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ORCIDRené Carmona 0001
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- affiliation: Princeton University, NJ, USA
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Journal Articles
- 2023
[j29]René Carmona, Laura Leal
:
Optimal Execution with Quadratic Variation Inventories. SIAM J. Financial Math. 14(3): 751-776 (2023)- 2022
- [j28]Alexander Aurell, René Carmona, Gökçe Dayanikli, Mathieu Laurière:
Finite State Graphon Games with Applications to Epidemics. Dyn. Games Appl. 12(1): 49-81 (2022) - [j27]René Carmona, Gökçe Dayanikli, Mathieu Laurière:
Mean Field Models to Regulate Carbon Emissions in Electricity Production. Dyn. Games Appl. 12(3): 897-928 (2022) - [j26]René Carmona, Daniel B. Cooney, Christy V. Graves, Mathieu Laurière:
Stochastic Graphon Games: I. The Static Case. Math. Oper. Res. 47(1): 750-778 (2022) - [j25]Alexander Aurell, René Carmona, Gökçe Dayanikli, Mathieu Laurière:
Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach. SIAM J. Control. Optim. 60(2): S294-S322 (2022) - 2021
- [j24]René Carmona, Gökçe Dayanikli:
Mean Field Game Model for an Advertising Competition in a Duopoly. IGTR 23(4): 2150024:1-2150024:26 (2021) - [j23]René Carmona, Peiqi Wang:
Finite-State Contract Theory with a Principal and a Field of Agents. Manag. Sci. 67(8): 4725-4741 (2021) - [j22]René Carmona, Peiqi Wang:
A Probabilistic Approach to Extended Finite State Mean Field Games. Math. Oper. Res. 46(2): 471-502 (2021) - [j21]René Carmona, Mathieu Laurière:
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case. SIAM J. Numer. Anal. 59(3): 1455-1485 (2021) - 2020
- [j20]René Carmona, Christy V. Graves:
Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game. Dyn. Games Appl. 10(1): 79-99 (2020) - 2019
- [j19]Beatrice Acciaio, Julio D. Backhoff Veraguas, René Carmona:
Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective. SIAM J. Control. Optim. 57(6): 3666-3693 (2019) - 2018
- [j18]René Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi, Li-Hsien Sun:
Systemic Risk and Stochastic Games with Delay. J. Optim. Theory Appl. 179(2): 366-399 (2018) - 2017
- [j17]René Carmona, Yi Ma, Sergey Nadtochiy:
Simulation of Implied Volatility Surfaces via Tangent Lévy Models. SIAM J. Financial Math. 8(1): 171-213 (2017) - 2013
- [j16]René Carmona, François Delarue:
Probabilistic Analysis of Mean-Field Games. SIAM J. Control. Optim. 51(4): 2705-2734 (2013) - 2012
- [j15]René Carmona, Sergey Nadtochiy:
Tangent Lévy market models. Finance Stochastics 16(1): 63-104 (2012) - 2011
- [j14]René Carmona, Juri Hinz:
Risk-Neutral Models for Emission Allowance Prices and Option Valuation. Manag. Sci. 57(8): 1453-1468 (2011) - 2010
- [j13]René Carmona, Ronnie Sircar:
Message From the Editors-in-Chief. SIAM J. Financial Math. 1(1): 1 (2010) - [j12]René Carmona, Max Fehr, Juri Hinz, Arnaud Porchet:
Market Design for Emission Trading Schemes. SIAM Rev. 52(3): 403-452 (2010) - 2009
- [j11]René Carmona, Sergey Nadtochiy:
Local volatility dynamic models. Finance Stochastics 13(1): 1-48 (2009) - [j10]René Carmona, Jean-Pierre Fouque, Douglas Vestal:
Interacting particle systems for the computation of rare credit portfolio losses. Finance Stochastics 13(4): 613-633 (2009) - [j9]René Carmona, Lixin Wang:
Monte Carlo Malliavin Computation of the Sensitivities of Solutions of SPDEs. SIAM J. Appl. Math. 69(6): 1682-1711 (2009) - [j8]René Carmona, Max Fehr, Juri Hinz:
Optimal Stochastic Control and Carbon Price Formation. SIAM J. Control. Optim. 48(4): 2168-2190 (2009) - 2008
- [j7]René Carmona, Savas Dayanik:
Optimal Multiple Stopping of Linear Diffusions. Math. Oper. Res. 33(2): 446-460 (2008) - 2007
- [j6]Katherine L. Milkman, René Carmona, William Gleason:
A Statistical Analysis of Editorial Influence and Author-Character Similarities in 1990s New Yorker Fiction. Lit. Linguistic Comput. 22(3): 305-328 (2007) - 2003
- [j5]René Carmona, Valdo Durrleman:
Pricing and Hedging Spread Options. SIAM Rev. 45(4): 627-685 (2003) - 1999
- [j4]René A. Carmona, Wen-Liang Hwang, Bruno Torrésani:
Multiridge detection and time-frequency reconstruction. IEEE Trans. Signal Process. 47(2): 480-492 (1999) - 1998
- [j3]René A. Carmona, Sifen Zhong:
Adaptive smoothing respecting feature directions. IEEE Trans. Image Process. 7(3): 353-358 (1998) - 1997
- [j2]René A. Carmona, Wen-Liang Hwang, Bruno Torrésani:
Characterization of signals by the ridges of their wavelet transforms. IEEE Trans. Signal Process. 45(10): 2586-2590 (1997) - 1995
- [j1]René A. Carmona, Wen-Liang Hwang, Ron D. Frostig:
Wavelet analysis for brain-function imaging. IEEE Trans. Medical Imaging 14(3): 556-564 (1995)
Conference and Workshop Papers
- 2020
- [c1]René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan:
Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games. CDC 2020: 1038-1043
Informal and Other Publications
- 2023
- [i9]René A. Carmona, Gökçe Dayanikli, François Delarue, Mathieu Laurière:
From Nash Equilibrium to Social Optimum and vice versa: a Mean Field Perspective. CoRR abs/2312.10526 (2023) - 2022
- [i8]René Carmona, Gökçe Dayanikli:
Mean Field Model for an Advertising Competition in a Duopoly. CoRR abs/2201.05182 (2022) - 2021
- [i7]René Carmona, Mathieu Laurière:
Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance. CoRR abs/2107.04568 (2021) - 2020
- [i6]René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan:
Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions and Policy Optimization. CoRR abs/2009.00578 (2020) - [i5]René Carmona, Kenza Hamidouche, Mathieu Laurière, Zongjun Tan:
Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games. CoRR abs/2009.02146 (2020) - 2019
- [i4]René Carmona, Mathieu Laurière:
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: I - The Ergodic Case. CoRR abs/1907.05980 (2019) - [i3]René Carmona, Mathieu Laurière:
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II - The Finite Horizon Case. CoRR abs/1908.01613 (2019) - [i2]René Carmona, Mathieu Laurière, Zongjun Tan:
Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods. CoRR abs/1910.04295 (2019) - [i1]René Carmona, Mathieu Laurière, Zongjun Tan:
Model-Free Mean-Field Reinforcement Learning: Mean-Field MDP and Mean-Field Q-Learning. CoRR abs/1910.12802 (2019)
Coauthor Index
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