Stochastic controls and stochastic games
Interface of machine learning with stochastic controls
2015-2018: Ph.D. Université Paris Diderot (Paris 7)
2014-2015: M.S. Université Paris Dauphine (Paris 9)
2010-2014: B.S. University of Science and Technology of China
2021-present: Tsinghua-Berkeley Shenzhen Institute, Tsinghua University, Assistant Professor
2019-2021: UC Berkeley, Postdoc
2017 Fall: National University of Singapore, visiting scholar
H. Pham, X. Wei, and C. Zhou. Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. Mathematical Finance, 2021, https://doi.org/10.1111/mafi.12320.
H. Pham and X. Wei. Bellman equation and viscosity solutions for the mean-field stochastic control problem. ESAIM: Control, Optimization and Calculus of Variations}, 24(1):437-461, 2018.
H. Pham and X. Wei. Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics. SIAM Journal on Control and Optimization}, 55(2): 1069-1101, 2017.
H. Pham and X. Wei. Discrete time McKean-Vlasov control problem: A dynamic programming approach. Applied Mathematics and Optimization, 74(3): 487-506, 2016.