René A. Carmona
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René A. Carmonamathematics Degrees
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Probability Theory
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Statistics
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Mathematics
René A. Carmona's Degrees
- PhD Mathematics University of California, Berkeley
- Masters Mathematics University of California, Berkeley
- Bachelors Mathematics University of Buenos Aires
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(Suggest an Edit or Addition)René A. Carmona's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Spectral Theory of Random Schrödinger Operators (1990) (710)
- Probabilistic Analysis of Mean-Field Games (2012) (393)
- Probabilistic Theory of Mean Field Games with Applications II: Mean Field Games with Common Noise and Master Equations (2018) (376)
- Probabilistic Theory of Mean Field Games with Applications I: Mean Field FBSDEs, Control, and Games (2018) (361)
- Pricing and Hedging Spread Options (2003) (333)
- Characterization of signals by the ridges of their wavelet transforms (1997) (316)
- Parabolic Anderson Problem and Intermittency (1994) (305)
- Anderson localization for Bernoulli and other singular potentials (1987) (296)
- Stochastic Partial Differential Equations: Six Perspectives (1998) (280)
- Relativistic Schrödinger operators: Asymptotic behavior of the eigenfunctions (1990) (270)
- Mean Field Games and Systemic Risk (2013) (248)
- Control of McKean–Vlasov dynamics versus mean field games (2012) (239)
- Multiridge detection and time-frequency reconstruction (1999) (237)
- Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics (2013) (234)
- Practical Time-Frequency Analysis (1998) (207)
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008) (201)
- Valuation of energy storage: an optimal switching approach (2010) (197)
- Indifference Pricing: Theory and Applications (2008) (190)
- Mean field games with common noise (2014) (188)
- Interest rate models : an infinite dimensional stochastic analysis perspective (2006) (180)
- A probabilistic weak formulation of mean field games and applications (2013) (172)
- Practical Time-Frequency Analysis, Volume 9: Gabor and Wavelet Transforms, with an Implementation in S (1998) (162)
- Market Design for Emission Trading Schemes (2010) (138)
- Can one hear the dimension of a fractal? (1986) (127)
- Adaptive smoothing respecting feature directions (1998) (124)
- The Master Equation for Large Population Equilibriums (2014) (114)
- Mean field forward-backward stochastic differential equations (2012) (109)
- Random non-linear wave equations: Smoothness of the solutions (1988) (108)
- A Survey of Commodity Markets and Structural Models for Electricity Prices (2014) (104)
- Pricing Asset Scheduling Flexibility using Optimal Switching (2008) (103)
- Optimal Stochastic Control and Carbon Price Formation (2009) (98)
- BSDEs with polynomial growth generators (2000) (96)
- Regularity properties of Schrödinger and Dirichlet semigroups (1979) (94)
- Pointwise bounds on eigenfunctions and wave packets in $N$-body quantum systems. V. Lower bounds and path integrals (1981) (94)
- Exponential localization in one dimensional disordered systems (1982) (92)
- Electricity price modeling and asset valuation: a multi-fuel structural approach (2012) (83)
- Local volatility dynamic models (2009) (80)
- A Probabilistic Approach to Mean Field Games with Major and Minor Players (2014) (80)
- Risk-Neutral Models for Emission Allowance Prices and Option Valuation (2011) (78)
- One-dimensional Schrödinger operators with random or deterministic potentials: New spectral types (1983) (74)
- Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: II - The Finite Horizon Case (2019) (73)
- Generalizing the Black-Scholes Formula to Multivariate Contingent Claims (2005) (70)
- Interacting particle systems for the computation of rare credit portfolio losses (2009) (68)
- A Characterization of Hedging Portfolios for Interest Rate Contingent Claims (2004) (66)
- Optimal Multiple Stopping of Linear Diffusions (2008) (65)
- Systemic Risk and Stochastic Games with Delay (2016) (64)
- Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective (2018) (61)
- Stationary parabolic Anderson model and intermittency (1995) (60)
- Mean Field Games of Timing and Models for Bank Runs (2016) (59)
- Spectral Theory of Self-Adjoint Operators (1990) (57)
