RESEARCH INTERESTS

Stochastic controls and stochastic games

Interface of machine learning with stochastic controls

EDUCATION

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

EXPERIENCE

2021-present: Tsinghua-Berkeley Shenzhen Institute, Tsinghua University, Assistant Professor

2019-2021: UC Berkeley, Postdoc

2017 Fall: National University of Singapore, visiting scholar

PUBLICATIONS (Selective)

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.