RenĂ© 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 ForwardBackward 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 McKeanVlasov 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, GE. Espinosa and N. Touzi) Singular forwardbackward 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 2D 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
(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 OnsagerMachlup 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
