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## Pham, Huyên

Compute Distance To:
 Author ID: pham.huyen Published as: Pham, Huyên; Pham, H.; Pham, Huyen; Pham, Huŷen Homepage: https://sites.google.com/site/phamxuanhuyen/ External Links: MGP · Wikidata · ResearchGate · dblp · GND · IdRef · theses.fr
 Documents Indexed: 113 Publications since 1995, including 3 Books
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#### Co-Authors

 25 single-authored 8 Cosso, Andrea 8 Touzi, Nizar 6 Kharroubi, Idris 5 Fuhrman, Marco 5 Pagès, Gilles 4 Aïd, René 4 Gassiat, Paul 4 Huré, Côme 4 Langrené, Nicolas 4 Ly Vath, Vathana 4 Miller, Enzo 4 Tankov, Peter 3 Bayraktar, Erhan 3 Florens-Landais, Danielle 3 Gozzi, Fausto 3 Jaber, Eduardo Abi 3 Koehl, Pierre-François 3 Printems, Jacques 3 Warin, Xavier 3 Wei, Xiaoli 2 Bandini, Elena 2 Basei, Matteo 2 Bouchard, Bruno 2 Cvitanić, Jakša 2 Federico, Salvatore 2 Florens, Danielle 2 Fodra, Pietro 2 Guilbaud, Fabien 2 Ismail, Amine 2 Jiao, Ying 2 Laurent, Jean Paul 2 Mnif, Mohamed 2 Runggaldier, Wolfgang J. 2 Schweizer, Martin 1 Abergel, Frédéric 1 Bachouch, Achref 1 Balata, Alessandro 1 Bernhart, Marie 1 Bruder, Benjamin 1 Campi, Luciano 1 Carassus, Laurence 1 Choukroun, Sébastien 1 Corsi, Marco 1 Cossc, Andrea 1 Cretarola, Alessandra 1 De Franco, Carmine 1 Deelstra, Griselda 1 Germain, Maximilien 1 Gobet, Emmanuel 1 Gourieroux, Christian 1 Goutte, Stéphane 1 Gruet, Pierre 1 Guo, Xin 1 Hoffmann, Marc R. 1 Jofré, Alejandro 1 Labadie, Mauricio 1 Lamberton, Damien 1 Laurière, Mathieu 1 Lehalle, Charles-Albert 1 Ma, Jin 1 Ngo, Minh-Man 1 Nicolle, Johann 1 Pimentel, Isaque 1 Quenez, Marie-Claire 1 Rheinländer, Thorsten 1 Rosenbaum, Mathieu 1 Sagastizábal, Claudia A. 1 Sellami, Afef 1 Sîrbu, Mihai 1 Villeneuve, Bertrand 1 Villeneuve, Stéphane 1 Xing, Hao 1 Zeni, Federica 1 Zhang, Jianfeng 1 Zidani, Hasnaa
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#### Serials

 10 The Annals of Applied Probability 9 SIAM Journal on Control and Optimization 9 Stochastic Processes and their Applications 8 Finance and Stochastics 6 Mathematical Finance 4 Applied Mathematics and Optimization 3 Journal of Applied Probability 3 Comptes Rendus de l’Académie des Sciences. Série I 3 International Journal of Theoretical and Applied Finance 3 SIAM Journal on Financial Mathematics 2 Theory of Probability and its Applications 2 The Annals of Probability 2 Journal of Mathematical Economics 2 SIAM Journal on Numerical Analysis 2 Monte Carlo Methods and Applications 2 Applied Mathematical Finance 2 Mathematical Methods of Operations Research 2 Quantitative Finance 2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Journal of Mathematical Analysis and Applications 1 Mathematics of Computation 1 Acta Mathematica Vietnamica 1 Journal of Optimization Theory and Applications 1 Mathematics of Operations Research 1 Transactions of the American Mathematical Society 1 Systems & Control Letters 1 Statistics & Probability Letters 1 Journal of Economic Dynamics & Control 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Stochastics and Stochastics Reports 1 Journal of Mathematical Systems, Estimation, and Control 1 Electronic Communications in Probability 1 Bernoulli 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 Stochastics and Dynamics 1 Mathématiques & Applications (Berlin) 1 Stochastic Modelling and Applied Probability 1 Mathematics and Financial Economics 1 Set-Valued and Variational Analysis 1 Probability Surveys 1 Appunti dei Corsi Tenuti da Docenti della Scuola 1 Probability, Uncertainty and Quantitative Risk 1 SN Partial Differential Equations and Applications
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#### Fields

 79 Probability theory and stochastic processes (60-XX) 73 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 60 Systems theory; control (93-XX) 38 Calculus of variations and optimal control; optimization (49-XX) 15 Operations research, mathematical programming (90-XX) 14 Statistics (62-XX) 14 Numerical analysis (65-XX) 11 Partial differential equations (35-XX) 1 General and overarching topics; collections (00-XX) 1 Ordinary differential equations (34-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Computer science (68-XX)

