Huyên Pham

43 papers Journal 42Unranked 1
YearRankTypeTitle / Venue / Authors
2026 J jnl
LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling.
CoRR
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper, Othmane Mazhar, Huyên Pham, Nizar Touzi
2026 J jnl
Model-free policy gradient for discrete-time mean-field control.
CoRR
Matthieu Meunier, Huyên Pham, Christoph Reisinger
2025 J jnl
Actor-Critic learning for mean-field control in continuous time.
J. Mach. Learn. Res.
Noufel Frikha, Maximilien Germain, Mathieu Laurière, Huyên Pham, Xuanye Song
2025 — conf
Robust time series generation via Schrödinger Bridge: a comprehensive evaluation.
ICAIF
Alexandre Alouadi, Baptiste Barreau, Laurent Carlier, Huyên Pham
2025 J jnl
Robust time series generation via Schrödinger Bridge: a comprehensive evaluation.
CoRR
Alexandre Alouadi, Baptiste Barreau, Laurent Carlier, Huyên Pham
2023 J jnl
Actor critic learning algorithms for mean-field control with moment neural networks.
CoRR
Huyên Pham, Xavier Warin
2023 J jnl
Mean-field neural networks: Learning mappings on Wasserstein space.
Neural Networks
Huyên Pham, Xavier Warin
2022 J jnl
Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs.
SIAM J. Sci. Comput.
Maximilien Germain, Huyên Pham, Xavier Warin
2022 J jnl
DeepSets and Their Derivative Networks for Solving Symmetric PDEs.
J. Sci. Comput.
Maximilien Germain, Mathieu Laurière, Huyên Pham, Xavier Warin
2022 J jnl
Rate of convergence for particle approximation of PDEs in Wasserstein space.
J. Appl. Probab.
Maximilien Germain, Huyên Pham, Xavier Warin
2021 J jnl
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis.
SIAM J. Numer. Anal.
Côme Huré, Huyên Pham, Achref Bachouch, Nicolas Langrené
2021 J jnl
Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems.
SIAM J. Control. Optim.
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
2021 J jnl
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models.
SIAM J. Financial Math.
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
2020 J jnl
A McKean-Vlasov approach to distributed electricity generation development.
Math. Methods Oper. Res.
René Aïd, Matteo Basei, Huyên Pham
2020 J jnl
Deep backward schemes for high-dimensional nonlinear PDEs.
Math. Comput.
Côme Huré, Huyên Pham, Xavier Warin
2019 J jnl
A Weak Martingale Approach to Linear-Quadratic McKean-Vlasov Stochastic Control Problems.
J. Optim. Theory Appl.
Matteo Basei, Huyên Pham
2019 J jnl
Neural networks-based backward scheme for fully nonlinear PDEs.
CoRR
Huyên Pham, Xavier Warin
2019 J jnl
Some machine learning schemes for high-dimensional nonlinear PDEs.
CoRR
Côme Huré, Huyên Pham, Xavier Warin
2017 J jnl
Dynamic Programming for Optimal Control of Stochastic McKean-Vlasov Dynamics.
SIAM J. Control. Optim.
Huyên Pham, Xiaoli Wei
2017 J jnl
Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities.
SIAM J. Control. Optim.
Erhan Bayraktar, Andrea Cosso, Huyên Pham
2016 J jnl
Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions.
SIAM J. Control. Optim.
Erhan Bayraktar, Andrea Cosso, Huyên Pham
2015 J jnl
High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model.
SIAM J. Financial Math.
Pietro Fodra, Huyên Pham
2014 J jnl
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension.
SIAM J. Financial Math.
René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham
2014 J jnl
A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization.
Monte Carlo Methods Appl.
Idris Kharroubi, Nicolas Langrené, Huyên Pham
2014 J jnl
Characterization of the Optimal Boundaries in Reversible Investment Problems.
SIAM J. Control. Optim.
Salvatore Federico, Huyên Pham
2014 J jnl
Investment/Consumption Problem in Illiquid Markets with Regime-Switching.
SIAM J. Control. Optim.
Paul Gassiat, Fausto Gozzi, Huyên Pham
2011 J jnl
Optimal consumption policies in illiquid markets.
Finance Stochastics
Alessandra Cretarola, Fausto Gozzi, Huyên Pham, Peter Tankov
2011 J jnl
Optimal investment with counterparty risk: a default-density model approach.
Finance Stochastics
Ying Jiao, Huyên Pham
2010 J jnl
Optimal Portfolio Liquidation with Execution Cost and Risk.
SIAM J. Financial Math.
Idris Kharroubi, Huyên Pham
2009 J jnl
Optimal Switching over Multiple Regimes.
SIAM J. Control. Optim.
Huyên Pham, Vathana Ly Vath, Xun Yu Zhou
2007 J jnl
A model of optimal portfolio selection under liquidity risk and price impact.
Finance Stochastics
Vathana Ly Vath, Mohamed Mnif, Huyên Pham
2007 J jnl
Explicit Solution to an Optimal Switching Problem in the Two-Regime Case.
SIAM J. Control. Optim.
Vathana Ly Vath, Huyên Pham
2006 J jnl
Discretization and Simulation of the Zakai Equation.
SIAM J. Numer. Anal.
Emmanuel Gobet, Gilles Pagès, Huyên Pham, Jacques Printems
2005 J jnl
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation.
Monte Carlo Methods Appl.
Huyên Pham, Wolfgang J. Runggaldier, Afef Sellami
2004 J jnl
Wealth-path dependent utility maximization in incomplete markets.
Finance Stochastics
Bruno Bouchard, Huyên Pham
2003 J jnl
A large deviations approach to optimal long term investment.
Finance Stochastics
Huyên Pham
2003 J jnl
A risk-sensitive control dual approach to a large deviations control problem.
Syst. Control. Lett.
Huyên Pham
2000 J jnl
Dynamic L [sup p]-Hedging in Discrete Time under Cone Constraints.
SIAM J. Control. Optim.
Huyên Pham
2000 J jnl
On quadratic hedging in continuous time.
Math. Methods Oper. Res.
Huyên Pham
1999 J jnl
A closed-form solution to the problem of super-replication under transaction costs.
Finance Stochastics
Jaksa Cvitanic, Huyên Pham, Nizar Touzi
1999 J jnl
Dynamic programming and mean-variance hedging.
Finance Stochastics
Jean Paul Laurent, Huyên Pham
1998 J jnl
Local Risk-Minimization Under Transaction Costs.
Math. Oper. Res.
Damien Lamberton, Huyên Pham, Martin Schweizer
1998 J jnl
Mean-variance hedging for continuous processes: New proofs and examples.
Finance Stochastics
Huyên Pham, Thorsten Rheinländer, Martin Schweizer