no code implementations • 14 Feb 2023 • Mohamed Hamdouche, Pierre Henry-Labordere, Huyen Pham
We develop policy gradients methods for stochastic control with exit time in a model-free setting.
no code implementations • 12 Jun 2020 • Shuoqing Deng, Xun Li, Huyen Pham, Xiang Yu
This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility.
no code implementations • 31 Jul 2019 • Huyen Pham, Xavier Warin, Maximilien Germain
We propose a numerical method for solving high dimensional fully nonlinear partial differential equations (PDEs).
no code implementations • 13 Dec 2018 • Achref Bachouch, Côme Huré, Nicolas Langrené, Huyen Pham
This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18].
no code implementations • 5 Sep 2018 • Huyen Pham, Xiaoli Wei, Chao Zhou
The dynamic setting allows us to consider time varying ambiguity sets, which include the cases where the drift and correlation are estimated on a rolling window of historical data or when the investor takes into account learning on the ambiguity.