#### Citations contained in zbMATH Open

101 Publications have been cited 1,698 times in 1,179 Documents Cited by Year
Continuous-time stochastic control and optimization with financial applications. Translation from the 2007 French original. Zbl 1165.93039
Pham, Huyên
2009
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
1998
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
1999
Optimal stopping, free boundary, and American option in a jump-diffusion model. Zbl 0866.60038
Pham, Huyên
1997
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
1999
Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints. Zbl 1014.91038
Pham, Huyên
2002
Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
1998
Optimal quantization methods and applications to numerical problems in finance. Zbl 1138.91467
Pagès, Gilles; Pham, Huyên; Printems, Jacques
2004
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
2013
Large deviations in estimation of an Ornstein-Uhlenbeck model. Zbl 0978.62070
Florens-Landais, Danielle; Pham, Huyên
1999
A model of optimal portfolio selection under liquidity risk and price impact. Zbl 1145.91025
Ly Vath, Vathana; Mnif, Mohamed; Pham, Huyên
2007
Backward SDEs with constrained jumps and quasi-variational inequalities. Zbl 1205.60114
Kharroubi, Idris; Ma, Jin; Pham, Huyên; Zhang, Jianfeng
2010
Optimal portfolio in partially observed stochastic volatility models. Zbl 1043.91032
Pham, Huyên; Quenez, Marie-Claire
2001
Explicit solution to an optimal switching problem in the two-regime case. Zbl 1135.60314
Vath, Vathana Ly; Pham, Huyên
2007
Optimal stopping of controlled jump diffusion processes: A viscosity solution approach. Zbl 0899.60039
Pham, Huyên
1998
Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics. Zbl 1361.93069
Pham, Huyên; Wei, Xiaoli
2017
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
2001
On quadratic hedging in continuous time. Zbl 0977.91035
Pham, Huyên
2000
A large deviations approach to optimal long term investment. Zbl 1035.60023
Pham, Huyên
2003
Super-replication in stochastic volatility models under portfolio constraints. Zbl 0956.91043
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
1999
Optimal investment with counterparty risk: a default-density model approach. Zbl 1303.91159
Jiao, Ying; Pham, Huyên
2011
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE. Zbl 1333.60150
Kharroubi, Idris; Pham, Huyên
2015
Optimal partially reversible investment with entry decision and general production function. Zbl 1077.60048
Guo, Xin; Pham, Huyên
2005
The fundamental theorem of asset pricing with cone constraints. Zbl 0937.91064
Pham, Huyên; Touzi, Nizar
1999
Optimal investment under multiple defaults risk: a BSDE-decomposition approach. Zbl 1269.91075
Jiao, Ying; Kharroubi, Idris; Pham, Huyên
2013
Bellman equation and viscosity solutions for mean-field stochastic control problem. Zbl 1396.93134
Pham, Huyên; Wei, Xiaoli
2018
An optimal Markovian quantization algorithm for multi-dimensional stochastic control problems. Zbl 1111.65006
Pagès, Gilles; Pham, Huyên; Printems, Jacques
2004
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
2014
Optimal quantization methods for nonlinear filtering with discrete-time observations. Zbl 1084.62095
Pagès, Gilles; Pham, Huyên
2005
Optimal switching over multiple regimes. Zbl 1205.60089
Pham, Huyên; Vath, Vathana Ly; Zhou, Xun Yu
2009
Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach. Zbl 1337.60151
Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
2016
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2018
Wealth-path dependent utility maximization in incomplete markets. Zbl 1063.91029
Bouchard, Bruno; Pham, Huyên
2004
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps. Zbl 1323.65076
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
2015
Impulse control problem on finite horizon with execution delay. Zbl 1159.93361
Bruder, Benjamin; Pham, Huyên
2009
Mean-variance hedging for partially observed drift processes. Zbl 1153.91554
Pham, Huyên
2001
Dynamic $$L^p$$-hedging in discrete time under cone constraints. Zbl 0964.91022
Pham, Huyên
2000
