Romuald Elie
Romuald Elie
Deepmind & Université Gustave Eiffel
Geverifieerd e-mailadres voor u-pem.fr - Homepage
Geciteerd door
Geciteerd door
Discrete-time approximation of decoupled forward–backward SDE with jumps
B Bouchard, R Elie
Stochastic Processes and their Applications 118 (1), 53-75, 2008
Stochastic target problems with controlled loss
B Bouchard, R Elie, N Touzi
SIAM Journal on Control and Optimization 48 (5), 3123-3150, 2010
Optimal lifetime consumption and investment under a drawdown constraint
R Elie, N Touzi
Finance and Stochastics 12 (3), 299-330, 2008
Optimal control under stochastic target constraints
B Bouchard, R Elie, C Imbert
SIAM Journal on Control and Optimization 48 (5), 3501-3531, 2010
A simple constructive approach to quadratic BSDEs with or without delay
P Briand, R Elie
Stochastic processes and their applications 123 (8), 2921-2939, 2013
A tale of a principal and many, many agents
R Elie, T Mastrolia, D Possamaï
Mathematics of Operations Research 44 (2), 440-467, 2019
On the convergence of model free learning in mean field games
R Elie, J Perolat, M Laurière, M Geist, O Pietquin
Proceedings of the AAAI Conference on Artificial Intelligence 34 (05), 7143-7150, 2020
Contact rate epidemic control of COVID-19: an equilibrium view
R Elie, E Hubert, G Turinici
Mathematical Modelling of Natural Phenomena 15, 35, 2020
COVID-19 pandemic control: balancing detection policy and lockdown intervention under ICU sustainability
A Charpentier, R Elie, M Laurière, VC Tran
Mathematical Modelling of Natural Phenomena 15, 57, 2020
Contracting theory with competitive interacting agents
R Elie, D Possamaï
SIAM Journal on Control and Optimization 57 (2), 1157-1188, 2019
A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
JF Chassagneux, R Elie, I Kharroubi
Electronic Communications in Probability 16, 120-128, 2011
Reinforcement learning in economics and finance
A Charpentier, R Elie, C Remlinger
Computational Economics, 1-38, 2021
Fictitious play for mean field games: Continuous time analysis and applications
S Perrin, J Pérolat, M Laurière, M Geist, R Elie, O Pietquin
Advances in Neural Information Processing Systems 33, 13199-13213, 2020
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs
B Bouchard, R Elie, N Touzi
Advanced financial modelling 8, 91-124, 2009
BSDE representations for optimal switching problems with controlled volatility
R Elie, I Kharroubi
Stochastics and Dynamics 14 (03), 1450003, 2014
Probabilistic representation and approximation for coupled systems of variational inequalities
R Elie, I Kharroubi
Statistics & probability letters 80 (17-18), 1388-1396, 2010
BSDEs with mean reflection
P Briand, R Elie, Y Hu
The Annals of Applied Probability 28 (1), 482-510, 2018
Mean–field moral hazard for optimal energy demand response management
R Elie, E Hubert, T Mastrolia, D Possamaï
Mathematical Finance 31 (1), 399-473, 2021
Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections∗
R Elie, I Kharroubi
ESAIM: Probability and Statistics 18, 233-250, 2014
Discrete-time approximation of multidimensional BSDEs with oblique reflections
JF Chassagneux, R Elie, I Kharroubi
The Annals of Applied Probability 22 (3), 971-1007, 2012
Het systeem kan de bewerking nu niet uitvoeren. Probeer het later opnieuw.
Artikelen 1–20