- Pointwise bounds for Schrödinger eigenstates (1978) (57)
- Paris-Princeton Lectures on Mathematical Finance 2002 (2003) (56)
- Numerical methods in finance (2012) (54)
- Model-Free Mean-Field Reinforcement Learning: Mean-Field MDP and Mean-Field Q-Learning (2019) (53)
- Linear-Quadratic Mean-Field Reinforcement Learning: Convergence of Policy Gradient Methods (2019) (50)
- Pointwise bounds on eigenfunctions and wave packets inN-body quantum systems (1978) (49)
- Statistical analysis of financial data in R (2014) (46)
- Almost-sure exponential behavior of a stochastic anderson model with continuous space parameter (1998) (45)
- Statistical Analysis of Financial Data in S-Plus (2004) (43)
- Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games: I - The Ergodic Case (2019) (43)
- Asymptotics for the almost sure lyapunov exponent for the solution of the parabolic Anderson problem (2002) (42)
- Random Nonlinear Wave Equations: Propagation of Singularities (1988) (39)
- Spot Convenience Yield Models for the Energy Markets (2003) (38)
- Particle Methods For The Estimation Of Credit Portfolio Loss Distributions (2010) (36)
- Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives (2012) (35)
- Nonlinear Stochastic Integrators, Equations and Flows (1990) (34)
- Measurable norms and some Banach space valued Gaussian processes (1977) (33)
- Stochastic Graphon Games: I. The Static Case (2019) (32)
- A study of health monitoring systems of linear structures using wavelet analysis (1997) (32)
- Wavelet analysis for brain-function imaging (1995) (32)
- The valuation of clean spread options: linking electricity, emissions and fuels (2012) (31)
- An Alternative Approach to Mean Field Game with Major and Minor Players, and Applications to Herders Impacts (2016) (29)
- Homogenization for time-dependent two-dimensional incompressible Gaussian flows (1997) (29)
- HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets (2007) (28)
- Pricing precipitation based derivatives (2005) (27)
- The Integrated Density of States (1990) (25)
- Exponential Moments for Hitting Times of Uniformly Ergodic Markov Processes (1983) (25)
- Sharp upper bound on the almost-sure exponential behavior of a stochastic parabolic partial differential equation (1996) (24)
- PRICING AND HEDGING SPREAD OPTIONS IN A LOG-NORMAL MODEL (2003) (23)
- Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach (2020) (23)
- Finite State Mean Field Games with Major and Minor Players (2016) (23)
- Diffusion-Approximation for the Advection-Diffusion of a Passive Scalar by a Space-Time Gaussian Velocity Field (1995) (22)
- Wavelet identification of transients in noisy time series (1993) (22)
- Tensor product of Gaussian measures (1978) (21)
- Gas Storage and Supply Guarantees : An Optimal Switching Approach (2005) (21)
- Path integrals for relativistic Schrodinger operators (1989) (21)
- Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes (1987) (20)
- Predatory Trading : a Game on Volatility and Liquidity (2008) (20)
- Applications of Mean Field Games in financial engineering and economic theory (2020) (19)
- High Frequency Market Making (2012) (19)
- Finite-State Contract Theory with a Principal and a Field of Agents (2018) (19)
- Tangent Lévy market models (2012) (19)
- Small Ball Asymptotics for the Stochastic Wave Equation ∗ (2003) (19)
- Inverse spectral theory for random Jacobi matrices (1987) (18)
- OPTIMAL MULTIPLE-STOPPING OF LINEAR DIFFUSIONS AND SWING OPTIONS (2003) (17)
- Cemracs 2017: numerical probabilistic approach to MFG (2019) (17)
- FINANCIAL MATHEMATICS (2014) (17)
- Random schrödinger operators (1986) (15)
- The Clean Development Mechanism and Joint Price Formation for Allowances and CERs (2011) (14)
- Finite State Graphon Games with Applications to Epidemics (2021) (14)
- A Probabilistic Approach to Extended Finite State Mean Field Games (2018) (13)
- Transport by Incompressible random velocity fields: Simula- tions & Mathematical Conjectures (1999) (13)
- The self-financing equation in limit order book markets (2019) (13)
- Price of anarchy for Mean Field Games (2018) (12)
- An Introduction to Particle Methods with Financial Applications (2012) (12)
- Stochastic Graphon Games: II. The Linear-Quadratic Case (2021) (12)
- Identification of Chirps with Continuous Wavelet Transform (1995) (11)
- Tangent models as a mathematical framework for dynamic calibration (2011) (11)
- Wavelet denoising of EEG signals and identification of evoked response potentials (1994) (10)