A model of optimal consumption under liquidity risk with random trading times. Zbl 1214.91107
Pham, Huyên; Tankov, Peter
2008
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management. Zbl 1196.60141
Pham, Huyên
2010
Some applications and methods of large deviations in finance and insurance. Zbl 1151.91533
Pham, Huyên
2007
Minimizing shortfall risk and applications to finance and insurance problems. Zbl 1015.93071
Pham, Huyên
2002
A mixed singular/switching control problem for a dividend policy with reversible technology investment. Zbl 1141.60020
Vath, Vathana Ly; Pham, Huyên; Villeneuve, Stéphane
2008
On some recent aspects of stochastic control and their applications. Zbl 1189.93146
Pham, Huyên
2005
A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217
Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
2014
Randomized and backward SDE representation for optimal control of non-Markovian SDEs. Zbl 1322.60087
Fuhrman, Marco; Pham, Huyên
2015
No arbitrage in discrete time under portfolio constraints. Zbl 1055.91018
Carassus, Laurence; Pham, Huyên; Touzi, Nizar
2001
Discretization and simulation of the Zakai equation. Zbl 1139.60034
Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques
2006
Characterization of the optimal boundaries in reversible investment problems. Zbl 1300.93184
Federico, Salvatore; Pham, Huyên
2014
Optimal high-frequency trading in a pro rata microstructure with predictive information. Zbl 1331.91166
Guilbaud, Fabien; Pham, Huyên
2015
Local risk-minimization under transaction costs. Zbl 0994.91024
Lamberton, Damien; Pham, Huyên; Schweizer, Martin
1998
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach. Zbl 1431.60045
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
2018
Deep backward schemes for high-dimensional nonlinear PDEs. Zbl 1440.60063
Huré, Côme; Pham, Huyên; Warin, Xavier
2020
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
2019
Investment/consumption problem in illiquid markets with regime-switching. Zbl 1297.49040
Gassiat, Paul; Gozzi, Fausto; Pham, Huyên
2014
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2016
High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172
Fodra, Pietro; Pham, Huyên
2015
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060
Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef
2005
A risk-sensitive control dual approach to a large deviations control problem. Zbl 1157.60308
Pham, Huyên
2003
Stochastic optimization under constraints. Zbl 1070.93050
Mnif, Mohammed; Pham, Huyên
2001
On the smooth-fit property for one-dimensional optimal switching problem. Zbl 1126.60031
Pham, Huyên
2007
Portfolio optimization under partial observation: theoretical and numerical aspects. Zbl 1458.62250
Pham, H.
2011
A coupled system of integrodifferential equations arising in liquidity risk model. Zbl 1167.49036
Pham, Huyên; Tankov, Peter
2009
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem. Zbl 1405.93229
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
2019
On super-replication in discrete time under transaction costs. Zbl 0994.60048
Koehl, P. F.; Pham, H.; Touzi, N.
2000
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. Zbl 1325.60087
Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên
2015
Optimal switching for the pairs trading rule: a viscosity solutions approach. Zbl 1338.91134
Ngo, Minh-Man; Pham, Huyên
2016
Equilibrium state prices in a stochastic volatility model. Zbl 0915.90027
Pham, Huyên; Touzi, Nizar
1996
Hedging in discrete time under transaction costs and continuous-time limit. Zbl 0937.91063
Koehl, Pierre-F.; Pham, Huyên; Touzi, Nizar
1999
Zero-sum stochastic differential games of generalized McKean-Vlasov type. Zbl 1423.49039
Cosso, Andrea; Pham, Huyên
2019
Semi-Markov model for market microstructure. Zbl 1396.91218
Fodra, Pietro; Pham, Huyên
2015
Feynman-Kac representation of fully nonlinear PDEs and applications. Zbl 1322.60133
Pham, Huyên
2015
Large deviation probabilities in estimation of Poisson random measures. Zbl 0934.60021
Florens, Danielle; Pham, Huyên
1998
Numerial approximation by quantization of control problems in finance under partial observations. Zbl 1180.91310
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J.
