Preprints

• A deep learning method for optimal investment under relative performance criteria among heterogeneous agents; with Mathieu Laurière and Xuchen Zhou. Preprint 2024 
• Propagation of chaos for mean field Schrödinger problems; with Camilo Hernández. Preprint 2023
• Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs; with Dylan Possamaï. Preprint 2021

Publications

• Optimal bubble riding: A mean field game with varying entry times; with Shichun Wang. Finance and Stochastics, to appear
• Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics; with Jiarui Chu. SIFIN, to appear
• Laplace principle for large population games with control interaction; with Peng Luo. SPA, to appear
• Quantitative convergence for displacement monotone mean field games with controlled volatility; with Joe Jackson. MOR, to appear
• On the population size in stochastic differential games; with Dylan Possamaï. Notices of the AMS (invited exposition article) 2023
• Optimal bubble riding with price-dependent entry: A mean field game of controls with common noise; with Shichun Wang. Mathematics and Financial Economics, to appear
• A probabilistic approach to vanishing viscosity for PDEs on the Wasserstein space; Indiana University Mathematics Journal, to appear
• Optimal investment in a large population of competitive and heterogeneous Agents; with Xuchen Zhou. Finance and Stochastics, to appear
• Maximum principle for stochastic control of SDEs with measurable drifts; with Olivier Menoukeu-Pamen. Journal of Optimization Theory and Applications, 2023 DOI
• Non-asymptotic convergence rates for the plug-in estimation of risk measures; with Daniel Bartl. Mathematics of Operations Research, 2022 DOI
• Stochastic control of optimized certainty equivalent; with Julio Backhoff and Max Reppen.  SIAM Journal on Financial Mathematics. 13(3), 745--772, 2022
• Backward propagation of chaos; with Mathieu Laurière. Electronic Journal of Probability. 27: 1--30, 2022
• Convergence of large population games to mean field games with interaction through the controls; with Mathieu Laurière. SIAM Journal on Mathematical Analysis, 54(3), 2022 DOI
• Strong solutions of forward-backward stochastic differential equations with measurable coefficients; with Peng Luo and Olivier Menoukeu-Pamen.  Stochastic Processes and their Applications 144, 1-22, 2022
• Representation of convex increasing functionals by countably additive measures; with Patrick Cheridito and Michael Kupper. Studia Mathematica 260(2), 121-140, 2021. DOI
• Quadratic transportation inequalities for SDEs with measurable drifts; with  Khaled Bahlali and Soufiane Mouchtabih. Proceedings of the AMS 149, 3583-3596. 2021 .
• Functional inequalities for forward and backward diffusions; with Daniel Bartl. Electronic Journal of Probability 25(94), 1-22. 2020 DOI
• On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration; with  Julio Backhoff. Mathematics and Financial Economics 14, 433-460. 2020 DOI
• Non-exponential Sanov and Schilder theorems: BSDEs, Schroedinger problems and control; with  Julio Backhoff and Daniel Lacker. Annals of Applied Probability 30(3), 1321-1367. 2020 DOI
• Strong solutions of some one-dimensional SDEs with random unbounded drifts; with  Olivier Menoukeu-Pamen. SIAM Journal on Mathematical Analysis  51(5), 4105–4141. 2019 DOI
• Duality for pathwise superhedging in continuous time; with Daniel Bartl; Michael Kupper and David J. Proemel. Finance and Stochastics 23(3), 697–728. 2019 DOI
• Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients; with Olivier Menoukeu-Pamen and Youssef Ouknine. Journal of Theoretical Probability 32, 1892–1908. 2019 DOI
• Theoretical and empirical analysis of trading activity; with Mathias Pohl; Alexander Ristig and Walter Schachermayer. Mathematical Programming  181, 405–434(2020)  DOI
• Computational aspects of robust optimized certainty equivalent and option pricing; with Daniel Bartl and Samuel Drapeau. Mathematical Finance 30(1), 287-309. 2020 DOI
• Efficient hedging under ambiguity in continuous time. Probability, Uncertainty and Quantitative Risk, 2020 DOI
• BSDEs on finite and infinite horizon with time delayed generators; with Peng Luo.  Communications on Stochastic Analysis 12(1) 59-72. 2018 DOI
• Concentration of dynamic risk measures in a Brownian filtration Stochastic Processes and their Applications 129(5), 1477-1491. 2019 DOI
• Multidimensional Markovian FBSDEs with superquadratic growth; with Michael Kupper and Peng Luo. Stochastic Processes and their Applications 129(3), 902-923. 2019 DOI
• The amazing power of dimensional analysis: Quantifying market impact; with Mathias Pohl; Alexander Ristig and Walter Schachermayer. Market Microstructure and Liquidity 3(3&4) 1850004. 2018 DOI
• Duality formulas for robust pricing and hedging in discrete time; with Patrick Cheridito and Michael Kupper. SIAM Journal on Financial Mathematics 8(1), 738-765. 2017 DOI
• Solvability of coupled FBSDEs with diagonally quadratic generators; with Peng Luo. Stochastics and Dynamcis 17 (6), 1750043, 2017 DOI
• Duality for increasing convex functionals with countably many marginal constraints; with Daniel Bartl, Patrick Cheridito and Michael Kupper. Banach Journal of Mathematical Analysis 11 (1) 72-89, 2017 DOI
• Minimal supersolutions of convex BSDEs under constraints; with Gregor Heyne, Michael Kupper and Christoph Mainberger. ESAIM Probability and Statistics 20, pp. 178-195, 2016 DOI
• Portfolio optimization under nonlinear utility; with Gregor Heyne and Michael Kupper. International Journal of Theoretical and Applied Finance 19 (5), 1650029, 2016 DOI
• Dual representation of minimal supersolutions of convex BSDEs; with Samuel Drapeau, Michael Kupper and Emanuela Rosazza Gianin. Annales de l'Institut Henry Poincare, Probabilites et Statistiques 52 (2) 868-887, 2016 DOI