René Carmona

Paul Wythes ’55 Professor of Engineering and Finance

STOCHASTIC ANALYSIS PAPERS

  • (with D. Lacker) The weak formulation for Mean Field Games pdf file

  • (with F. Delarue) Mean Field Forward-Backward Stochastic Differential Equations pdf file

  • (with F. Delarue) Control of McKean Vlasov Dynamics pdf file

  • (with F. Delarue) Probabilistic Analysis of Mean Field Games pdf file

  • (with J. Hinz) Least Squares Monte Carlo Approach to Convex Control Problems pdf file

  • (with F. Delarue and A. Lachapelle) Control of McKean-Vlasov Dynamics versus Mean Field Games pdf file

  • (with F. Delarue) Singular FBSDEs and Scalar Conservation Laws Driven by Diffusion Processes pdf file

  • (with F. Delarue, G-E. Espinosa and N. Touzi) Singular forward-backward stochastic differential equations and emissions derivatives pdf file

  • (with S. Dayanik) Optimal Multiple Stopping of Linear Diffusions pdf file

  • (with L. Wang) Monte Carlo Malliavin Sensitivity Computations for Solutions of SPDE's. pdf file

  • (with Ph. Briand) BSDEs with Polynomial Growth Generators pdf file

  • (with S. Grishin and S.A. Molchanov) Asymptotics for the Boundary Parabolic Anderson Problem in a Half Space pdf file

  • (with L. Xu) Renormalization for the Transport Properties of Gaussian Velocity Fields. ps.file

  • (with F. Cerou) Transport Simulations with 2-D Incompressible O.U. Velocity Fields. ps.file

  • (with L. Xu) Homogenization for Time Dependent Gaussian Velocity Fields. ps.file

  • (with S. Grishin, S.A. Molchanov and L.Xu) Surface Stretching for Ornstein Uhlenbeck Velocity Field. ps.file

  • (with Cerou) Transport Properties of Gaussian Velocity Fields. ps.file

  • (with F. Viens) Almost Sure Exponential Behavior of a Stochastic Anderson Model with Continuous Space Parameter. ps.file

  • (with F. Viens and S.A. Molchanov) Sharp Upper Bound for a Parabolic Stochastic Partial Differential Equation. ps.file

  • (with S. Grishin and S.A. Molchanov) Massively Parallel Simulations of Motions in a Gaussian Velocity Field. ps.file

  1. (with D. Nualart) Gradient Estimates and Parabolic Equations with Random Boundary Conditions. (1992)

  • (with L. Xu) Diffusive Scaling Limit for a System with Finite Range Random Interaction ps.file

  • (with L. Xu) Large Deviations and Exponential Decay of the Magnetization in a Gaussian Random Field. ps.file

  • (with J.P. Fouque) Diffusion Approximation for the Advection Diffusion of a Passive Scalar in a Gaussian Space Time Velocity Field. ps.file

  • (with D. Nualart) Gradient Estimates and Parabolic Equations with Random Boundary Conditions. ps.file

  • (with J. Yan) New Spaces of White Noise Distributions and Applications to SPDE's. ps.file

  • (with J.P. Fouque) Diffusion Approximation for Two Parameter Processes. ps.file

  • (with H.S. Ahn and S.A. Molchanov) Parabolic Anderson Problem with Levy Potentials. ps.file

  • (with S.A. Molchanov) Parabolic Anderson Problem and Intermittency. ps.file

  • (with S.A. Molchanov) Stationary Parabolic Anderson Model and Intermittency. ps.file

  • (with D. Nualart) Traces of Random Variables on Wiener Space an the Onsager-Machlup Functional. ps.file

  • (with W. Zheng) Reflected Brownian Motions and Comparison Theorems for Neumann Heat Kernels. ps.file

Misc

  • (with A. Wang) Comparison Tests for the Spectra of Dependent Multivariate Time Series. ps.file

  • (with A. Antoniadis) Multiresolution Analyses and Wavelets for Density Estimation. Technical Report, Math Dpt. UC Irvine. 1990