Huyen Pham

Finance · 2001–2021

A researcher in the Science corpus: 25 papers; trusts 93 researchers and is trusted by 56 researchers here, as inferred from the citation graph.

Subfields

• Finance — 158 citations into it; #446 of 10,518 by trust here, #1,351 by citations
• Economics and Econometrics — 81 citations into it; #1,496 of 23,481 by trust here, #7,434 by citations
• Demography — 40 citations into it; #151 of 4,236 by trust here, #1,005 by citations
• Management Science and Operations Research — 26 citations into it; #2,948 of 11,946 by trust here, #3,825 by citations
• Applied Mathematics — 21 citations into it
• Computational Theory and Mathematics — 18 citations into it; #4,540 of 12,182 by trust here, #7,851 by citations
• Modeling and Simulation — 16 citations into it
• Statistical and Nonlinear Physics — 13 citations into it

Whom Huyen Pham trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Wendell H. Fleming
2. François Delarue
3. Xun Yu Zhou
4. Gilles Pagès
5. René A. Carmona
6. Daniel Andersson
7. Bruno Bouchard
8. Emmanuel Gobet
9. R. Rouge
10. M. Crandall

Who trusts Huyen Pham overall

1. P. J. Graber
2. Yasushi Ishikawa
3. Thaleia Zariphopoulou
4. Marek Musiela
5. Peter A. Forsyth
6. Daniel Lacker
7. Y. Huang
8. Zhongfei Li
9. Fred Espen Benth
10. Ulrich Rieder

Papers from Huyen Pham's perspective

Ordered by how strongly the researchers Huyen Pham trusts endorse each paper. Same corpus, a different order for every researcher.

1. Controlled Markov processes and viscosity solutions
2. Mean field games
3. Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
4. Valuing American Options by Simulation: A Simple Least-Squares Approach
5. Forward-Backward Stochastic Differential Equations and their Applications
6. Gradient Flows: In Metric Spaces and in the Space of Probability Measures
7. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
8. User’s guide to viscosity solutions of second order partial differential equations
9. A Forward-Backward Stochastic Algorithm For Quasi-Linear PDEs
10. Pricing Via Utility Maximization and Entropy

Their papers

• Continuous-time stochastic control and optimization with financial applications / Huyen Pham (2009) — 1,131 citations
• Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints (2002) — 138 citations
• Dual formulation of the utility maximization problem under transaction costs (2001) — 90 citations
• Bellman equation and viscosity solutions for mean-field stochastic control problem (2015) — 180 citations
• Optimal Partially Reversible Investment with Entry Decision and General Production Function (2005) — 96 citations
• On some recent aspects of stochastic control and their applications (2005) — 99 citations
• Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension (2020) — 49 citations
• Optimal quantization methods and applications to numerical problems in finance (2004) — 173 citations
• Optimal investment with counterparty risk: a default-density modeling approach (2009) — 58 citations
• Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions (2021) — 70 citations
• Zero-sum stochastic differential games of generalized McKean–Vlasov type (2018) — 66 citations
• Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017) — 53 citations
• Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (2016) — 76 citations
• Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications (2016) — 77 citations
• Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics (2016) — 100 citations
• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (2012) — 70 citations
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach (2011) — 62 citations
• Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010) — 68 citations
• Backward SDEs with constrained jumps and quasi-variational inequalities (2008) — 94 citations
• Impulse control problem on finite horizon with execution delay (2007) — 58 citations