2009
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications. Zbl 1433.49030
Pham, Huyên
2016
Explicit investment rules with time-to-build and uncertainty. Zbl 1402.91658
Aïd, René; Federico, Salvatore; Pham, Huyên; Villeneuve, Bertrand
2015
Optimal consumption policies in illiquid markets. Zbl 1303.91154
Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; Tankov, Peter
2011
Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump. Zbl 1338.60118
Fuhrman, Marco; Pham, Huyên; Zeni, Federica
2016
Optimal stopping of controlled jump diffusion processes and viscosity solutions. Zbl 0991.93564
Pham, Huyên
1995
Stochastic optimisation and control applied to finance. (Optimisation et contrôle stochastique appliqués à la finance.) Zbl 1143.93026
Pham, Huyên
2007
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns. Zbl 1101.60026
Bouchard, Bruno; Pham, Huyên
2005
Explicit solution to an irreversible investment model with a stochastic production capacity. Zbl 1103.93049
Pham, Huyên
2006
Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593
Goutte, Stéphane; Ismail, Amine; Pham, Huyên
2017
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis. Zbl 1466.65007
Huré, Côme; Pham, Huyên; Bachouch, Achref; Langrené, Nicolas
2021
A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. Zbl 1034.60057
Pham, Huyên
2003
Time discretization and quantization methods for optimal multiple switching problem. Zbl 1245.65008
Gassiat, Paul; Kharroubi, Idris; Pham, Huyên
2012
Discrete time McKean-Vlasov control problem: a dynamic programming approach. Zbl 1360.49018
Pham, Huyên; Wei, Xiaoli
2016
An optimal trading problem in intraday electricity markets. Zbl 1332.35363
Aïd, René; Gruet, Pierre; Pham, Huyên
2016
Sublinear price functionals under portfolio constraints. Zbl 1047.91533
Koehl, Pierre-F.; Pham, Huyên
2000
Optimal investment on finite horizon with random discrete order flow in illiquid markets. Zbl 1210.91121
Gassiat, Paul; Pham, Huyên; Sîrbu, Mihai
2011
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data. Zbl 1387.60105
Cosso, Andrea; Pham, Huyên; Xing, Hao
2017
Swing options valuation: a BSDE with constrained jumps approach. Zbl 1247.91179
Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier
2012
Linear-quadratic McKean-Vlasov stochastic differential games. Zbl 1427.91026
Miller, Enzo; Pham, Huyên
2019
A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems. Zbl 1416.49040
Basei, Matteo; Pham, Huyên
2019
A class of finite-dimensional numerically solvable McKean-Vlasov control problems. Zbl 1417.93333
Balata, Alessandro; Huré, Côme; Laurière, Mathieu; Pham, Huyên; Pimentel, Isaque
2019
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169
Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên
2017
Large deviation probabilities in estimation of Poisson random measures. (Principe de grandes déviations pour l’estimation des mesures aléatoires de Poisson.) Zbl 0865.62058
Florens-Landais, Danielle; Pham, Huyên
1996
Large deviations in estimation of an Ornstein-Uhlenbeck model. Zbl 0873.62084
Florens-Landais, Danielle; Pham, Huyên
1997
Bayesian learning for the Markowitz portfolio selection problem. Zbl 1430.91084
De Franco, Carmine; Nicolle, Johann; Pham, Huyên
2019
Long time asymptotics for optimal investment. Zbl 1418.91486
Pham, Huyên
2015
Neural networks-based backward scheme for fully nonlinear PDEs. Zbl 07341723
Pham, Huyên; Warin, Xavier; Germain, Maximilien
2021
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis. Zbl 1466.65007
Huré, Côme; Pham, Huyên; Bachouch, Achref; Langrené, Nicolas
2021
Neural networks-based backward scheme for fully nonlinear PDEs. Zbl 07341723
Pham, Huyên; Warin, Xavier; Germain, Maximilien
2021
Integral operator Riccati equations arising in stochastic Volterra control problems. Zbl 07352265
Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyen
2021
Deep backward schemes for high-dimensional nonlinear PDEs. Zbl 1440.60063
Huré, Côme; Pham, Huyên; Warin, Xavier
2020
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
2019
Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem. Zbl 1405.93229
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
2019
Zero-sum stochastic differential games of generalized McKean-Vlasov type. Zbl 1423.49039
Cosso, Andrea; Pham, Huyên
2019
Linear-quadratic McKean-Vlasov stochastic differential games. Zbl 1427.91026
Miller, Enzo; Pham, Huyên
2019
A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems. Zbl 1416.49040
Basei, Matteo; Pham, Huyên
2019
A class of finite-dimensional numerically solvable McKean-Vlasov control problems. Zbl 1417.93333
Balata, Alessandro; Huré, Côme; Laurière, Mathieu; Pham, Huyên; Pimentel, Isaque
2019
Bayesian learning for the Markowitz portfolio selection problem. Zbl 1430.91084
De Franco, Carmine; Nicolle, Johann; Pham, Huyên
2019
Bellman equation and viscosity solutions for mean-field stochastic control problem. Zbl 1396.93134
Pham, Huyên; Wei, Xiaoli
