My research is on decisions under uncertainty and I work on related problems in stochastic optimal control, Markov decision processes, nonlinear partial differential equations, probability theory, mathematical finance and financial economics. Recently, I am interested in modern computational approaches to high dimensional stochastic optimal control and mean-field (or McKean-Vlasov) stochastic optimal control.
I have published in leading journals of many fields including Mathematics,Optimal Control, Applied mathematics, Financial Engineering, Economics, Finance, Business.
The following papers illustrate the current interests:
- Synchronization in a Kuramoto Mean Field Game, (with Rene Carmona and Quentin Cormier), arXiv:22010.12912, preprint, (2022).
- Neural Optimal Stopping Boundary, (with Max Reppen and Valentin Tissot-Daguette), arXiv:2205.04595, preprint, (2022).
- Deep Stochastic Optimization in Finance, (with Max Reppen and Valentin Tissot-Daguette), arXiv:2205.04604, Digital Finance, (2022).
- Deep Empirical Risk Minimization in finance: looking into the future, (with Max Reppen), arXiv:2011.09349v1, Mathematical Finance, (2022).
