Huyên Pham

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Publications

Citations

2.1K

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Active since

1999

Affiliations

Laboratoire de Probabilités et Modèles Aléatoires(Current)

Université Paris Cité

Centre de Recherche en Économie et Statistique

ENSAE Paris

Laboratoire de Probabilités, Statistique et Modélisation

Huyên Pham is an author at Laboratoire de Probabilités et Modèles Aléatoires specializing in mathematics, stochastic processes, and stochastic control.

ORCID

Publications per year

1999–2023

Publications

Deep backward schemes for high-dimensional nonlinear PDEs

Côme Huré, Huyên Pham, Xavier Warin · Mathematics of Computation · 2019 · 211 citations

Computing, Computer Science, Mathematics +16

Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

Huyên Pham, Xiaoli Wei · SIAM Journal on Control and Optimization · 2017 · 173 citations · Full text

Natural Sciences, Finance, Mathematics +17

Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis

Côme Huré, Huyên Pham, Achref Bachouch et al. · SIAM Journal on Numerical Analysis · 2021 · 95 citations · Full text

Computing, Computer Science, Algorithms +16

A numerical algorithm for fully nonlinear HJB equations:An approach by control randomization

Idris Kharroubi, Nicolas Langrené, Huyên Pham · Monte Carlo Methods and Applications · 2014 · 91 citations · Full text

Business, Finance, Mathematics +17

Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics

Erhan Bayraktar, Andrea Cosso, Huyên Pham · Transactions of the American Mathematical Society · 2016 · 78 citations · Full text

Engineering, Mathematics, Dynamical Systems +16

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