J
Jean-Michel Lasry
Researcher at Paris Dauphine University
Publications - 78
Citations - 9128
Jean-Michel Lasry is an academic researcher from Paris Dauphine University. The author has contributed to research in topics: Stochastic control & Master equation. The author has an hindex of 31, co-authored 74 publications receiving 7613 citations. Previous affiliations of Jean-Michel Lasry include BNP Paribas & Crédit Agricole.
Papers
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Mean Field Games
TL;DR: In this paper, the authors present three examples of the mean-field approach to modelling in economics and finance (or other related subjects) and show that these nonlinear problems are essentially well-posed problems with unique solutions.
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Jeux à champ moyen. I – Le cas stationnaire
TL;DR: Lasry et al. as mentioned in this paper introduce an approche generale for modeliser des jeux avec un tres grand nombre of joueurs, and consider des equilibres de Nash a N joues for des problemes stochastiques en temps long and deduisons rigoureusement les equations de type « champ moyen » quand N tend vers l'infini.
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Jeux à champ moyen. II – Horizon fini et contrôle optimal
TL;DR: Lasry et al. as mentioned in this paper considered the case of Nash equilibria for stochastic control type problems in finite horizon and presented general existence and uniqueness results for the partial differential equations systems that they introduced.
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Applications of Malliavin calculus to Monte-Carlo methods in finance. II
TL;DR: This paper returns to the formulas developed in [1] concerning the “greeks” used in European options, and answers the question of optimal weight functional in the sense of minimal variance.
Posted Content
Mean Field Games and Applications
TL;DR: This text is inspired from a “Cours Bachelier” held in January 2009 and taught by Jean-Michel Lasry, based upon the articles of the three authors and upon unpublished materials they developed.