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Browsing by Author Carmona, Rene

Showing results 1 to 19 of 19
Publication DateArticle TitleAuthor(s)
1-Aug-2017An Alternative Approach to Mean Field Game with Major and Minor Players, and Applications to Herders ImpactsCarmona, Rene; Wang, P
1-Jan-2013Control of McKean-Vlasov dynamics versus mean field gamesCarmona, Rene; Delarue, F; Lachapelle, A
1-Jan-2013Electricity price modeling and asset valuation: A multi-fuel structural approachCarmona, Rene; Coulon, M; Schwarz, D
2019Extended mean field control problems: Stochastic maximum principle and transport perspectiveAcciaio, B; Backhoff-Veraguas, J; Carmona, Rene
1-Jan-2015Forward-backward stochastic differential equations and controlled Mckean-Vlasov dynamicsCarmona, Rene; Delarue, F
1-Mar-2020Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field GameCarmona, Rene; Graves, CV
1-Jan-2014The master equation for large population equilibriumsCarmona, Rene; Delarue, F
1-Jan-2015Mean field games and systemic riskCarmona, Rene; Fouque, JP; Sun, LH
1-Aug-2017Mean Field Games of Timing and Models for Bank RunsCarmona, Rene; Delarue, F; Lacker, D
1-Nov-2016Mean field games with common noiseCarmona, Rene; Delarue, F; Lacker, D
6-Dec-2013Probabilistic analysis of mean-field gamesCarmona, Rene; Delarue, F
1-Jun-2016A probabilistic approach to mean field games with major and minor playersCarmona, Rene; Zhu, X
1-Jan-2015A probabilistic weak formulation of mean field games and applicationsCarmona, Rene; Lacker, D
8-Dec-2013The Self-Financing Equation in High Frequency MarketsCarmona, Rene; Webster, Kevin
1-Jan-2017Simulation of implied volatility surfaces via tangent Lévy modelsCarmona, Rene; Ma, Y; Nadtochiy, S
1-Oct-2013Singular FBSDEs and scalar conservation laws driven by diffusion processesCarmona, Rene; Delarue, F
1-Jun-2013Singular forward-backward stochastic differential equations and emissions derivativesCarmona, Rene; Delarue, F; Espinosa, GE; Touzi, N
1-Nov-2018Systemic Risk and Stochastic Games with DelayCarmona, Rene; Fouque, JP; Mousavi, SM; Sun, LH
1-Dec-2012The valuation of clean spread options: Linking electricity, emissions and fuelsCarmona, Rene; Coulon, M; Schwarz, D