2018
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2018
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach. Zbl 1431.60045
Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
2018
Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics. Zbl 1361.93069
Pham, Huyên; Wei, Xiaoli
2017
Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593
Goutte, Stéphane; Ismail, Amine; Pham, Huyên
2017
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data. Zbl 1387.60105
Cosso, Andrea; Pham, Huyên; Xing, Hao
2017
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169
Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên
2017
Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach. Zbl 1337.60151
Cosso, Andrea; Fuhrman, Marco; Pham, Huyên
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2016
Optimal switching for the pairs trading rule: a viscosity solutions approach. Zbl 1338.91134
Ngo, Minh-Man; Pham, Huyên
2016
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications. Zbl 1433.49030
Pham, Huyên
2016
Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump. Zbl 1338.60118
Fuhrman, Marco; Pham, Huyên; Zeni, Federica
2016
Discrete time McKean-Vlasov control problem: a dynamic programming approach. Zbl 1360.49018
Pham, Huyên; Wei, Xiaoli
2016
An optimal trading problem in intraday electricity markets. Zbl 1332.35363
Aïd, René; Gruet, Pierre; Pham, Huyên
2016
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE. Zbl 1333.60150
Kharroubi, Idris; Pham, Huyên
2015
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps. Zbl 1323.65076
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
2015
Randomized and backward SDE representation for optimal control of non-Markovian SDEs. Zbl 1322.60087
Fuhrman, Marco; Pham, Huyên
2015
Optimal high-frequency trading in a pro rata microstructure with predictive information. Zbl 1331.91166
Guilbaud, Fabien; Pham, Huyên
2015
High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172
Fodra, Pietro; Pham, Huyên
2015
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games. Zbl 1325.60087
Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên
2015
Semi-Markov model for market microstructure. Zbl 1396.91218
Fodra, Pietro; Pham, Huyên
2015
Feynman-Kac representation of fully nonlinear PDEs and applications. Zbl 1322.60133
Pham, Huyên
2015
Explicit investment rules with time-to-build and uncertainty. Zbl 1402.91658
Aïd, René; Federico, Salvatore; Pham, Huyên; Villeneuve, Bertrand
2015
Long time asymptotics for optimal investment. Zbl 1418.91486
Pham, Huyên
2015
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
2014
A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217
Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
2014
Characterization of the optimal boundaries in reversible investment problems. Zbl 1300.93184
Federico, Salvatore; Pham, Huyên
2014
Investment/consumption problem in illiquid markets with regime-switching. Zbl 1297.49040
Gassiat, Paul; Gozzi, Fausto; Pham, Huyên
2014
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
2013
Optimal investment under multiple defaults risk: a BSDE-decomposition approach. Zbl 1269.91075
Jiao, Ying; Kharroubi, Idris; Pham, Huyên
2013
Time discretization and quantization methods for optimal multiple switching problem. Zbl 1245.65008
Gassiat, Paul; Kharroubi, Idris; Pham, Huyên
2012
Swing options valuation: a BSDE with constrained jumps approach. Zbl 1247.91179
Bernhart, Marie; Pham, Huyên; Tankov, Peter; Warin, Xavier
2012
Optimal investment with counterparty risk: a default-density model approach. Zbl 1303.91159
Jiao, Ying; Pham, Huyên
2011
Portfolio optimization under partial observation: theoretical and numerical aspects. Zbl 1458.62250
Pham, H.
2011
Optimal consumption policies in illiquid markets. Zbl 1303.91154
Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; Tankov, Peter
2011
Optimal investment on finite horizon with random discrete order flow in illiquid markets. Zbl 1210.91121
Gassiat, Paul; Pham, Huyên; Sîrbu, Mihai
2011
Backward SDEs with constrained jumps and quasi-variational inequalities. Zbl 1205.60114
Kharroubi, Idris; Ma, Jin; Pham, Huyên; Zhang, Jianfeng
2010
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management. Zbl 1196.60141
Pham, Huyên
2010
Continuous-time stochastic control and optimization with financial applications. Translation from the 2007 French original. Zbl 1165.93039
Pham, Huyên
2009
Optimal switching over multiple regimes. Zbl 1205.60089
Pham, Huyên; Vath, Vathana Ly; Zhou, Xun Yu
2009
Impulse control problem on finite horizon with execution delay. Zbl 1159.93361
Bruder, Benjamin; Pham, Huyên
2009
A coupled system of integrodifferential equations arising in liquidity risk model. Zbl 1167.49036
Pham, Huyên; Tankov, Peter
2009
Numerial approximation by quantization of control problems in finance under partial observations. Zbl 1180.91310
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J.
