| 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 | 79 | 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 | 65 | 2013 |
| 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 | 43 | 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 | 41 | 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 | 35 | 2011 |
| 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, 2021 | 34* | 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, 2021 | 28 | 2021 |
| STochastic OPTimization library in C++ H Gevret, N Langrené, J Lelong, R Lobato, T Ouillon, X Warin, ... https://hal.archives-ouvertes.fr/hal-01361291, 2020 | 18 | 2020 |
| 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), 37 p., 2016 | 18 | 2016 |
| 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 | 17 | 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 | 17* | 2019 |
| 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 | 16 | 2015 |
| 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 | 8* | 2019 |
| Natural resource extraction with production target: the real option value of variable extraction rate W Chen, N Langrené, T Tarnopolskaya 20th Annual International Real Options Conference, Norway, 15-16 June 2016, 2016 | 7* | 2016 |
| Robust utility maximization under model uncertainty via a penalization approach I Guo, N Langrené, G Loeper, W Ning | 5 | 2020 |
| 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 | 4 | 2019 |
| Local control regression: improving the Least Squares Monte Carlo method for portfolio optimization R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza arXiv preprint arXiv:1803.11467, 2018 | 2 | 2018 |
| Fast multivariate empirical cumulative distribution function with connection to kernel density estimation N Langrené, X Warin arXiv preprint arXiv:2005.03246, 2020 | 1 | 2020 |
| Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes W Chen, B Koo, Y Wang, C O'Hare, N Langrené, P Toscas, Z Zhu Annals of Actuarial Science, 2020 | 1 | 2020 |
Huyên PHAMProfessor, University Paris DiderotVerified email at math.univ-paris-diderot.fr
