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Fouque, Jean-Pierre
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1

Optimal Trading with Signals and Stochastic Price Impact:

Fouque, Jean-Pierre ; Jaimungal, Sebastian ; Saporito, Yuri F.
SIAM Journal on Financial Mathematics.  13 (2022)  3 - p. 944-968 , 2022
Link: https://doi.org/10.1137/..
 
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2

Systemic risk models for disjoint and overlapping groups wi..:

Feng, Yichen ; Fouque, Jean-Pierre ; Hu, Ruimeng.
Statistics & Risk Modeling.  40 (2022)  1-2 - p. 21-51 , 2022
Link: https://doi.org/10.1515/..
 
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3

Sub- and Supersolution Approach to Accuracy Analysis of Por..:

Fouque, Jean-Pierre ; Hu, Ruimeng ; Sircar, Ronnie
SIAM Journal on Financial Mathematics.  13 (2022)  1 - p. 109-128 , 2022
Link: https://doi.org/10.1137/..
 
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4

Deep Learning for Systemic Risk Measures:

, In: Proceedings of the Third ACM International Conference on AI in Finance,
Feng, Yichen ; Min, Ming ; Fouque, Jean-Pierre - p. 62-69 , 2022
Link: https://dl.acm.org/doi/1..
 
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5

Reinforcement Learning for Intra-and-Inter-Bank Borrowing a..:

, In: Proceedings of the Third ACM International Conference on AI in Finance,
Lin, Jimin ; Angiuli, Andrea ; Detering, Nils.. - p. 369-376 , 2022
Link: https://dl.acm.org/doi/1..
 
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6

Unified reinforcement Q-learning for mean field game and co..:

Angiuli, Andrea ; Fouque, Jean-Pierre ; Laurière, Mathieu
Mathematics of Control, Signals, and Systems.  34 (2022)  2 - p. 217-271 , 2022
Link: https://doi.org/10.1007/..
 
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7

Systemic optimal risk transfer equilibrium:

Biagini, Francesca ; Doldi, Alessandro ; Fouque, Jean-Pierre..
Mathematics and Financial Economics.  15 (2021)  2 - p. 233-274 , 2021
Link: https://doi.org/10.1007/..
 
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8

Deep Learning Methods for Mean Field Control Problems With ..:

Fouque, Jean-Pierre ; Zhang, Zhaoyu
Frontiers in Applied Mathematics and Statistics.  6 (2020)  - p. , 2020
Link: https://doi.org/10.3389/..
 
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9

Directed chain stochastic differential equations:

Detering, Nils ; Fouque, Jean-Pierre ; Ichiba, Tomoyuki
Stochastic Processes and their Applications.  130 (2020)  4 - p. 2519-2551 , 2020
Link: https://doi.org/10.1016/..
 
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10

Multiscale Asymptotic Analysis for Portfolio Optimization u..:

Fouque, Jean-Pierre ; Hu, Ruimeng
Multiscale Modeling & Simulation.  18 (2020)  3 - p. 1318-1342 , 2020
Link: https://doi.org/10.1137/..
 
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11

On fairness of systemic risk measures:

Biagini, Francesca ; Fouque, Jean-Pierre ; Frittelli, Marco.
Finance and Stochastics.  24 (2020)  2 - p. 513-564 , 2020
Link: https://doi.org/10.1007/..
 
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12

Maximum Principle for Reflected BSPDE and Mean Field Game T..:

Fu, Guanxing , 2018
Link: https://nbn-resolving.de..
 
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13

Portfolio Optimization under Fast Mean-Reverting and Rough ..:

Fouque, Jean-Pierre ; Hu, Ruimeng
Applied Mathematical Finance.  25 (2018)  4 - p. 361-388 , 2018
Link: https://doi.org/10.1080/..
 
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14

Uncertain Volatility Models with Stochastic Bounds:

Fouque, Jean-Pierre ; Ning, Ning
SIAM Journal on Financial Mathematics.  9 (2018)  4 - p. 1175-1207 , 2018
Link: https://doi.org/10.1137/..
 
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15

Systemic Risk and Stochastic Games with Delay:

Carmona, René ; Fouque, Jean-Pierre ; Mousavi, Seyyed Mostafa.
Journal of Optimization Theory and Applications.  179 (2018)  2 - p. 366-399 , 2018
Link: https://doi.org/10.1007/..
 
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