Published and accepted papers:

E. Bayraktar, A. Cosso and H. Pham, Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics, Trans. Amer. Math. Soc, [Hal].

P. Briand, R. Elie, Y. Hu, BSDEs with mean reflection, Ann. Appl. Probab., [Hal].

A. Bensoussan and A. Brouste, Marginal Weibull diffusion model for wind speed modeling and forecasting in Renewable Energy: Forecasting and Risk Management edited by P. Drobinski, M. Mougeot, D. Picard, R. Plougonven and P. Tankov, Springer, 2018, [Book].

R. Buckdahn, J. Li, J. Ma, A mean-field stochastic control problem with partial observation, Ann. Appl. Probab., [Arxiv].

R. Buckdahn, S. Jing, Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem, SIAM J. Control Optim., 55(3):1500–1533, 2017, [Journal, Arxiv].

R. Buckdahn, J. Li, J. Ma, A Stochastic Maximum Principle for General Mean-Field Systems, Applied Mathematics & Optimization 74(3):507–534, 2016, [Journal].

G. Fort, E. Gobet and E. Moulines, MCMC design-based non-parametric regression for rare-event. Application to nested risk computations. Monte Carlo methods and Applications, 23(1):21–42, 2017, [Journal, Hal].

E. Gobet, J. Lopez-Salas, P. Turkedjiev, C. Vasquez, Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs. SIAM J. Sci. Comput. 38(6):652–677, 2016 [Journal,Hal].

Y. Hu, J. Huang and X. Li, Linear quadratic mean field game with control input constraint, ESAIM: COCV, [Hal].

A. Matoussi, H. Xing, Convex duality for Epstein-Zin Stochastic differential utility, Mathematical Finance, [Arxiv].

H. Pham, Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications, Probability, Uncertainty and Quantitative Risk 1(1):7, 2016, [Journal,Hal].

H. Pham and X. Wei, Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics, SIAM J. Control Optim., [Hal].

E. Votsi and A. Brouste, Confidence intervals for risk indicators in semi-Markov models: an application to wind energy production, Journal of Applied Statistics, 2019, [article].

Preprints:

R. Aid, M. Basei and H. Pham, The coordination of centralised and distributed electricity generation, [Hal].

N. Baradel, B. Bouchard and N. M. Dang, Optimal control under uncertainty and Bayesian parameters adjustments, [Arxiv].

P. Beissner, L. Denis, Duality and General Equilibrium Theory under Knightian Uncertainty, [Hal].

E. Gobet, G. Liu and J. Zubelli, A non-intrusive stratified resampler for regression Monte-Carlo: application to solving non-linear equations [Hal].

E. Gobet and S. Pagliarani, Analytical approximations of non-linear SDEs of McKean-Vlasov type, [Hal].

Y. Hu, Y. Lin and A. Soumana Hima, Quadratic backward stochastic differential equations driven by G-Brownian motion: discrete solutions and approximation, [Hal].

L. Lenôtre, Statistical Post-Processing of Weather Forecasts for the Renewable Energy Production by Eolian Device, [Hal].