Pham, Huyên - Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre-et-Marie-Curie, Paris 6

• Wealth-Path Dependent Utility Maximization in Incomplete Markets
• An Optimal Markovian Quantization Algorithm for Multidimensional Stochastic Control Problems
• Optimal Partially Reversible Investment with Entry Decision and General Production Function
• Optimal quantization methods and applications to numerical problems in nance
• Master Paris 7-Paris 1 Stats et Mod`eles Aleatoires en finance Annee 2005/2006 Quantification optimale en finance Huy^en Pham
• Optimization methods in portfolio management and option hedging
• Finance Stochast. 7, 169195 (2003) c Springer-Verlag 2003
• Optimal quantization methods for nonlinear filtering with discrete-time observations
• Optimal consumption in discrete time financial models with industrial investment opportunities
• On the smooth-fit property for one-dimensional optimal switching problem
• Explicit solution to an optimal switching problem in the two-regime case
• Impulse control problem on finite horizon with execution delay
• Backward SDEs with constrained jumps and Quasi-Variational Inequalities
• Optimal investment on finite horizon with random discrete order flow in illiquid markets
• PDE formulation survey Huy^en PHAM
• Explicit Solution to an Irreversible Investment Model with a stochastic production capacity
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
• Radon Series Comp. Appl. Math 8, 117 c de Gruyter 2009 Investment/consumption choice in illiquid
• DEA Probabilites et Applications, Paris 6 Contr^ole Optimal Stochastique Annee 2001/2002 et Applications en Finance
• Optimisation et Contr^ole Stochastique Appliques `a la Finance
• Introduction aux Mathematiques et Mod`eles Stochastiques
• Quantization Methods in Filtering and Applications to Partially Observed Stochastic Volatility Models
• Discretization and simulation of Zakai equation Emmanuel GOBET
• Large deviations in mathematical finance Huy^en PHAM
• Optimal portfolio liquidation with execution cost and risk Idris KHARROUBI
• Numerical methods for an optimal order execution problem Fabien Guilbaud
• Optimal investment with counterparty risk: a default-density modeling approach
• Optimal consumption policies in illiquid markets Alessandra Cretarola1)
• A coupled system of integrodifferential equations arising in liquidity risk model
• A Model of Optimal Portfolio Selection under Liquidity Risk and Price Impact
• Approximation by quantization of the filter process and applications to optimal stopping problems under partial
• Some applications and methods of large deviations in finance and insurance
• Hedging and Optimization Problems in Continuous-Time Financial Models
• Master Paris 6 Probabilites et Applications Contr^ole optimal stochastique Master Paris 7 Stats et Mod`eles Aleatoires (Huy^en Pham)
• Numerical approximation by quantization for optimization problems in finance under partial observations
• Portfolio optimization under partial observation : theoretical and numerical aspects
• Methodes de quantification optimale et Applications en Finance
• Equation d'Hamilton-Jacobi-Bellman Huy^en PHAM
• Numerical Approximation by Quantization of Control Problems in Finance under Partial Observations