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René Carmona 0001
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Publications
- 2023
- [j29]René Carmona, Laura Leal:
Optimal Execution with Quadratic Variation Inventories. SIAM J. Financial Math. 14(3): 751-776 (2023) - [i9]René A. Carmona, Gökçe Dayanikli, François Delarue, Mathieu Laurière:
From Nash Equilibrium to Social Optimum and vice versa: a Mean Field Perspective. CoRR abs/2312.10526 (2023) - 2022
- [j28]Alexander Aurell, René Carmona, Gökçe Dayanikli, Mathieu Laurière:
Finite State Graphon Games with Applications to Epidemics. Dyn. Games Appl. 12(1): 49-81 (2022) - [j27]René Carmona, Gökçe Dayanikli, Mathieu Laurière:
Mean Field Models to Regulate Carbon Emissions in Electricity Production. Dyn. Games Appl. 12(3): 897-928 (2022) - [j26]René Carmona, Daniel B. Cooney, Christy V. Graves, Mathieu Laurière:
Stochastic Graphon Games: I. The Static Case. Math. Oper. Res. 47(1): 750-778 (2022) - [j25]Alexander Aurell, René Carmona, Gökçe Dayanikli, Mathieu Laurière:
Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach. SIAM J. Control. Optim. 60(2): S294-S322 (2022) - [i8]René Carmona, Gökçe Dayanikli:
Mean Field Model for an Advertising Competition in a Duopoly. CoRR abs/2201.05182 (2022) - 2021
- [j24]René Carmona, Gökçe Dayanikli:
Mean Field Game Model for an Advertising Competition in a Duopoly. IGTR 23(4): 2150024:1-2150024:26 (2021) - [j21]René Carmona, Mathieu Laurière:
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case. SIAM J. Numer. Anal. 59(3): 1455-1485 (2021) - [i7]René Carmona, Mathieu Laurière:
Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance. CoRR abs/2107.04568 (2021) - 2020
- [j20]René Carmona, Christy V. Graves:
Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game. Dyn. Games Appl. 10(1): 79-99 (2020) - [c1]René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan:
Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games. CDC 2020: 1038-1043 - [i6]René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan:
Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions and Policy Optimization. CoRR abs/2009.00578 (2020) - [i5]René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan:
Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games. CoRR abs/2009.02146 (2020) - 2019
- [i4]René Carmona, Mathieu Laurière:
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: I - The Ergodic Case. CoRR abs/1907.05980 (2019) - [i3]René Carmona, Mathieu Laurière:
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II - The Finite Horizon Case. CoRR abs/1908.01613 (2019) - [i2]René Carmona, Mathieu Laurière, Zongjun Tan:
Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods. CoRR abs/1910.04295 (2019) - [i1]René Carmona, Mathieu Laurière, Zongjun Tan:
Model-Free Mean-Field Reinforcement Learning: Mean-Field MDP and Mean-Field Q-Learning. CoRR abs/1910.12802 (2019) - 2018
- [j18]René Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi, Li-Hsien Sun:
Systemic Risk and Stochastic Games with Delay. J. Optim. Theory Appl. 179(2): 366-399 (2018) - 2013
- [j16]René Carmona, François Delarue:
Probabilistic Analysis of Mean-Field Games. SIAM J. Control. Optim. 51(4): 2705-2734 (2013) - 2010
- [j13]René Carmona, Ronnie Sircar:
Message From the Editors-in-Chief. SIAM J. Financial Math. 1(1): 1 (2010) - 2009
- [j10]René Carmona, Jean-Pierre Fouque, Douglas Vestal:
Interacting particle systems for the computation of rare credit portfolio losses. Finance Stochastics 13(4): 613-633 (2009)
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