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publications
Linear-Quadratic McKean-Vlasov Stochastic Differential Games
Published in Modeling, Stochastic Control, Optimization, and Applications. The IMA Volumes in Mathematics and its Applications, vol 164. Springer, Cham, with Huyên Pham, 2019
Recommended citation: https://arxiv.org/abs/1812.00632
Integral operator Riccati equations arising in stochastic Volterra control problems
Published in SIAM Journal on Control and Optimization, with Eduardo Abi Jaber and Huyên Pham, 2019
Recommended citation: https://arxiv.org/abs/1911.01903
Linear–Quadratic control for a class of stochastic Volterra equations: solvability and approximation
Published in Annals of Applied Probability, with Eduardo Abi Jaber and Huyên Pham, 2019
Recommended citation: https://imstat.org/wp-content/uploads/2020/11/AAP1645.pdf
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
Published in SIAM Journal on Financial Mathematics, with Eduardo Abi Jaber and Huyên Pham, 2020
Recommended citation: https://hal.archives-ouvertes.fr/hal-02877569/document
Linear-quadratic stochastic delayed control and deep learning resolution
Published in Journal of Optimization Theory and Applications, with William Lefebvre, 2021
Recommended citation: https://hal.archives-ouvertes.fr/hal-03145949v3/document
talks
Linear–Quadratic optimal control for a class of stochastic Volterra equations: solvability and approximation
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teaching
Tutorat maths - École polytechnique (2017/2018)
Undergraduate course, Ecole polytechnique, 2017
Real analysis, distribution theory, ODE’s,…
Probability L3 (2019/2020)
Undergraduate course, University Paris-Diderot, 2019
Linear Algebra & Analysis L1 (2019/2020)
Undergraduate course, University Paris-Diderot, 2020