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Identifiers

  • name variant CREST) 0.60 · backfill

Papers (77)

  1. Importance Sampling Optimization with Laplace Principle math.OC · 2026 · author #4
  2. Bayesian learning for the Markowitz portfolio selection problem q-fin.PM · 2018 · author #4
  3. Zero-sum stochastic differential games of generalized McKean-Vlasov type * math.PR · 2018 · author #2
  4. Structured Matrix Estimation and Completion math.ST · 2017 · author #4
  5. Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix * q-fin.PM · 2016 · author #3
  6. Inventory growth cycles with debt-financed investment q-fin.GN · 2016 · author #3
  7. Practical targeted learning from large data sets by survey sampling math.ST · 2016 · author #2
  8. Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications * math.PR · 2016 · author #2
  9. Optimal trading with online parameters revisions q-fin.CP · 2016 · author #2
  10. Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics math.PR · 2016 · author #2
  11. Bellman equation and viscosity solutions for mean-field stochastic control problem math.PR · 2015 · author #2
  12. The expected demise of the Bayes factor stat.ME · 2015 · author #3
  13. BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data math.PR · 2015 · author #3
  14. Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles math.PR · 2015 · author #3
  15. On clustering procedures and nonparametric mixture estimation math.ST · 2015 · author #3
  16. Some comments about A. Ronald Gallant's "Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference" stat.ME · 2015 · author #3
  17. Ergodicity of robust switching control and nonlinear system of quasi variational inequalities math.PR · 2015 · author #4
  18. Robust Matrix Completion math.ST · 2014 · author #2
  19. Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach math.PR · 2014 · author #4
  20. A backward dual representation for the quantile hedging of Bermudan options math.PR · 2014 · author #2
  21. Robust feedback switching control: dynamic programming and viscosity solutions math.PR · 2014 · author #4
  22. Regularity of BSDEs with a convex constraint on the gains-process math.PR · 2014 · author #2
  23. Feynman-Kac representation of fully nonlinear PDEs and applications math.PR · 2014 · author #2
  24. Long time asymptotics for optimal investment q-fin.PM · 2014 · author #2
  25. Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles math.PR · 2014 · author #3
  26. Optimal Switching in Finite Horizon under State Constraints math.PR · 2014 · author #2
  27. Hedging under an expected loss constraint with small transaction costs q-fin.PM · 2013 · author #2
  28. First time to exit of a continuous It\^o process: general moment estimates and L1-convergence rate for discrete time approximations math.PR · 2013 · author #2
  29. Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing math.PR · 2013 · author #2
  30. Learning Heteroscedastic Models by Convex Programming under Group Sparsity stat.ML · 2013 · author #2
  31. On the Jeffreys-Lindley's paradox stat.ME · 2013 · author #3
  32. Non parametric finite translation mixtures with dependent regime math.ST · 2013 · author #3
  33. The anti-Bayesian moment and its passing stat.OT · 2012 · author #3
  34. BSDEs with weak terminal condition math.PR · 2012 · author #2
  35. Minimax testing of a composite null hypothesis defined via a quadratic functional in the model of regression math.ST · 2012 · author #3
  36. Comments on "Confidence distribution, the frequentist distribution estimator of a parameter --- a review" by Min-ge Xie and Kesar Singh math.ST · 2012 · author #3
  37. In praise of the referee stat.OT · 2012 · author #2
  38. Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information q-fin.TR · 2012 · author #3
  39. Reading Theorie Analytique des Probabilites stat.OT · 2012 · author #3
  40. Characterization of the optimal boundaries in reversible investment problems math.PR · 2012 · author #3
  41. Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors math.ST · 2012 · author #3
  42. Prediction of quantiles by statistical learning and application to GDP forecasting math.ST · 2012 · author #2
  43. Fast rates in learning with dependent observations math.ST · 2012 · author #2
  44. First moments of the truncated and absolute Student's variates math.ST · 2011 · author #3
  45. Error and Inference: an outsider stand on a frequentist philosophy stat.ME · 2011 · author #3
  46. Relevant statistics for Bayesian model choice math.ST · 2011 · author #5
  47. Minimax hypothesis testing for curve registration math.ST · 2011 · author #2
  48. Optimal High Frequency Trading with limit and market orders q-fin.TR · 2011 · author #3
  49. Tight conditions for consistency of variable selection in the context of high dimensionality math.ST · 2011 · author #3
  50. ProDiGe: PRioritization Of Disease Genes with multitask machine learning from positive and unlabeled examples q-bio.QM · 2011 · author #2
  51. Simulation in Statistics stat.CO · 2011 · author #3
  52. Curve registration by nonparametric goodness-of-fit testing math.ST · 2011 · author #2
  53. Sharp Oracle Inequalities for Aggregation of Affine Estimators math.ST · 2011 · author #2
  54. Sparsity considerations for dependent observations math.ST · 2011 · author #2
  55. Sparse single-index model math.ST · 2011 · author #2
  56. Approximate Bayesian Computational methods stat.CO · 2011 · author #4
  57. Inherent Difficulties of Non-Bayesian Likelihood-based Inference, as Revealed by an Examination of a Recent Book by Aitkin stat.ME · 2010 · author #4
  58. Exact Bayesian Analysis of Mixtures stat.CO · 2010 · author #2
  59. "Not only defended but also applied": The perceived absurdity of Bayesian inference math.ST · 2010 · author #4
  60. On Particle Learning stat.ME · 2010 · author #8
  61. Transductive versions of the LASSO and the Dantzig Selector math.ST · 2010 · author #2
  62. Mirror averaging with sparsity priors math.ST · 2010 · author #2
  63. Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management math.PR · 2010 · author #2
  64. Multiplicative Bias Corrected Nonparametric Smoothers math.ST · 2009 · author #4
  65. Optimal investment on finite horizon with random discrete order flow in illiquid markets q-fin.PM · 2009 · author #3
  66. Optimal portfolio liquidation with execution cost and risk math.PR · 2009 · author #2
  67. Transductive versions of the LASSO and the Dantzig Selector math.ST · 2009 · author #2
  68. Sparse classification boundaries math.ST · 2009 · author #4
  69. Model selection for weakly dependent time series forecasting stat.ME · 2009 · author #2
  70. Generalization of l1 constraints for high dimensional regression problems math.ST · 2008 · author #2
  71. Optimal consumption policies in illiquid markets math.PR · 2008 · author #4
  72. Single-index Regression models with right-censored responses math.ST · 2008 · author #2
  73. PAC-Bayesian Bounds for Randomized Empirical Risk Minimizers stat.ML · 2007 · author #2
  74. LASSO, Iterative Feature Selection and the Correlation Selector: Oracle Inequalities and Numerical Performances math.ST · 2007 · author #2
  75. Dependent Lindeberg central limit theorem and some applications math.ST · 2007 · author #3
  76. Density estimation with quadratic loss: a confidence intervals method math.ST · 2006 · author #2
  77. Iterative Feature Selection In Least Square Regression Estimation math.ST · 2005 · author #2

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