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Mathematics

D-Index
49
Citations
8728
World Ranking
1155
National Ranking
56

Overview

Huyên Pham is affiliated with École Polytechnique in France and has contributed to various fields including Economics, Econometrics and Finance, Physics and Astronomy, and Computer Science. Their work spans several subfields such as Statistical and Nonlinear Physics, Finance, Artificial Intelligence, Computer Vision and Pattern Recognition, and Ocean Engineering.

The main topics addressed in Huyên Pham's research include:

  • Model Reduction and Neural Networks
  • Stochastic processes and financial applications
  • Reservoir Engineering and Simulation Methods
  • Financial Markets and Investment Strategies
  • Monetary Policy and Economic Impact
  • Probabilistic and Robust Engineering Design
  • Generative Adversarial Networks and Image Synthesis

Recent publications by Pham and frequent collaborators highlight a focus on neural networks, finance, and nonlinear partial differential equations:

  • Mean-field neural networks: Learning mappings on Wasserstein space, 2023, Neural Networks
  • Differential learning methods for solving fully nonlinear PDEs, 2023, Digital Finance
  • Mean-Variance Portfolio Selection with Tracking Error Penalization, 2020, MDPI (MDPI AG)

Other works related primarily to financial mathematics and applied computational methods have appeared in venues such as SSRN Electronic Journal and arXiv (Cornell University). The frequent publication outlets associated with Pham's work include:

  • arXiv (Cornell University)
  • Neural Networks
  • Digital Finance
  • MDPI (MDPI AG)
  • SSRN Electronic Journal

Pham collaborates regularly with several researchers, indicating interdisciplinary and collaborative research efforts. These frequent coauthors include:

  • Grégoire Loeper
  • Xavier Warin
  • William Lefebvre
  • Willliam Lefebvre
  • Délia Coculescu

Overall, Pham's scholarly output integrates advanced quantitative methods, particularly in model reduction, neural networks, and financial applications involving stochastic processes. The diversity of publication venues and coauthor networks emphasize a wide engagement with both theoretical and applied dimensions of economics, finance, and computational science.

Best Publications

  • Optimal stopping, free boundary, and American option in a jump-diffusion model

    Huyên Pham

  • Partial Differential Equations

    Huyên Pham

  • Mean‐Variance Hedging and Numéraire

    Christian Gourieroux;Jean Paul Laurent;Huyên Pham

  • Optimal high frequency trading with limit and market orders

    Fabien Guilbaud;Huyen Pham

  • Dynamic programming and mean-variance hedging

    Jean Paul Laurent;Huyên Pham

  • Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

    Huyên Pham;Xiaoli Wei

  • Optimal quantization methods and applications to numerical problems in finance

    Gilles Pagès;Huyên Pham;Jacques Printems

  • Mean-variance hedging for continuous processes: New proofs and examples

    Huyên Pham;Thorsten Rheinländer;Martin Schweizer

  • A closed-form solution to the problem of super-replication under transaction costs

    Jakša Cvitanić;Huyên Pham;Nizar Touzi

  • A model of optimal portfolio selection under liquidity risk and price impact

    Vathana Ly Vath;Mohamed Mnif;Huyên Pham

  • Super-replication in stochastic volatility models under portfolio constraints

    Jakša Cvitanić;Huyên Pham;Nizar Touzi

  • On quadratic hedging in continuous time

    Huyên Pham

  • Bellman equation and viscosity solutions for mean-field stochastic control problem

    Huyên Pham;Xiaoli Wei

  • On some recent aspects of stochastic control and their applications

    Huyên Pham

  • Optimal Portfolio in Partially Observed Stochastic Volatility Models

    Huy ^en Pham;Marie-Claire Quenez

  • Optimal Partially Reversible Investment with Entry Decision and General Production Function

    Xin Guo;Huyên Pham

  • Backward SDEs with constrained jumps and quasi-variational inequalities

    Idris Kharroubi;Jin Ma;Huyên Pham;Jianfeng Zhang

  • The fundamental theorem of asset pricing with cone constraints

    Huyên Pham;Nizar Touzi

  • Dual formulation of the utility maximization problem under transaction costs

    Griselda Deelstra;Huyên Pham;Nizar Touzi

  • A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization

    Idris Kharroubi;Nicolas Langrené;Huyên Pham

  • Optimal quantization methods for nonlinear filtering with discrete-time observations

    Gilles Pagès;Huyên Pham

Frequent Co-Authors

Nizar Touzi
Nizar Touzi École Polytechnique
Gilles Pagès
Gilles Pagès Sorbonne University
Jakša Cvitanić
Jakša Cvitanić California Institute of Technology
Christian Gourieroux
Christian Gourieroux Toulouse School of Economics
Jianfeng Zhang
Jianfeng Zhang University of Southern California
Emmanuel Gobet
Emmanuel Gobet École Polytechnique

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