895.76003Carmona, René A.; Xu, Lin 3 1997 Reflecting Brownian motions and comparison theorems for Neumann heat kernels. Zbl 0797.60064Carmona, René A.; Zheng, Weian 3 1994 A diffusion approximation result for two parameter processes. Zbl 0794.60060Carmona, René A.; Fouque, Jean Pierre 3 1994 Intermittency and phase transitions for some particle systems in random media. Zbl 0793.60106Carmona, R.; Molchanov, S. A. 3 1993 Traces of random variables on Wiener space and the Onsager-Machlup functional. Zbl 0760.60062Carmona, René A.; Nualart, David 3 1992 Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes. Zbl 0586.60073Antoniadis, Anestis; Carmona, Rene 3 1986 One-dimensional Schrödinger operators with random potentials. Zbl 0598.60070Carmona, René 3 1984 Tensor Gaussian measures on \(L^p(E)\). Zbl 0428.60007Carmona, Rene; Chevet, Simone 3 1979 Extended mean field control problems: stochastic maximum principle and transport perspective. Zbl 1426.93364Acciaio, Beatrice; Backhoff-Veraguas, Julio; Carmona, René 2 2019 The self-financing equation in limit order book markets. Zbl 07074036Carmona, René; Webster, Kevin 2 2019 The valuation of clean spread options: linking electricity, emissions and fuels. Zbl 1280.91163Carmona, René; Coulon, Michael; Schwarz, Daniel 2 2012 Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Zbl 1238.91005Carmona, René A. (ed.); Del Moral, Pierre (ed.); Hu, Peng (ed.); Oudjane, Nadia (ed.) 2 2012 From Markovian to partially observable models. Zbl 1185.91171Carmona, René 2 2009 An infinite dimensional stochastic analysis approach to local volatility dynamic models. Zbl 1331.91201Carmona, R.; Nadtochiy, S. 2 2008 Paris-Princeton lectures on mathematical finance 2003. Zbl 1047.91002Carmona, R. A. (ed.); Çinlar, E. (ed.); Ekeland, I. (ed.); Jouini, E. (ed.); Scheinkman, J. A. (ed.); Touzi, N. (ed.) 2 2004 Surface stretching for Ornstein Uhlenbeck velocity fields. Zbl 0890.60047Carmona, Rene A.; Grishin, Stanislav; Xu, Lin 2 1997 Nonstationary Anderson model with Lévy potential. Zbl 0766.60054Ahn, Ho S.; Carmona, René A.; Molchanov, Stanislas A. 2 1992 Infinite dimensional Newtonian potentials. Zbl 0455.60063Carmona, Rene 2 1980 Price of anarchy for mean field games. Zbl 1417.91071Carmona, René; Graves, Christy V.; Tan, Zongjun 1 2019 Simulation of implied volatility surfaces via tangent Lévy models. Zbl 1410.91478Carmona, Rene; Ma, Yi; Nadtochiy, Sergey 1 2017 Singular FBSDEs and scalar conservation laws driven by diffusion processes. Zbl 1284.60114Carmona, René; Delarue, François 1 2013 Monte Carlo Malliavin computation of the sensitivities of solutions of SPDEs. Zbl 1196.60099Carmona, René; Wang, Lixin 1 2009 Paris-Princeton lectures on mathematical finance 2004. Zbl 1121.91003Carmona, René A. (ed.); Çinlar, Erhan (ed.); Ekeland, Ivar (ed.); Jouini, Elyes (ed.); Scheinkman, José A. (ed.); Touzi, Nizar (ed.) 1 2007 Asymptotics for the boundary parabolic Anderson problem in a half space. Zbl 1093.35015Carmona, Rene; Grishin, Stanislav A.; Molchanov, Stanislav 1 2004 Comparison tests for the spectra of dependent multivariate time series. Zbl 0864.76072Carmona, René A.; Wang, Andrea 1 1996 Extended mean field control problems: stochastic maximum principle and transport perspective. Zbl 1426.93364Acciaio, Beatrice; Backhoff-Veraguas, Julio; Carmona, René 2 2019 The self-financing equation in limit order book markets. Zbl 07074036Carmona, René; Webster, Kevin 2 2019 Price of anarchy for mean field games. Zbl 1417.91071Carmona, René; Graves, Christy V.; Tan, Zongjun 1 2019 Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games. Zbl 1422.91014Carmona, René; Delarue, François 65 2018 Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations. Zbl 1422.91015Carmona, René; Delarue, François 27 2018 Systemic risk and stochastic games with delay. Zbl 1418.91062Carmona, René; Fouque, Jean-Pierre; Mousavi, Seyyed Mostafa; Sun, Li-Hsien 5 2018 