2009
A model of optimal consumption under liquidity risk with random trading times. Zbl 1214.91107
Pham, Huyên; Tankov, Peter
2008
A mixed singular/switching control problem for a dividend policy with reversible technology investment. Zbl 1141.60020
Vath, Vathana Ly; Pham, Huyên; Villeneuve, Stéphane
2008
A model of optimal portfolio selection under liquidity risk and price impact. Zbl 1145.91025
Ly Vath, Vathana; Mnif, Mohamed; Pham, Huyên
2007
Explicit solution to an optimal switching problem in the two-regime case. Zbl 1135.60314
Vath, Vathana Ly; Pham, Huyên
2007
Some applications and methods of large deviations in finance and insurance. Zbl 1151.91533
Pham, Huyên
2007
On the smooth-fit property for one-dimensional optimal switching problem. Zbl 1126.60031
Pham, Huyên
2007
Stochastic optimisation and control applied to finance. (Optimisation et contrôle stochastique appliqués à la finance.) Zbl 1143.93026
Pham, Huyên
2007
Discretization and simulation of the Zakai equation. Zbl 1139.60034
Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques
2006
Explicit solution to an irreversible investment model with a stochastic production capacity. Zbl 1103.93049
Pham, Huyên
2006
Optimal partially reversible investment with entry decision and general production function. Zbl 1077.60048
Guo, Xin; Pham, Huyên
2005
Optimal quantization methods for nonlinear filtering with discrete-time observations. Zbl 1084.62095
Pagès, Gilles; Pham, Huyên
2005
On some recent aspects of stochastic control and their applications. Zbl 1189.93146
Pham, Huyên
2005
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060
Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef
2005
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns. Zbl 1101.60026
Bouchard, Bruno; Pham, Huyên
2005
Optimal quantization methods and applications to numerical problems in finance. Zbl 1138.91467
Pagès, Gilles; Pham, Huyên; Printems, Jacques
2004
An optimal Markovian quantization algorithm for multi-dimensional stochastic control problems. Zbl 1111.65006
Pagès, Gilles; Pham, Huyên; Printems, Jacques
2004
Wealth-path dependent utility maximization in incomplete markets. Zbl 1063.91029
Bouchard, Bruno; Pham, Huyên
2004
A large deviations approach to optimal long term investment. Zbl 1035.60023
Pham, Huyên
2003
A risk-sensitive control dual approach to a large deviations control problem. Zbl 1157.60308
Pham, Huyên
2003
A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment. Zbl 1034.60057
Pham, Huyên
2003
Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints. Zbl 1014.91038
Pham, Huyên
2002
Minimizing shortfall risk and applications to finance and insurance problems. Zbl 1015.93071
Pham, Huyên
2002
Optimal portfolio in partially observed stochastic volatility models. Zbl 1043.91032
Pham, Huyên; Quenez, Marie-Claire
2001
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
2001
Mean-variance hedging for partially observed drift processes. Zbl 1153.91554
Pham, Huyên
2001
No arbitrage in discrete time under portfolio constraints. Zbl 1055.91018
Carassus, Laurence; Pham, Huyên; Touzi, Nizar
2001
Stochastic optimization under constraints. Zbl 1070.93050
Mnif, Mohammed; Pham, Huyên
2001
On quadratic hedging in continuous time. Zbl 0977.91035
Pham, Huyên
2000
Dynamic $$L^p$$-hedging in discrete time under cone constraints. Zbl 0964.91022
Pham, Huyên
2000
On super-replication in discrete time under transaction costs. Zbl 0994.60048
Koehl, P. F.; Pham, H.; Touzi, N.