- The Self-Financing Equation in High Frequency Markets (2013) (10)
- AN INFINITE DIMENSIONAL STOCHASTIC ANALYSIS APPROACH TO LOCAL VOLATILITY DYNAMIC MODELS (2008) (10)
- Singular FBSDEs and scalar conservation laws driven by diffusion processes (2012) (9)
- Massively parallel simulations of motions in a Gaussian velocity field (1996) (9)
- PRICING COMMODITY DERIVATIVES WITH BASIS RISK AND PARTIAL OBSERVATIONS (2006) (9)
- Infinite dimensional newtonian potentials (1980) (9)
- Properly designed emissions trading schemes do work (2009) (8)
- A diffusion approximation result for two parameter processes (1994) (8)
- Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance (2021) (8)
- Nonstationary anderson model with lévy potential (1992) (8)
- Surface Stretching for Ornstein Uhlenbeck Velocity Fields (1997) (8)
- Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game (2018) (7)
- Financialization of the Commodities Markets: A Non-technical Introduction (2015) (7)
- Numerical methods in finance : Bordeaux, June 2010 (2012) (7)
- CONVENIENCE YIELD MODEL WITH PARTIAL OBSERVATIONS AND EXPONENTIAL UTILITY (2004) (7)
- Policy Optimization for Linear-Quadratic Zero-Sum Mean-Field Type Games (2020) (6)
- Tensor Gaussian measures on Lp(E) (1979) (6)
- Extrema Reconstructions and Spline Smoothing: Variations on an Algorithm of Mallat & Zhong (1995) (6)
- Implied and Local Correlations from Spread Options (2011) (6)
- One-dimensional Schrödinger operators with random potentials: A survey (1985) (6)
- Comparison tests for the spectra of dependent multivariate time series (1996) (6)
- One-dimensional Schrdinger operators with random potentials (1984) (6)
- Interior point methods for sea-bottom image enhancement (1997) (5)
- A Statistical Analysis of Editorial Influence and Author-Character Similarities in 1990s New Yorker Fiction (2007) (5)
- Absolute Continuous Spectrum of One-Dimensional Schrödinger Operators (1984) (5)
- Spot Convenience Yield Models for Energy Assets (2003) (5)
- Potentials on abstract Wiener space (1977) (5)
- Interest rate models: from parametric statistics to infinite dimensional stochastic analysis (2002) (5)
- Calibrating Arbitrage-Free Stochastic Volatility Models by Relative Entropy Method (1997) (5)
- HEDGING IN PARTIALLY OBSERVABLE MARKETS (2004) (5)
- Diffusive Hydrodynamic Limits for Systems of Interacting Diffusions with Finite Range Random Interaction (1997) (5)
- The Dyson Game (2018) (4)
- Mean Field Models to Regulate Carbon Emissions in Electricity Production (2021) (4)
- Chapter Four. From Markovian To Partially Observable Models (2008) (4)
- Interacting Particle Systems for the Computation of CDO Tranche Spreads with Rare Defaults (2008) (4)
- Products of Random Matrices (1990) (3)
- Simulation of Implied Volatility Surfaces via Tangent Lévy Models (2015) (3)
- Synchronization in a Kuramoto Mean Field Game (2022) (3)
- Chapter Seven. Applications To Weather Derivatives And Energy Contracts (2008) (3)
- PRICING AND HEDGING MULTIVARIATE CONTINGENT CLAIMS (2003) (3)
- Heavy Tail Distributions (2014) (3)
- Linear-Quadratic Zero-Sum Mean-Field Type Games: Optimality Conditions and Policy Optimization (2020) (3)
- Optimal Execution with Quadratic Variation Inventories (2021) (3)
- The Master Field and the Master Equation (2018) (3)
- The Dyson and Coulomb Games (2018) (3)
- Applications of a New Self-Financing Equation (2019) (3)
- Generalized McKean-Vlasov (Mean Field) Control: a stochastic maximum principle and a transport perspective (2018) (3)
- Numerical Probabilistic Approach to MFG (2018) (3)
- Control of McKean–Vlasov dynamics versus mean field games (2012) (2)
- Learning by Examples: What Is a Mean Field Game? (2018) (2)
- Carbon Allowances and Electricity Prices: a Game-theory Approach (2011) (1)
- Joint Stochastic Model for Electric Load, Solar and Wind Power at Asset Level and Monte Carlo Scenario GenerationRen\'e Carmona \&Xinshuo Yang (2022) (1)
- Banach space valued gaussian processes (1979) (1)
- The Clean Development Mechanism and CER Price Formation in the Carbon Emission Markets (2009) (1)
- Large deviations and exponential decay for the magnetization in a Gaussian random field (1996) (1)
- Auctions and Relative Allocation Mechanisms for Cap-and-Trade Schemes (2011) (1)
- Mean Field Game Model for an Advertising Competition in a Duopoly (2021) (1)
- Localization in One Dimension (1990) (1)
- Stochastic Differential Mean Field Games (2018) (1)
