Jean-Pierre Fouque

39 papers Journal 36Unranked 3
YearRankTypeTitle / Venue / Authors
2025 J jnl
Convergence of Actor-Critic Learning for Mean Field Games and Mean Field Control in Continuous Spaces.
CoRR
Jean-Pierre Fouque, Mathieu Laurière, Mengrui Zhang
2025 J jnl
Hashpower allocation in Pay-per-Share blockchain mining pools.
CoRR
Pierre-Olivier Goffard, Hansjörg Albrecher, Jean-Pierre Fouque
2024 J jnl
Analysis of Multiscale Reinforcement Q-Learning Algorithms for Mean Field Control Games.
CoRR
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière, Mengrui Zhang
2023 J jnl
Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces.
CoRR
Andrea Angiuli, Jean-Pierre Fouque, Ruimeng Hu, Alan Raydan
2023 J jnl
Multivariate Systemic Risk Measures and Deep Learning Algorithms.
CoRR
Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli
2022 — conf
Deep Learning for Systemic Risk Measures.
ICAIF
Yichen Feng, Ming Min, Jean-Pierre Fouque
2022 J jnl
Deep Learning for Systemic Risk Measures.
CoRR
Yichen Feng, Ming Min, Jean-Pierre Fouque
2022 J jnl
Optimal Trading with Signals and Stochastic Price Impact.
SIAM J. Financial Math.
Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
2022 — conf
Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game.
ICAIF
Jimin Lin, Andrea Angiuli, Nils Detering, Jean-Pierre Fouque, Mathieu Laurière
2022 J jnl
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets.
SIAM J. Financial Math.
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar
2022 J jnl
Unified reinforcement Q-learning for mean field game and control problems.
Math. Control. Signals Syst.
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière
2021 J jnl
Reinforcement Learning for Mean Field Games, with Applications to Economics.
CoRR
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière
2020 J jnl
Deep Learning Methods for Mean Field Control Problems With Delay.
Frontiers Appl. Math. Stat.
Jean-Pierre Fouque, Zhaoyu Zhang
2020 J jnl
Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment.
Multiscale Model. Simul.
Jean-Pierre Fouque, Ruimeng Hu
2020 J jnl
Unified Reinforcement Q-Learning for Mean Field Game and Control Problems.
CoRR
Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière
2018 J jnl
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment.
SIAM J. Financial Math.
Jean-Pierre Fouque, Ruimeng Hu
2018 J jnl
Systemic Risk and Stochastic Games with Delay.
J. Optim. Theory Appl.
René Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi, Li-Hsien Sun
2018 J jnl
Uncertain Volatility Models with Stochastic Bounds.
SIAM J. Financial Math.
Jean-Pierre Fouque, Ning Ning
2017 J jnl
Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment.
SIAM J. Control. Optim.
Jean-Pierre Fouque, Ruimeng Hu
2017 J jnl
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions.
SIAM J. Control. Optim.
Jean-Pierre Fouque, Alex Papanicolaou, Ronnie Sircar
2016 J jnl
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.
SIAM J. Control. Optim.
Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong
2016 J jnl
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.
Finance Stochastics
Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar
2014 J jnl
Approximation for Option Prices under Uncertain Volatility.
SIAM J. Financial Math.
Jean-Pierre Fouque, Bin Ren
2014 J jnl
McMC estimation of multiscale stochastic volatility models with applications.
Math. Comput. Simul.
Chuan-Hsiang Han, German Molina, Jean-Pierre Fouque
2013 J jnl
Stability in a Model of Interbank Lending.
SIAM J. Financial Math.
Jean-Pierre Fouque, Tomoyuki Ichiba
2011 J jnl
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model.
SIAM J. Financial Math.
Jean-Pierre Fouque, Matthew J. Lorig
2011 J jnl
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.
SIAM J. Financial Math.
Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig
2010 J jnl
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model.
SIAM J. Financial Math.
Jin Feng, Martin Forde, Jean-Pierre Fouque
2009 J jnl
Interacting particle systems for the computation of rare credit portfolio losses.
Finance Stochastics
René Carmona, Jean-Pierre Fouque, Douglas Vestal
2009 J jnl
Multiname and Multiscale Default Modeling.
Multiscale Model. Simul.
Jean-Pierre Fouque, Ronnie Sircar, Knut Sølna
2005 — conf
Detection of a reflective layer in a random layered medium using time reversal [acoustic measurement method].
ICASSP (4)
Oleg V. Poliannikov, Jean-Pierre Fouque
2004 J jnl
Maturity cycles in implied volatility.
Finance Stochastics
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
2004 J jnl
Time Reversal for Dispersive Waves in Random Media.
SIAM J. Appl. Math.
André Nachbin, Jean-Pierre Fouque, Josselin Garnier
2003 J jnl
Multiscale Stochastic Volatility Asymptotics.
Multiscale Model. Simul.
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna
2003 J jnl
Singular Perturbations in Option Pricing.
SIAM J. Appl. Math.
George Papanicolaou, Jean-Pierre Fouque, Knut Solna, Ronnie Sircar
2003 J jnl
Time-Reversal Aperture Enhancement.
Multiscale Model. Simul.
Jean-Pierre Fouque, Knut Sølna
2003 J jnl
Time-Reversed Refocusing of Surface Water Waves.
Multiscale Model. Simul.
Jean-Pierre Fouque, André Nachbin
1998 J jnl
Pressure Fields Generated by Acoustical Pulses Propagating in Randomly Layered Media.
SIAM J. Appl. Math.
José Chillan, Jean-Pierre Fouque
1996 J jnl
Parabolic and Gaussian White Noise Approximation for Wave Propagation in Random Media.
SIAM J. Appl. Math.
F. Bailly, J. F. Clouet, Jean-Pierre Fouque