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2020 – today
- 2024
[i6]Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière, Mengrui Zhang:
Analysis of Multiscale Reinforcement Q-Learning Algorithms for Mean Field Control Games. CoRR abs/2405.17017 (2024)- 2023
- [i5]Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli:
Multivariate Systemic Risk Measures and Deep Learning Algorithms. CoRR abs/2302.10183 (2023) - [i4]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
- [j28]Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière
:
Unified reinforcement Q-learning for mean field game and control problems. Math. Control. Signals Syst. 34(2): 217-271 (2022) - [j27]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) - [j26]Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito:
Optimal Trading with Signals and Stochastic Price Impact. SIAM J. Financial Math. 13(3): 944-968 (2022) - [c3]Yichen Feng, Ming Min, Jean-Pierre Fouque:
Deep Learning for Systemic Risk Measures. ICAIF 2022: 62-69 - [c2]Jimin Lin, Andrea Angiuli, Nils Detering, Jean-Pierre Fouque, Mathieu Laurière:
Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game. ICAIF 2022: 369-376 - [i3]Yichen Feng, Ming Min, Jean-Pierre Fouque:
Deep Learning for Systemic Risk Measures. CoRR abs/2207.00739 (2022) - 2021
- [i2]Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière:
Reinforcement Learning for Mean Field Games, with Applications to Economics. CoRR abs/2106.13755 (2021) - 2020
- [j25]Jean-Pierre Fouque, Zhaoyu Zhang:
Deep Learning Methods for Mean Field Control Problems With Delay. Frontiers Appl. Math. Stat. 6: 11 (2020) - [j24]Jean-Pierre Fouque, Ruimeng Hu:
Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment. Multiscale Model. Simul. 18(3): 1318-1342 (2020) - [i1]Andrea Angiuli, Jean-Pierre Fouque, Mathieu Laurière:
Unified Reinforcement Q-Learning for Mean Field Game and Control Problems. CoRR abs/2006.13912 (2020)
2010 – 2019
- 2018
- [j23]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) - [j22]Jean-Pierre Fouque, Ruimeng Hu:
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment. SIAM J. Financial Math. 9(2): 564-601 (2018) - [j21]Jean-Pierre Fouque, Ning Ning:
Uncertain Volatility Models with Stochastic Bounds. SIAM J. Financial Math. 9(4): 1175-1207 (2018) - 2017
- [j20]Jean-Pierre Fouque, Alex Papanicolaou, Ronnie Sircar:
Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions. SIAM J. Control. Optim. 55(3): 1534-1566 (2017) - [j19]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) - 2016
- [j18]Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar:
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Finance Stochastics 20(3): 543-588 (2016) - [j17]Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong:
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM J. Control. Optim. 54(5): 2309-2338 (2016) - 2014
- [j16]Chuan-Hsiang Han, German Molina, Jean-Pierre Fouque:
McMC estimation of multiscale stochastic volatility models with applications. Math. Comput. Simul. 103: 1-11 (2014) - [j15]Jean-Pierre Fouque, Bin Ren:
Approximation for Option Prices under Uncertain Volatility. SIAM J. Financial Math. 5(1): 360-383 (2014) - 2013
- [j14]Jean-Pierre Fouque, Tomoyuki Ichiba:
Stability in a Model of Interbank Lending. SIAM J. Financial Math. 4(1): 784-803 (2013) - 2011
- [j13]Jean-Pierre Fouque, Matthew J. Lorig:
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model. SIAM J. Financial Math. 2(1): 221-254 (2011) - [j12]Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig:
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. 2(1): 665-691 (2011) - 2010
- [j11]Jin Feng, Martin Forde, Jean-Pierre Fouque:
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model. SIAM J. Financial Math. 1(1): 126-141 (2010)
2000 – 2009
- 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) - [j9]Jean-Pierre Fouque, Ronnie Sircar, Knut Sølna:
Multiname and Multiscale Default Modeling. Multiscale Model. Simul. 7(4): 1956-1978 (2009) - 2005
- [c1]Oleg V. Poliannikov, Jean-Pierre Fouque:
Detection of a reflective layer in a random layered medium using time reversal [acoustic measurement method]. ICASSP (4) 2005: 273-276 - 2004
- [j8]Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna:
Maturity cycles in implied volatility. Finance Stochastics 8(4): 451-477 (2004) - [j7]André Nachbin, Jean-Pierre Fouque, Josselin Garnier:
Time Reversal for Dispersive Waves in Random Media. SIAM J. Appl. Math. 64(5): 1810-1838 (2004) - 2003
- [j6]Jean-Pierre Fouque, Knut Sølna:
Time-Reversal Aperture Enhancement. Multiscale Model. Simul. 1(2): 239-259 (2003) - [j5]Jean-Pierre Fouque, André Nachbin:
Time-Reversed Refocusing of Surface Water Waves. Multiscale Model. Simul. 1(4): 609-629 (2003) - [j4]Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna:
Multiscale Stochastic Volatility Asymptotics. Multiscale Model. Simul. 2(1): 22-42 (2003) - [j3]George Papanicolaou, Jean-Pierre Fouque, Knut Solna, Ronnie Sircar:
Singular Perturbations in Option Pricing. SIAM J. Appl. Math. 63(5): 1648-1665 (2003)
1990 – 1999
- 1998
- [j2]José Chillan, Jean-Pierre Fouque:
Pressure Fields Generated by Acoustical Pulses Propagating in Randomly Layered Media. SIAM J. Appl. Math. 58(5): 1532-1546 (1998) - 1996
- [j1]F. Bailly, J. F. Clouet, Jean-Pierre Fouque:
Parabolic and Gaussian White Noise Approximation for Wave Propagation in Random Media. SIAM J. Appl. Math. 56(5): 1445-1470 (1996)
Coauthor Index
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