Jean-Pierre Fouque
University of California, Santa Barbara
H-index: 41
North America-United States
Top articles of Jean-Pierre Fouque
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Optimal investment with correlated stochastic volatility factors | Mathematical Finance | Maxim Bichuch Jean‐Pierre Fouque | 2023/4 |
Multivariate Systemic Risk Measures and Deep Learning Algorithms | arXiv preprint arXiv:2302.10183 | Alessandro Doldi Yichen Feng Jean-Pierre Fouque Marco Frittelli | 2023/2 |
Convergence of Multi-Scale Reinforcement Q-Learning Algorithms for Mean Field Game and Control Problems | arXiv preprint arXiv:2312.06659 | Andrea Angiuli Jean-Pierre Fouque Mathieu Laurière Mengrui Zhang | 2023/12/11 |
Systemic risk models for disjoint and overlapping groups with equilibrium strategies | Statistics & Risk Modeling | Yichen Feng Jean-Pierre Fouque Ruimeng Hu Tomoyuki Ichiba | 2023/1/1 |
Multivariate systemic risk measures and computation by deep learning algorithms | Quantitative Finance | Alessandro Doldi Yichen Feng J-P Fouque Marco Frittelli | 2023/10/3 |
Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces | arXiv preprint arXiv:2309.10953 | Andrea Angiuli Jean-Pierre Fouque Ruimeng Hu Alan Raydan | 2023/9/19 |
Collective Arbitrage and the Value of Cooperation | arXiv preprint arXiv:2306.11599 | Francesca Biagini Alessandro Doldi Jean-Pierre Fouque Marco Frittelli Thilo Meyer-Brandis | 2023/6/20 |
Sub-and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets | SIAM Journal on Financial Mathematics | Jean-Pierre Fouque Ruimeng Hu Ronnie Sircar | 2022 |
Optimal trading with signals and stochastic price impact | SIAM Journal on Financial Mathematics | Jean-Pierre Fouque Sebastian Jaimungal Yuri F Saporito | 2022 |
Deep learning for systemic risk measures | Yichen Feng Ming Min Jean-Pierre Fouque | 2022/11/2 | |
Unified reinforcement Q-learning for mean field game and control problems | Mathematics of Control, Signals, and Systems (arXiv preprint arXiv:2006.13912) | Andrea Angiuli Jean-Pierre Fouque Mathieu Laurière | 2020/6/24 |
Reinforcement learning algorithm for mixed mean field control games | arXiv preprint arXiv:2205.02330 | Andrea Angiuli Nils Detering Jean-Pierre Fouque Mathieu Lauriere Jimin Lin | 2022/5/4 |
Investments with Heterogenous Risk Aversion | Yichen Feng Jean-Pierre Fouque Tomoyuki Ichiba | 2021/8/23 | |
Reinforcement learning for mean field games, with applications to economics | Machine Learning And Data Sciences For Financial Markets: A Guide To Contemporary Practices (arXiv preprint arXiv:2106.13755) | Andrea Angiuli Jean-Pierre Fouque Mathieu Lauriere | 2021/6/25 |
Systemic optimal risk transfer equilibrium | Mathematics and Financial Economics | Francesca Biagini Alessandro Doldi Jean-Pierre Fouque Marco Frittelli Thilo Meyer-Brandis | 2021/3 |
Linear-quadratic stochastic differential games on random directed networks | arXiv preprint arXiv:2011.04279 | Yichen Feng Jean-Pierre Fouque Tomoyuki Ichiba | 2020/11/5 |
Deep learning methods for mean field control problems with delay | Frontiers in Applied Mathematics and Statistics | Jean-Pierre Fouque Zhaoyu Zhang | 2020/5/12 |
Directed chain stochastic differential equations | Stochastic Processes and their Applications | Nils Detering Jean-Pierre Fouque Tomoyuki Ichiba | 2020/4/1 |
On fairness of systemic risk measures | Finance and Stochastics | Francesca Biagini Jean-Pierre Fouque Marco Frittelli Thilo Meyer-Brandis | 2020/4 |
Multiscale asymptotic analysis for portfolio optimization under stochastic environment | Multiscale Modeling & Simulation | Jean-Pierre Fouque Ruimeng Hu | 2020 |
