| Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis C Huré, H Pham, A Bachouch, N Langrené SIAM Journal on Numerical Analysis 59 (1), 525–557, 2021 | 134 | 2021 |
| Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications A Bachouch, C Huré, N Langrené, H Pham Methodology and Computing in Applied Probability 24 (1), 143-178, 2022 | 120* | 2022 |
| A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization I Kharroubi, N Langrené, H Pham Monte Carlo Methods and Applications 20 (2), 145-165, 2014 | 95 | 2014 |
| A structural risk‐neutral model for pricing and hedging power derivatives R Aid, L Campi, N Langrené Mathematical Finance 23 (3), 387-438, 2013 | 89 | 2013 |
| Fast and stable multivariate kernel density estimation by fast sum updating N Langrené, X Warin Journal of Computational and Graphical Statistics 28 (3), 596-608, 2019 | 50 | 2019 |
| Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps I Kharroubi, N Langrené, H Pham Annals of Applied Probability 25 (4), 2301-2338, 2015 | 49 | 2015 |
| A probabilistic numerical method for optimal multiple switching problems in high dimension R Aïd, L Campi, N Langrené, H Pham SIAM Journal on Financial Mathematics 5 (1), 191-231, 2014 | 48 | 2014 |
| Dynamic constraints for aggregated units: formulation and application N Langrené, W Van Ackooij, F Bréant IEEE Transactions on Power Systems 26 (3), 1349-1356, 2011 | 43 | 2011 |
| Accounting for tailings dam failures in the valuation of mining projects M Armstrong, N Langrené, R Petter, W Chen, C Petter Resources Policy 63, 101461, 2019 | 32 | 2019 |
| Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza Quantitative Finance 19 (3), 519-532, 2019 | 30* | 2019 |
| Switching to nonaffine stochastic volatility: a closed-form expansion for the Inverse Gamma model N Langrené, G Lee, Z Zhu International Journal of Theoretical and Applied Finance 19 (5), 1650031, 2016 | 29 | 2016 |
| STochastic OPTimization library in C++ H Gevret, N Langrené, J Lelong, R Lobato, T Ouillon, X Warin, ... https://hal.science/hal-01361291/, 2018 | 26 | 2018 |
| Fast multivariate empirical cumulative distribution function with connection to kernel density estimation N Langrené, X Warin Computational Statistics and Data Analysis 162, 107267, 2021 | 22 | 2021 |
| Unleashing the potential of prompt engineering in Large Language Models: a comprehensive review B Chen, Z Zhang, N Langrené, S Zhu arXiv preprint arXiv:2310.14735, 2023 | 19 | 2023 |
| Robust utility maximization under model uncertainty via a penalization approach I Guo, N Langrené, G Loeper, W Ning Mathematics and Financial Economics 16 (1), 51-88, 2022 | 18 | 2022 |
| New regression Monte Carlo methods for high-dimensional real options problems in minerals industry N Langrené, T Tarnopolskaya, W Chen, Z Zhu, M Cooksey 21st International Congress on Modelling and Simulation, Gold Coast …, 2015 | 18 | 2015 |
| Markovian approximation of the rough Bergomi model for Monte Carlo option pricing Q Zhu, G Loeper, W Chen, N Langrené Mathematics 9 (5), 528, 2021 | 12 | 2021 |
| Portfolio optimization with a prescribed terminal wealth distribution I Guo, N Langrené, G Loeper, W Ning Quantitative Finance 22 (2), 333-347, 2022 | 11 | 2022 |
| Switching surfaces for optimal natural resource extraction under uncertainty W Chen, T Tarnopolskaya, N Langrené, T Lo 21st International Congress on Modelling and Simulation, Gold Coast …, 2015 | 11 | 2015 |
| Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza Journal of Computational Finance 23 (1), 97-127, 2019 | 10* | 2019 |
Huyên PHAMProfessor, University Paris DiderotVerified email at math.univ-paris-diderot.fr