Mean field games of timing and models for bank runs. Zbl 1411.91102Carmona, René; Delarue, François; Lacker, Daniel 10 2017 An alternative approach to mean field game with major and minor players, and applications to herders impacts. Zbl 1378.49036Carmona, Rene; Wang, Peiqi 5 2017 Simulation of implied volatility surfaces via tangent Lévy models. Zbl 1410.91478Carmona, Rene; Ma, Yi; Nadtochiy, Sergey 1 2017 Mean field games with common noise. Zbl 1422.91083Carmona, René; Delarue, François; Lacker, Daniel 26 2016 A probabilistic approach to mean field games with major and minor players. Zbl 1342.93121Carmona, René; Zhu, Xiuneng 20 2016 Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications. Zbl 1342.60001Carmona, René 17 2016 Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics. Zbl 1322.93103Carmona, René; Delarue, François 57 2015 Mean field games and systemic risk. Zbl 1337.91031Carmona, René; Fouque, Jean-Pierre; Sun, Li-Hsien 55 2015 A probabilistic weak formulation of mean field games and applications. Zbl 1332.60100Carmona, René; Lacker, Daniel 40 2015 The master equation for large population equilibriums. Zbl 1391.92036Carmona, René; Delarue, François 34 2014 Probabilistic analysis of mean-field games. Zbl 1275.93065Carmona, René; Delarue, François 102 2013 Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012Carmona, René; Delarue, François; Lachapelle, Aimé 71 2013 Mean field forward-backward stochastic differential equations. Zbl 1297.93182Carmona, René; Delarue, François 29 2013 Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037Carmona, René; Coulon, Michael; Schwarz, Daniel 5 2013 Singular forward-backward stochastic differential equations and emissions derivatives. Zbl 1276.60070Carmona, René; Delarue, François; Espinosa, Gilles-Edouard; Touzi, Nizar 5 2013 Singular FBSDEs and scalar conservation laws driven by diffusion processes. Zbl 1284.60114Carmona, René; Delarue, François 1 2013 Tangent Lévy market models. Zbl 1259.91047Carmona, René; Nadtochiy, Sergey 7 2012 An introduction to particle methods with financial applications. Zbl 1248.91096Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia 5 2012 The valuation of clean spread options: linking electricity, emissions and fuels. Zbl 1280.91163Carmona, René; Coulon, Michael; Schwarz, Daniel 2 2012 Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Zbl 1238.91005Carmona, René A. (ed.); Del Moral, Pierre (ed.); Hu, Peng (ed.); Oudjane, Nadia (ed.) 2 2012 Risk-neutral models for emission allowance prices and option values. Zbl 1279.91202Carmona, René; Hinz, Juri 12 2011 Tangent models as a mathematical framework for dynamic calibration. Zbl 1208.91169Carmona, René; Nadtochiy, Sergey 6 2011 The clean development mechanism and joint price formation for allowances and CERs. Zbl 1282.91247Carmona, René; Fehr, Max 3 2011 Valuation of energy storage: an optimal switching approach. Zbl 1203.91286Carmona, René; Ludkovski, Michael 32 2010 Market design for emission trading schemes. Zbl 1198.91166Carmona, René; Fehr, Max; Hinz, Juri; Porchet, Arnaud 20 2010 Particle methods for the estimation of credit portfolio loss distributions. Zbl 1233.91314Carmona, René; Crépey, Stéphane 5 2010 Indifference pricing: Theory and applications. Zbl 1155.91008Carmona, René (ed.) 43 2009 Local volatility dynamic models. Zbl 1199.91202Carmona, René; Nadtochiy, Sergey 22 2009 Optimal stochastic control and carbon price formation. Zbl 1203.93209Carmona, René; Fehr, Max; Hinz, Juri 16 2009 Interaction particle systems for the computation of rare credit portfolio losses. Zbl 1199.91248Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas 10 2009 From Markovian to partially observable models. Zbl 1185.91171Carmona, René 2 2009 Monte Carlo Malliavin computation of the sensitivities of solutions of SPDEs. Zbl 1196.60099Carmona, René; Wang, Lixin 1 2009 Optimal multiple stopping and valuation of swing