R
René Carmona
Researcher at Princeton University
Publications - 211
Citations - 11517
René Carmona is an academic researcher from Princeton University. The author has contributed to research in topics: Stochastic differential equation & Nash equilibrium. The author has an hindex of 53, co-authored 206 publications receiving 10163 citations. Previous affiliations of René Carmona include University of California, Irvine.
Papers
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Journal ArticleDOI
Singular forward–backward stochastic differential equations and emissions derivatives
TL;DR: In this paper, the authors introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and explain how and why they appear naturally as models for the valuation of CO2 emission allowances.
Book
Statistical Analysis of Financial Data in R
TL;DR: This paper presents a meta-modelling framework for solving the challenge of how to model the role of covariance in the distribution of values in a discrete-time model.
Journal ArticleDOI
Particle methods for the estimation of credit portfolio loss distributions
René Carmona,Stéphane Crépey +1 more
TL;DR: The goal of the paper is the numerical analysis of the performance of Monte Carlo simulation based methods for the computation of credit-portfolio loss-distributions in the context of Markovian intensity models of credit risk.
Journal ArticleDOI
Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: I -- The Ergodic Case
René Carmona,Mathieu Laurière +1 more
TL;DR: In this article, two algorithms for the optimal control of ergodic McKean-Vlasov dynamics were proposed based on approximations of the theoretical solutions by neural networks.
Journal ArticleDOI
Random Nonlinear Wave Equations: Propagation of Singularities
René Carmona,David Nualart +1 more
TL;DR: In this paper, the smoothness properties of one-dimensional wave equations with nonlinear random forcing were investigated and the existence of singularities in the local modulus of continuity of the solutions was proved.