René Carmona

According to our database, René Carmona authored at least 38 papers between 1995 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Cost Attribution And Risk-Averse Unit Commitment In Power Grids Using Integrated Gradient.

René Carmona, Ronnie Sircar, Xinshuo Yang

CoRR, 2024

2023

Optimal Execution with Quadratic Variation Inventories.

René Carmona, Laura Leal

SIAM J. Financial Math., September, 2023

From Nash Equilibrium to Social Optimum and vice versa: a Mean Field Perspective.

René A. Carmona, Gökçe Dayanikli, François Delarue, Mathieu Laurière

CoRR, 2023

2022

Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach.

Alexander Aurell, René Carmona, Gökçe Dayanikli, Mathieu Laurière

SIAM J. Control. Optim., 2022

Stochastic Graphon Games: I. The Static Case.

René Carmona, Daniel B. Cooney, Christy V. Graves, Mathieu Laurière

Math. Oper. Res., 2022

Mean Field Models to Regulate Carbon Emissions in Electricity Production.

René Carmona, Gökçe Dayanikli, Mathieu Laurière

Dyn. Games Appl., 2022

Finite State Graphon Games with Applications to Epidemics.

Alexander Aurell, René Carmona, Gökçe Dayanikli, Mathieu Laurière

Dyn. Games Appl., 2022

Mean Field Model for an Advertising Competition in a Duopoly.

René Carmona, Gökçe Dayanikli

CoRR, 2022

2021

Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case.

René Carmona, Mathieu Laurière

SIAM J. Numer. Anal., 2021

A Probabilistic Approach to Extended Finite State Mean Field Games.

René Carmona, Peiqi Wang

Math. Oper. Res., 2021

Finite-State Contract Theory with a Principal and a Field of Agents.

René Carmona, Peiqi Wang

Manag. Sci., 2021

Mean Field Game Model for an Advertising Competition in a Duopoly.

René Carmona, Gökçe Dayanikli

IGTR, 2021

Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance.

René Carmona, Mathieu Laurière

CoRR, 2021

2020

Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game.

René Carmona, Christy V. Graves

Dyn. Games Appl., 2020

Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions and Policy Optimization.

René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan

CoRR, 2020

Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games.

René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan

Proceedings of the 59th IEEE Conference on Decision and Control, 2020

2019

Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective.

Beatrice Acciaio, Julio D. Backhoff Veraguas, René Carmona

SIAM J. Control. Optim., 2019

Model-Free Mean-Field Reinforcement Learning: Mean-Field MDP and Mean-Field Q-Learning.

René Carmona, Mathieu Laurière, Zongjun Tan

CoRR, 2019

Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods.

René Carmona, Mathieu Laurière, Zongjun Tan

CoRR, 2019

Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II - The Finite Horizon Case.

René Carmona, Mathieu Laurière

CoRR, 2019

2018

Systemic Risk and Stochastic Games with Delay.

René Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi, Li-Hsien Sun

J. Optim. Theory Appl., 2018

2017

Simulation of Implied Volatility Surfaces via Tangent Lévy Models.

René Carmona, Yi Ma, Sergey Nadtochiy

SIAM J. Financial Math., 2017

2013

Probabilistic Analysis of Mean-Field Games.

René Carmona, François Delarue

SIAM J. Control. Optim., 2013

2012

Tangent Lévy market models.

René Carmona, Sergey Nadtochiy

Finance Stochastics, 2012

2011

Risk-Neutral Models for Emission Allowance Prices and Option Valuation.

René Carmona, Juri Hinz

Manag. Sci., 2011

2010

Market Design for Emission Trading Schemes.

René Carmona, Max Fehr, Juri Hinz, Arnaud Porchet

SIAM Rev., 2010

Message From the Editors-in-Chief.

René Carmona, Ronnie Sircar

SIAM J. Financial Math., 2010

2009

Optimal Stochastic Control and Carbon Price Formation.

René Carmona, Max Fehr, Juri Hinz

SIAM J. Control. Optim., 2009

Monte Carlo Malliavin Computation of the Sensitivities of Solutions of SPDEs.

René Carmona, Lixin Wang

SIAM J. Appl. Math., 2009

Local volatility dynamic models.

René Carmona, Sergey Nadtochiy

Finance Stochastics, 2009

Interacting particle systems for the computation of rare credit portfolio losses.

René Carmona, Jean-Pierre Fouque, Douglas Vestal

Finance Stochastics, 2009

2008

Optimal Multiple Stopping of Linear Diffusions.

René Carmona, Savas Dayanik

Math. Oper. Res., 2008

2007

A Statistical Analysis of Editorial Influence and Author-Character Similarities in 1990s <i>New Yorker</i> Fiction.

Katherine L. Milkman, René Carmona, William Gleason

Lit. Linguistic Comput., 2007

2003

Pricing and Hedging Spread Options.

René Carmona, Valdo Durrleman

SIAM Rev., 2003

1999

Multiridge detection and time-frequency reconstruction.

René A. Carmona, Wen-Liang Hwang, Bruno Torrésani

IEEE Trans. Signal Process., 1999

1998

Adaptive smoothing respecting feature directions.

René A. Carmona, Sifen Zhong

IEEE Trans. Image Process., 1998

1997

Characterization of signals by the ridges of their wavelet transforms.

René A. Carmona, Wen-Liang Hwang, Bruno Torrésani

IEEE Trans. Signal Process., 1997

1995

Wavelet analysis for brain-function imaging.

René A. Carmona, Wen-Liang Hwang, Ron D. Frostig

IEEE Trans. Medical Imaging, 1995