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Mathematics

D-Index
57
Citations
14027
World Ranking
685
National Ranking
346

Research.com Recognitions

  • 2021 - Fellow of the American Mathematical Society For contributions to probability theory and its applications to mathematical physics, image processing and financial mathematics.
  • 2009 - SIAM Fellow For contributions to signals, statistics, and mathematical finance.

Overview

René Carmona is affiliated with Princeton University in the United States. Their research primarily focuses on the intersection of economics, econometrics, finance, and applied mathematics, with a particular emphasis on stochastic processes and financial applications.

The main fields of study in which Carmona has published include:

  • Economics, Econometrics and Finance

Within these broader fields, Carmona's work covers several subfields such as:

  • Economics and Econometrics
  • Finance
  • Management Science and Operations Research
  • Electrical and Electronic Engineering
  • Mathematical Physics

The topics Carmona frequently addresses in their work include:

  • Stochastic processes and financial applications
  • Economic theories and models
  • Complex Systems and Time Series Analysis
  • Climate Change Policy and Economics
  • Game Theory and Applications
  • Financial Markets and Investment Strategies
  • Mental Health Research Topics

Carmona has contributed to multiple publication venues, including a substantial number of works published at arXiv (Cornell University). Other frequent venues include:

  • The Annals of Applied Probability
  • Dynamic Games and Applications
  • Mathematics of Operations Research
  • SSRN Electronic Journal

Notable recent papers by Carmona include:

  • "Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games: II-the finite horizon case" (2022) in The Annals of Applied Probability
  • "Finite-State Contract Theory with a Principal and a Field of Agents" (2020) in Management Science
  • "Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case" (2021) in SIAM Journal on Numerical Analysis

Carmona has collaborated frequently with several researchers, including:

  • Mathieu Laurière
  • Gökçe Dayanıklı
  • Xinshuo Yang
  • Alexander Aurell
  • Claire Zeng

Awards recognizing Carmona's contributions include:

  • Fellow of the American Mathematical Society (2021) for contributions to probability theory and its applications to mathematical physics, image processing, and financial mathematics
  • SIAM Fellow (2009) for contributions to signals, statistics, and mathematical finance

Best Publications

  • Spectral Theory of Random Schrödinger Operators

    René Carmona;Jean Lacroix

  • Probabilistic theory of mean field games with applications

    René Carmona;François Delarue

  • Practical Time-Frequency Analysis, Volume 9: Gabor and Wavelet Transforms, with an Implementation in S

    Rene Carmona;Wen-Liang Hwang;Bruno Torresani

  • Probabilistic Analysis of Mean-Field Games

    Rene A. Carmona;François Delarue

  • Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations

    René Carmona;François Delarue

  • Characterization of signals by the ridges of their wavelet transforms

    R.A. Carmona;W.L. Hwang;B. Torresani

  • Pricing and Hedging Spread Options

    Rene A. Carmona;Valdo Durrleman

  • Multiridge detection and time-frequency reconstruction

    R.A. Carmona;W.L. Hwang;B. Torresani

  • Anderson localization for Bernoulli and other singular potentials

    Rene A. Carmona;Abel Klein;Fabio Martinelli

  • Relativistic Schrödinger operators: Asymptotic behavior of the eigenfunctions

    René Carmona;Wen Chen Masters;Barry Simon

  • Mean field games and systemic risk

    Rene A. Carmona;Jean Pierre Fouque;Li Hsien Sun

  • Parabolic Anderson Problem and Intermittency

    René A. Carmona;S. A. Molchanov

  • Control of McKean–Vlasov dynamics versus mean field games

    René Carmona;François Delarue;Aimé Lachapelle

  • Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics

    René Carmona;François Delarue

  • Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

    René Carmona;Michael R. Tehranchi

  • OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

    Rene A. Carmona;Nizar Touzi

  • Mean field games with common noise

    Rene A. Carmona;Francois Delarue;Daniel Lacker

  • A probabilistic weak formulation of mean field games and applications

    Rene A. Carmona;Daniel Lacker

  • Practical Time-Frequency Analysis

    René Carmona;Wen Liang Hwang;Bruno Torrésani

  • Valuation of energy storage: an optimal switching approach

    René Carmona;Michael Ludkovski

  • Probabilistic Theory of Mean Field Games with Applications I: Mean Field FBSDEs, Control, and Games

    René Carmona;François Delarue

Frequent Co-Authors

François Delarue
François Delarue Université Côte d'Azur
Jean-Pierre Fouque
Jean-Pierre Fouque University of California, Santa Barbara
Stanislav Molchanov
Stanislav Molchanov University of North Carolina at Charlotte
Nizar Touzi
Nizar Touzi École Polytechnique
Barry Simon
Barry Simon California Institute of Technology
David Nualart
David Nualart University of Kansas
Frederi Viens
Frederi Viens Rice University
Abel Klein
Abel Klein University of California, Irvine
Ronnie Sircar
Ronnie Sircar Princeton University
Ron D. Frostig
Ron D. Frostig University of California, Irvine

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