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Faculty of Science and Tech...
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Research outside affiliated...
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LANGRENÉ Nicolas
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Journal article
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2022
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Fokker–Planck
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Mass transport
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Optimal mass transport
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Journal of Computational Ph...
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Quantitative Finance
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A phase field model for mass transport with semi-permeable interfaces
Journal article
Journal of Computational Physics,2022, volume: 464
Authors:
Qin, Yuzhe
;
Huang, Huaxiong
;
Zhu, Yi
;
Liu, Chun
;
Xu, Shixin
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View/Download:17/0
  |  
Submit date:2022/09/05
Mass transport
Phase field method
Restricted diffusion
Sharp interface limit
Portfolio optimization with a prescribed terminal wealth distribution
Journal article
Quantitative Finance,2022, volume: 22, issue: 2, pages: 333-347
Authors:
Guo, Ivan
;
Langrené, Nicolas
;
Loeper, Grégoire
;
Ning, Wei
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View/Download:6/0
  |  
Submit date:2022/08/29
Fokker–Planck
HJB
Optimal mass transport
Portfolio allocation
Wealth distribution target