options. Zbl 1133.91499Carmona, René; Touzi, Nizar 66 2008 Optimal multiple stopping of linear diffusions. Zbl 1221.60061Carmona, René; Dayanik, Savas 24 2008 Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361Carmona, Renè; Ludkovski, Michael 21 2008 An infinite dimensional stochastic analysis approach to local volatility dynamic models. Zbl 1331.91201Carmona, R.; Nadtochiy, S. 2 2008 HJM: a unified approach to dynamic models for fixed income, credit and equity markets. Zbl 1151.91438Carmona, René A. 3 2007 Paris-Princeton lectures on mathematical finance 2004. Zbl 1121.91003Carmona, René A. (ed.); Çinlar, Erhan (ed.); Ekeland, Ivar (ed.); Jouini, Elyes (ed.); Scheinkman, José A. (ed.); Touzi, Nizar (ed.) 1 2007 Interest rate models: an infinite dimensional stochastic analysis perspective. Zbl 1124.91030Carmona, René A.; Tehranchi, Michael R. 44 2006 Pricing precipitation based derivatives. Zbl 1137.91435Carmona, René; Diko, Pavel 4 2005 A characterization of hedging portfolios for interest rate contingent claims. Zbl 1048.60049Carmona, Rene; Tehranchi, Michael 13 2004 Spot convenience yield models for the energy markets. Zbl 1055.62113Carmona, René; Ludkovski, Michael 7 2004 Statistical analysis of financial data in S-Plus. Zbl 1055.62112Carmona, René A. 7 2004 Paris-Princeton lectures on mathematical finance 2003. Zbl 1047.91002Carmona, R. A. (ed.); Çinlar, E. (ed.); Ekeland, I. (ed.); Jouini, E. (ed.); Scheinkman, J. A. (ed.); Touzi, N. (ed.) 2 2004 Asymptotics for the boundary parabolic Anderson problem in a half space. Zbl 1093.35015Carmona, Rene; Grishin, Stanislav A.; Molchanov, Stanislav 1 2004 Pricing and hedging spread options. Zbl 1033.60069Carmona, René; Durrleman, Valdo 54 2003 Asymptotics for the almost sure Lyapunov exponent for the solution of the parabolic Anderson problem. Zbl 0972.60050Carmona, Rene; Koralov, Leonid; Molchanov, Stanislav 16 2001 BSDEs with polynomial growth generators. Zbl 0979.60046Briand, Philippe; Carmona, René 37 2000 Stochastic partial differential equations: six perspectives. Zbl 0904.00017Carmona, Rene A. (ed.); Rozovskij, Boris (ed.) 11 1999 Transport by incompressible random velocity fields: Simulations and mathematical conjectures. Zbl 0935.60048Carmona, René A.; Cerou, Frédéric 5 1999 Almost-sure exponential behavior of a stochastic Anderson model with continuous space parameter. Zbl 0908.60062Carmona, René A.; Viens, Frederi G. 20 1998 Practical time-frequency analysis. Gabor and wavelet transforms with an implementation in S. With a preface by Ingrid Daubechies. Zbl 1039.42504Carmona, René; Hwang, Wen-Liang; Torrésani, Bruno 19 1998 Homogenization for time-dependent two-dimensional incompressible Gaussian flows. Zbl 0879.60063Carmona, René A.; Xu, Lin 11 1997 Transport properties of Gaussian velocity fields. Zbl 0897.60051Carmona, René A. 3 1997 Diffusive hydrodynamic limits for systems of interacting diffusions with finite range random interaction. Zbl 0895.76003Carmona, René A.; Xu, Lin 3 1997 Surface stretching for Ornstein Uhlenbeck velocity fields. Zbl 0890.60047Carmona, Rene A.; Grishin, Stanislav; Xu, Lin 2 1997 Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation. Zbl 0849.60062Carmona, René; Viens, Frederi. G.; Molchanov, S. A. 10 1996 Massively parallel simulations of motions in a Gaussian velocity field. Zbl 0864.76063Carmona, René A.; Grishin, Stanislav A.; Molchanov, Stanislav A. 4 1996 Comparison tests for the spectra of dependent multivariate time series. Zbl 0864.76072Carmona, René A.; Wang, Andrea 1 1996 Stationary parabolic Anderson model and intermittency. Zbl 0827.60051Carmona, R. A.; Molchanov, S. A. 17 1995 Diffusion-approximation for the advection-diffusion of a passive scalar by a space-time Gaussian velocity field. Zbl 0827.60047Carmona, René A.; Fouque, Jean Pierre 4 1995 Parabolic Anderson problem and intermittency. Zbl 0925.35074Carmona, René A.; Molchanov, S. A. 105 1994 