2000
Sublinear price functionals under portfolio constraints. Zbl 1047.91533
Koehl, Pierre-F.; Pham, Huyên
2000
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
1999
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
1999
Large deviations in estimation of an Ornstein-Uhlenbeck model. Zbl 0978.62070
Florens-Landais, Danielle; Pham, Huyên
1999
Super-replication in stochastic volatility models under portfolio constraints. Zbl 0956.91043
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
1999
The fundamental theorem of asset pricing with cone constraints. Zbl 0937.91064
Pham, Huyên; Touzi, Nizar
1999
Hedging in discrete time under transaction costs and continuous-time limit. Zbl 0937.91063
Koehl, Pierre-F.; Pham, Huyên; Touzi, Nizar
1999
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
1998
Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
1998
Optimal stopping of controlled jump diffusion processes: A viscosity solution approach. Zbl 0899.60039
Pham, Huyên
1998
Local risk-minimization under transaction costs. Zbl 0994.91024
Lamberton, Damien; Pham, Huyên; Schweizer, Martin
1998
Large deviation probabilities in estimation of Poisson random measures. Zbl 0934.60021
Florens, Danielle; Pham, Huyên
1998
Optimal stopping, free boundary, and American option in a jump-diffusion model. Zbl 0866.60038
Pham, Huyên
1997
Large deviations in estimation of an Ornstein-Uhlenbeck model. Zbl 0873.62084
Florens-Landais, Danielle; Pham, Huyên
1997
Equilibrium state prices in a stochastic volatility model. Zbl 0915.90027
Pham, Huyên; Touzi, Nizar
1996
Large deviation probabilities in estimation of Poisson random measures. (Principe de grandes déviations pour l’estimation des mesures aléatoires de Poisson.) Zbl 0865.62058
Florens-Landais, Danielle; Pham, Huyên
1996
...and 1 more Documents
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#### Cited by 1,421 Authors

 53 Pham, Huyên 18 Bouchard, Bruno 15 Zheng, Harry H. 14 Kharroubi, Idris 13 Bayraktar, Erhan 13 Bo, Lijun 13 Cosso, Andrea 13 Ferrari, Giorgio 13 Pagès, Gilles 13 Yi, Fahuai 12 Mnif, Mohamed 12 Xiong, Dewen 11 Campi, Luciano 11 Forsyth, Peter A. 11 Jaimungal, Sebastian 11 Jiang, Hui 11 Kallsen, Jan 11 Kohlmann, Michael 9 Cartea, Álvaro 9 Federico, Salvatore 9 Hata, Hiroaki 9 Ludkovski, Michael 9 Sass, Jörn 9 Touzi, Nizar 8 Capponi, Agostino 8 Fuhrman, Marco 8 Guan, Chonghu 8 Hamadene, Saïd 8 Jeanblanc, Monique 8 Ly Vath, Vathana 8 Muhle-Karbe, Johannes 8 Reisinger, Christoph 8 Sircar, Ronnie 8 Warin, Xavier 7 Bandini, Elena 7 Gozzi, Fausto 7 Liang, Gechun 7 Lim, Thomas 7 Runggaldier, Wolfgang J. 7 Schachermayer, Walter 7 Schweizer, Martin 7 Soner, Halil Mete 7 Yoshioka, Hidekazu 6 Czichowsky, Christoph 6 de Saporta, Benoîte 6 Li, Xun 6 Nagai, Hideo 6 Øksendal, Bernt Karsten 6 Sagna, Abass 6 Santacroce, Marina 6 Sekine, Jun 6 Tankov, Peter 6 Villeneuve, Stéphane 6 Yu, Zhiyong 6 Zariphopoulou, Thaleia 5 Aïd, René 5 Arai, Takuji 5 Carmona, René A. 5 De Angelis, Tiziano 5 Di Nunno, Giulia 5 Djehiche, Boualem 5 Dolinsky, Yan 5 Dufour, François 5 Guéant, Olivier 5 Guo, Xin 5 Jarrow, Robert Alan 5 Jiao, Ying 5 Jouini, Elyès 5 Kanzow, Christian 5 Karlsen, Kenneth Hvistendahl 5 Kuhn, Christoph 5 Lehalle, Charles-Albert 5 Leung, Tim 5 Ma, Jingtang 5 Mania, Michael 5 Mostovyi, Oleksii 5 Neufeld, Ariel David 5 Roch, Alexandre F. 5 Sîrbu, Mihai 5 Siu, Tak Kuen 5 Wu, Zhen 5 Xing, Hao 5 Yaegashi, Yuta 5 Yang, Junjian 5 Ye, Zhongxing 5 Zhang, Yufei 5 Zhu, Chao 4 Averboukh, Yuriĭ Vladimirovich 4 Bank, Peter 4 Bao, Feng 4 Bensoussan, Alain 4 Bian, Baojun 4 Bishwal, Jaya P. N. 4 Bonnans, Joseph Frédéric 4 Callegaro, Giorgia 4 Ceci, Claudia 4 Chassagneux, Jean-François 4 Chen, Xiaoshan 4 Chen, Xinfu 4 Chevalier, Etienne ...and 1,321 more Authors
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#### Cited in 211 Serials

 61 Finance and Stochastics 60 Stochastic Processes and their Applications 58 The Annals of Applied Probability 56 Applied Mathematics and Optimization 54 SIAM Journal on Control and Optimization 49 International Journal of Theoretical and Applied Finance 48 Mathematical Finance 44 Quantitative Finance 36 SIAM Journal on Financial Mathematics 35 Mathematics and Financial Economics 26 Stochastic Analysis and Applications 25 Insurance Mathematics & Economics 25 Stochastics 23 Applied Mathematical Finance 22 European Journal of Operational Research 22 Mathematical Methods of Operations Research 20 Journal of Mathematical Analysis and Applications 17 Automatica 15 Journal of Mathematical Economics 14 Journal of Optimization Theory and