Faculty

Institution

Unit

Venue

Jean-Pierre Fouque

Distinguished Professor

University of California, Santa Cruz

Affiliations

Baskin School of Engineering

Statistics

Jean-pierre Fouque is currently serving as a Baskin School Of Engineering Distinguished Professor at University of California, Santa Cruz.

Honors

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Experiences

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Education

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Jean-Pierre Fouque

University of California, Santa Cruz

Distinguished Professor

You can click a keyword to filter the displayed items

finance applied mathematics financial economics mathematical finance empirical finance applied physics option pricing wave propagation economics systemic risk volatility modeling portfolio optimization wave theory probability theory time reversal modeling and simulation financial mathematics wave motion wave nonlinearity stochastic volatility asset pricing multiscale modeling nonlinear phenomena nonlinear science computational finance derivative pricing random media option prices control optimization financial stability mathematical optimization nonlinear dynamics financial modeling mean field games nonlinear wave propagation information propagation computational imaging numerical simulations rogue waves inverse scattering transforms multiscale stochastic volatility implied volatility hydrodynamical limit variance reduction optimal portfolio mcmc estimation systemic risk measures wavelet transform theoretical economics economic research microwave technology nonlinear analysis shock waves marine engineering global networks scientometrics bond markets stability analysis nonlinear acoustics phase retrieval filtering technique image enhancement surface waves stochastic resonance stochastic dynamical systems sound propagation acoustical engineering bayesian econometrics financial econometrics economics of networks financial network analysis network models financial markets credit derivatives singular perturbations mean-reverting stochastic volatility applied probability stochastic phenomena econophysics stochastic calculus stochastic process

Notable Scholarly Works

Notable Federal Grants

Collaborators

Analysis of Multiscale Reinforcement Q-Learning Algorithms for Mean Field Control Games. arXiv (Cornell University) (2024)

Angiuli, AndreaFouque, Jean-PierreLaurière, MathieuZhang, Mengrui

reinforcement learningbehavioral sciencesapplied mathematics

Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces. Journal of Machine Learning (2024)

Andrea AngiuliJean-Pierre FouqueRuimeng Hu and Alan Raydan

machine learningdeep reinforcement learningcontinuous spacesapplied mathematics

Collective Arbitrage and the Value of Cooperation. arXiv (Cornell University) (2023)

Biagini, FrancescaDoldi, AlessandroFouque, Jean-PierreFrittelli, MarcoMeyer-Brandis, Thilo

cooperationcollective bargainingeconomicscollective arbitrage

Convergence of Multi-Scale Reinforcement Q-Learning Algorithms for Mean Field Game and Control Problems. arXiv (Cornell University) (2023)

Angiuli, AndreaFouque, Jean-PierreLaurière, MathieuZhang, Mengrui

control problemsreinforcement learningmean field gamesapplied mathematics

Multivariate Systemic Risk Measures and Computation by Deep Learning Algorithms. Quantitative Finance (2023)

A. DoldiY. FengJ.-P. FouqueM. Frittelli

mathematical financedeep learningstatisticsfinancedeep learning algorithmscomputational financefinancial economicssystemic risk

Optimal Investment With Correlated Stochastic Volatility Factors. Mathematical Finance (2023)

Maxim BichuchJean‐Pierre Fouque

mathematical financefinanceoptimal investmentfinancial economicsempirical finance

Reinforcement Learning Algorithm for Mixed Mean Field Control Games. Journal of Machine Learning (2023)

Andrea Angiuli Andrea AngiuliNils Detering Nils DeteringJean-Pierre Fouque Jean-Pierre FouqueMathieu Laurière Mathieu LaurièreJimin Lin Jimin Lin

machine learningreinforcement learningengineering

Deep Learning for Systemic Risk Measures. (2022)

Yichen FengMing MinJean-Pierre Fouque

deep learningsystemic risk measuresfinancerisk managementsystemic riskempirical finance

Optimal Trading With Signals and Stochastic Price Impact. SIAM Journal on Financial Mathematics (2022)

Jean-Pierre FouqueSebastian JaimungalYuri F. Saporito

mathematical financefinancefinancial mathematicsfinancial economicsoptimal tradingstochastic price impactempirical finance

Reinforcement Learning for Intra-And-Inter-Bank Borrowing and Lending Mean Field Control Game. (2022)

Andrea AngiuliNils DeteringJean-Pierre FouqueMathieu LaurièreJimin Lin

reinforcement learningfinanceintra-and-inter-bank borrowing

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Jean-Pierre Fouque

Distinguished Professor

University of California, Santa Cruz

Affiliations

Baskin School of Engineering

Statistics

Jean-pierre Fouque is currently serving as a Baskin School Of Engineering Distinguished Professor at University of California, Santa Cruz.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Jean-Pierre Fouque

University of California, Santa Cruz

Distinguished Professor

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

Analysis of Multiscale Reinforcement Q-Learning Algorithms for Mean Field Control Games. arXiv (Cornell University) (2024)

Angiuli, AndreaFouque, Jean-PierreLaurière, MathieuZhang, Mengrui

reinforcement learningbehavioral sciencesapplied mathematics

Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces. Journal of Machine Learning (2024)

Andrea AngiuliJean-Pierre FouqueRuimeng Hu and Alan Raydan

machine learningdeep reinforcement learningcontinuous spacesapplied mathematics

Collective Arbitrage and the Value of Cooperation. arXiv (Cornell University) (2023)

Biagini, FrancescaDoldi, AlessandroFouque, Jean-PierreFrittelli, MarcoMeyer-Brandis, Thilo

cooperationcollective bargainingeconomicscollective arbitrage

Convergence of Multi-Scale Reinforcement Q-Learning Algorithms for Mean Field Game and Control Problems. arXiv (Cornell University) (2023)

Angiuli, AndreaFouque, Jean-PierreLaurière, MathieuZhang, Mengrui

control problemsreinforcement learningmean field gamesapplied mathematics

Multivariate Systemic Risk Measures and Computation by Deep Learning Algorithms. Quantitative Finance (2023)

A. DoldiY. FengJ.-P. FouqueM. Frittelli

mathematical financedeep learningstatisticsfinancedeep learning algorithmscomputational financefinancial economicssystemic risk

Optimal Investment With Correlated Stochastic Volatility Factors. Mathematical Finance (2023)

Maxim BichuchJean‐Pierre Fouque

mathematical financefinanceoptimal investmentfinancial economicsempirical finance

Reinforcement Learning Algorithm for Mixed Mean Field Control Games. Journal of Machine Learning (2023)

Andrea Angiuli Andrea AngiuliNils Detering Nils DeteringJean-Pierre Fouque Jean-Pierre FouqueMathieu Laurière Mathieu LaurièreJimin Lin Jimin Lin

machine learningreinforcement learningengineering

Deep Learning for Systemic Risk Measures. (2022)

Yichen FengMing MinJean-Pierre Fouque

deep learningsystemic risk measuresfinancerisk managementsystemic riskempirical finance

Optimal Trading With Signals and Stochastic Price Impact. SIAM Journal on Financial Mathematics (2022)

Jean-Pierre FouqueSebastian JaimungalYuri F. Saporito

mathematical financefinancefinancial mathematicsfinancial economicsoptimal tradingstochastic price impactempirical finance

Reinforcement Learning for Intra-And-Inter-Bank Borrowing and Lending Mean Field Control Game. (2022)

Andrea AngiuliNils DeteringJean-Pierre FouqueMathieu LaurièreJimin Lin

reinforcement learningfinanceintra-and-inter-bank borrowing

1
2
3
4
5
14
10 / page

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computational science

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