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Publication DateArticle TitleAuthor(s)
1-Jan-2017Simulation of implied volatility surfaces via tangent Lévy modelsCarmona, Rene; Ma, Y; Nadtochiy, S
1-Jun-2016A probabilistic approach to mean field games with major and minor playersCarmona, Rene; Zhu, X
Apr-2013The multi-armed bandit problem with covariatesPerchet, Vianney; Rigollet, Philippe
1-Aug-2017An Alternative Approach to Mean Field Game with Major and Minor Players, and Applications to Herders ImpactsCarmona, Rene; Wang, P
1-Jan-2014The master equation for large population equilibriumsCarmona, Rene; Delarue, F
1-Jan-2015Forward-backward stochastic differential equations and controlled Mckean-Vlasov dynamicsCarmona, Rene; Delarue, F
1-Jan-2015Mean field games and systemic riskCarmona, Rene; Fouque, JP; Sun, LH
Apr-2013The multi-armed bandit problem with covariatesPerchet, Vianney; Rigollet, Philippe
Apr-2012Kullback–Leibler aggregation and misspecified generalized linear modelsRigollet, Philippe
Oct-2012MINIMAX ESTIMATION OF LARGE COVARIANCE MATRICES UNDER l(1)-NORM COMMENTRigollet, Philippe; Tsybakov, Alexandre B.