Applications 14 Mathematics of Operations Research 13 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 11 Advances in Applied Probability 11 Journal of Computational and Applied Mathematics 11 Statistics & Probability Letters 11 Journal of Economic Dynamics & Control 9 Asia-Pacific Financial Markets 8 Journal of Applied Probability 8 Journal of Differential Equations 8 Operations Research Letters 8 Stochastics and Dynamics 8 Mathematical Control and Related Fields 7 Numerische Mathematik 7 Annals of Operations Research 7 Review of Derivatives Research 6 Applied Mathematics and Computation 6 Journal of Statistical Planning and Inference 6 Systems & Control Letters 6 Mathematical Problems in Engineering 5 International Journal of Control 5 European Journal of Applied Mathematics 5 SIAM Journal on Scientific Computing 5 Discrete and Continuous Dynamical Systems. Series B 5 Decisions in Economics and Finance 5 Annals of Finance 4 SIAM Journal on Numerical Analysis 4 Acta Applicandae Mathematicae 4 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire 4 Optimization 4 Journal of Theoretical Probability 4 Japan Journal of Industrial and Applied Mathematics 4 Journal of Inequalities and Applications 4 Discrete Dynamics in Nature and Society 4 Stochastic Models 4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 4 Probability, Uncertainty and Quantitative Risk 3 Computers & Mathematics with Applications 3 Theory of Probability and its Applications 3 The Annals of Probability 3 International Journal of Mathematics and Mathematical Sciences 3 Mathematics and Computers in Simulation 3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 3 International Journal of Computer Mathematics 3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 3 Mathematical Programming. Series A. Series B 3 Potential Analysis 3 Journal of Mathematical Sciences (New York) 3 Random Operators and Stochastic Equations 3 NoDEA. Nonlinear Differential Equations and Applications 3 Monte Carlo Methods and Applications 3 Bernoulli 3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 3 Scandinavian Actuarial Journal 3 Nonlinear Analysis. Hybrid Systems 3 Set-Valued and Variational Analysis 3 International Journal of Stochastic Analysis 3 Journal of Probability and Statistics 3 Dynamic Games and Applications 2 Journal of the Franklin Institute 2 Journal of Approximation Theory 2 Applied Numerical Mathematics 2 Probability Theory and Related Fields 2 Journal of Statistical Computation and Simulation 2 Computational Optimization and Applications 2 Computational Economics 2 Applied Mathematics. Series B (English Edition) 2 Complexity 2 Abstract and Applied Analysis 2 Acta Mathematica Sinica. English Series 2 Methodology and Computing in Applied Probability 2 Nonlinear Analysis. Real World Applications 2 Journal of Systems Science and Complexity 2 Multiscale Modeling & Simulation 2 Journal of Industrial and Management Optimization 2 Journal of Biological Dynamics 2 Frontiers of Mathematics in China 2 Communications in Computational Physics 2 Asian Journal of Control 2 Statistics & Risk Modeling 2 Journal of Computational Dynamics ...and 111 more Serials
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#### Cited in 32 Fields

 851 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 662 Probability theory and stochastic processes (60-XX) 470 Systems theory; control (93-XX) 287 Calculus of variations and optimal control; optimization (49-XX) 161 Partial differential equations (35-XX) 130 Operations research, mathematical programming (90-XX) 96 Numerical analysis (65-XX) 87 Statistics (62-XX) 21 Integral equations (45-XX) 13 Operator theory (47-XX) 11 Biology and other natural sciences (92-XX) 10 Computer science (68-XX) 7 Approximations and expansions (41-XX) 7 Statistical mechanics, structure of matter (82-XX) 5 Ordinary differential equations (34-XX) 5 Functional analysis (46-XX) 5 Information and communication theory, circuits (94-XX) 4 Dynamical systems and ergodic theory (37-XX) 3 Measure and integration (28-XX) 2 General and overarching topics; collections (00-XX) 2 Integral transforms, operational calculus (44-XX) 2 Convex and discrete geometry (52-XX) 2 Fluid mechanics (76-XX) 2 Quantum theory (81-XX) 1 Combinatorics (05-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Algebraic geometry (14-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 General topology (54-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Mechanics of deformable solids (74-XX)

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