Reflecting Brownian motions and comparison theorems for Neumann heat kernels. Zbl 0797.60064Carmona, René A.; Zheng, Weian 3 1994 A diffusion approximation result for two parameter processes. Zbl 0794.60060Carmona, René A.; Fouque, Jean Pierre 3 1994 Intermittency and phase transitions for some particle systems in random media. Zbl 0793.60106Carmona, R.; Molchanov, S. A. 3 1993 Traces of random variables on Wiener space and the Onsager-Machlup functional. Zbl 0760.60062Carmona, René A.; Nualart, David 3 1992 Nonstationary Anderson model with Lévy potential. Zbl 0766.60054Ahn, Ho S.; Carmona, René A.; Molchanov, Stanislas A. 2 1992 Spectral theory of random Schrödinger operators. Zbl 0717.60074Carmona, René; Lacroix, Jean 253 1990 Relativistic Schrödinger operators: Asymptotic behavior of the eigenfunctions. Zbl 0716.35006Carmona, René; Masters, Wen Chen; Simon, Barry 99 1990 Nonlinear stochastic integrators, equations and flows. Zbl 0772.60041Carmona, René A.; Nualart, David 7 1990 Path integrals for relativistic Schrödinger operators. Zbl 0712.35069Carmona, René 5 1989 Random nonlinear wave equations: Smoothness of the solutions. Zbl 0635.60073Carmona, Rene; Nualart, David 42 1988 Random nonlinear wave equations: Propagation of singularities. Zbl 0643.60045Carmona, René; Nualart, David 15 1988 Anderson localization for Bernoulli and other singular potentials. Zbl 0615.60098Carmona, Rene; Klein, Abel; Martinelli, Fabio 104 1987 Inverse spectral theory for random Jacobi matrices. Zbl 0685.60066Carmona, René; Kotani, Shinichi 5 1987 Can one hear the dimension of a fractal? Zbl 0607.58043Brossard, Jean; Carmona, René 45 1986 Random Schrödinger operators. Zbl 0607.35089Carmona, René 8 1986 Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes. Zbl 0586.60073Antoniadis, Anestis; Carmona, Rene 3 1986 One-dimensional Schrödinger operators with random potentials: a survey. Zbl 0547.60069Carmona, René 1 1985 One-dimensional Schrödinger operators with random potentials. Zbl 0598.60070Carmona, René 3 1984 One-dimensional Schrödinger operators with random or deterministic potentials: New spectral types. Zbl 0516.60069Carmona, Rene 32 1983 Schrödinger operators with an electric field and random or deterministic potentials. Zbl 0531.60061Bentosela, F.; Carmona, R.; Duclos, P.; Simon, B.; Souillard, B.; Weder, R. 29 1983 Exponential moments for hitting times of uniformly ergodic Markov processes. Zbl 0523.60064Carmona, Rene; Klein, Abel 12 1983 Exponential localization in one dimensional disordered systems. Zbl 0491.60058Carmona, Rene 34 1982 Pointwise bounds on eigenfunctions and wave packets in N-body quantum systems. V: Lower bounds and path integrals. Zbl 0464.35085Carmona, R.; Simon, B. 32 1981 Mouvement brownien et fonctions propres de l’opérateur de Schrödinger. Zbl 0514.60074Carmona, R. 5 1981 Infinite dimensional Newtonian potentials. Zbl 0455.60063Carmona, Rene 2 1980 Regularity properties of Schrödinger and Dirichlet semigroups. Zbl 0419.60075Carmona, Rene 40 1979 Processus de diffusion gouverne par la forme de Dirichlet de l’opérateur de Schrödinger. Zbl 0401.60084Carmona, Rene 4 1979 Tensor Gaussian measures on \(L^p(E)\). Zbl 0428.60007Carmona, Rene; Chevet, Simone 3 1979 Opérateur de Schrödinger à resolvante compacte. Zbl 0401.60085Carmona, Rene 1 1979 Pointwise bounds for Schrödinger eigenstates. Zbl 0403.47016Carmona, Rene 19 1978 Tensor product of Gaussian measures. Zbl 0386.28017Carmona, Rene 4 1978 Measurable norms and some Banach space valued Gaussian processes. Zbl 0355.60040Carmona, Rene 15 1977 ...and 4 more Documents all cited Publications top 5 cited Publications 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 all top 5 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 all top 5 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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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