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Jean-Pierre Fouque

Name: dblp XML data dump
Creator: Schloss Dagstuhl - Leibniz Center for Informatics
Published: 1993
License: https://creativecommons.org/publicdomain/zero/1.0/
Keywords: dblp, XML, computer science, scholarly publications, metadata

◀ ▶ joint publications with Ruimeng Hu

> Home > Persons > Jean-Pierre Fouque

Publications

2023
[i4]
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  - journals/corr/abs-2309-10953
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  - https://dblp.org/rec/journals/corr/abs-2309-10953
Andrea Angiuli, Jean-Pierre Fouque, Ruimeng Hu, Alan Raydan:
Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces. CoRR abs/2309.10953 (2023)
2022
[j27]
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  - journals/siamfm/FouqueHS22
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  - https://dblp.org/rec/journals/siamfm/FouqueHS22
Jean-Pierre Fouque, Ruimeng Hu, Ronnie Sircar:
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets. SIAM J. Financial Math. 13(1): 109-128 (2022)
2020
[j24]
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  - journals/mmas/FouqueH20
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  - https://dblp.org/rec/journals/mmas/FouqueH20
Jean-Pierre Fouque, Ruimeng Hu:
Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment. Multiscale Model. Simul. 18(3): 1318-1342 (2020)
2018
[j22]
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  - journals/siamfm/FouqueH18
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Jean-Pierre Fouque, Ruimeng Hu:
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment. SIAM J. Financial Math. 9(2): 564-601 (2018)
2017
[j19]
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  - journals/siamco/FouqueH17
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Jean-Pierre Fouque, Ruimeng Hu:
Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment. SIAM J. Control. Optim. 55(3): 1990-2023 (2017)

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