- A New Space of White Noise Distributions and Applications to Spde’s (1995) (1)
- An Alternative Approach to Mean Field Game with Major and Minor Players, and Applications to Herders Impacts (2017) (1)
- Evaluating the Economics of Climate Risks and Opportunities in the Insurance Sector Properly designed emissions trading schemes do work ! (2010) (1)
- Monte Carlo Malliavin Computation of the Sensitivities of Solutions of SPDEs (2009) (1)
- 1 Tales and Woes of High Frequency Trading : an Introduction (2014) (1)
- GLASSO Model for Electric Load and Wind Power and Monte Carlo Scenario GenerationRen\'e Carmona \&Xinshuo Yang (2021) (1)
- FBSDEs and the Solution of MFGs Without Common Noise (2018) (1)
- The influence of economic research on financial mathematics: Evidence from the last 25 years (2021) (0)
- Errata: Mean field games with common noise (2020) (0)
- Localization in Any Dimension (1990) (0)
- Optimal Execution with Identity Optionality (2022) (0)
- Solving MFGs with a Common Noise (2018) (0)
- Chapter 3: Continuous Time Stochastic Optimization and Control (2016) (0)
- Time-Frequency Analysis of 1-D Signals [R package Rwave version 2.4-8] (2018) (0)
- Absolutely Continuous Spectrum and Inverse Theory (1990) (0)
- Chapter 5: Stochastic Differential Games (2016) (0)
- Message From the Editors-in-Chief (2010) (0)
- The self-financing equation in limit order book markets (2019) (0)
- 8th Oxford-Princeton Workshop on Financial Mathematics & Stochastic Analysis (2014) (0)
- Workshop/School on Stochastic Partial Differential Equations: Theory and Applications. (1996) (0)
- Univariate Data Distributions (2014) (0)
- Systemic Risk and Stochastic Games with Delay (2018) (0)
- Extensions for Volume I (2018) (0)
- Asymptotics for the boundary parabolic Anderson problem in a half space (2004) (0)
- Spaces of Measures and Related Differential Calculus (2018) (0)
- Nonlinear Time Series: Models and Simulation (2014) (0)
- Exercises for a Book on Random Potentials (1987) (0)
- Learning Data Analysis and Mathematical Statistics with a Macintosh (1993) (0)
- Jet Lag Recovery: Synchronization of Circadian Oscillators as a Mean Field Game (2019) (0)
- Chapter 1: Stochastic Differential Equations (2016) (0)
- Frequency content and autocorrelation function of noisy periodic signals (2003) (0)
- Multivariate Time Series, Linear Systems and Kalman Filtering (2014) (0)
- 2020 Joseph L. Doob prize (2020) (0)
- The microstructure of high frequency markets (2017) (0)
- Chapter 4: Probabilistic Approaches to Stochastic Control (2016) (0)
- Dependence & Multivariate Data Exploration (2014) (0)
- Chapter 2: Backward Stochastic Differential Equations (2016) (0)
- The influence of economic research on financial mathematics: Evidence from the last 25 years (2021) (0)
- MFGs with a Common Noise: Strong and Weak Solutions (2018) (0)
- Finite State Graphon Games with Applications to Epidemics (2022) (0)
- Weak vs. Strong Correlations: Bid-Ask Spreads for Weather-Contingent Options (2003) (0)
- PR ] 7 M ay 2 01 8 CEMRACS 2017 : Numerical Probabilistic Approach to MFG (2018) (0)
- Probabilistic Approach to Stochastic Differential Games (2018) (0)
- Classical Solutions to the Master Equation (2018) (0)
- Local and Nonparametric Regression (2014) (0)
- Time Series Models: AR, MA, ARMA, & ALL THAT (2014) (0)
- Statistical Evidence of Contagion in Emerging Markets (2013) (0)
- Singular FBSDEs and scalar conservation laws driven by diffusion processes (2012) (0)
- Workshop on deterministic and stochastic partial differential equations November 6-8 , 2015 Titles and Abstracts (2015) (0)
- Mean Field Model for an Advertising Competition in a Duopoly (2022) (0)
- One-Dimensional Schrödinger Operators (1990) (0)
- Mean Field Games of Timing and Models for Bank Runs (2017) (0)
- Tangent Lévy market models (2011) (0)
- Ergodic Families of Self-Adjoint Operators (1990) (0)
- Electricity price modeling and asset valuation: a multi-fuel structural approach (2012) (0)
- Chapter 6: Mean-Field Games (2016) (0)
- Optimization in a Random Environment (2018) (0)
- Workshop/School on Stochastic Partial Equations: Theory and Applications. (1996) (0)
- Mathematics of the Emissions Markets (2009) (0)
- Optimal Control of SDEs of McKean-Vlasov Type (2018) (0)
- Consistency of the Geometric Brownian Motion Model of Stock Prices with Asymmetric Information (2007) (0)
- Convergence and Approximations (2018) (0)
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