Research

Journal publications

Optimal Execution under Liquidity UncertaintySIAM J. Fin. Math.
with Etienne Chevalier, Sergio Pulido & Vathana Ly Vath · Forthcoming, SIAM Journal on Financial Mathematics, 2026
Uncovering Market Disorder and Liquidity Trends DetectionMath. Finance
with Etienne Chevalier & Vathana Ly Vath · Forthcoming, Mathematical Finance, 2026

Conference proceedings

Optimal Execution with Reinforcement Learning in a Multi-Agent Market Simulator
with Edoardo Vittori · 3rd Intl. Conf. on AI, Computer, Data Sciences and Applications (IEEE), 2026

Preprints

Stochastic Maximum Principle for McKean–Vlasov Control with Discrete Path Dependence
with Samy Mekkaoui & Huyên Pham · submitted, 2026
Deep-MKV-TS: Path-Dependent McKean–Vlasov Control for Financial Time Series Generation
with Samer El Boustany, Theo Basseras, Samy Mekkaoui, Alexandre Alouadi & Huyên Pham · submitted, 2026
Policy Gradient Learning for Distributionally Robust Markov Decision Processes under Wasserstein Ambiguity
with Samy Mekkaoui, Huyên Pham & Kaixin Yan · submitted, 2026 · Code
Learning Generative Dynamics with Soft Law Constraints: A McKean–Vlasov FBSDE Approach
with Samer El Boustany, Samy Mekkaoui, Alexandre Alouadi & Huyên Pham · submitted, 2026 · Code
Trading in CEXs and DEXs with Priority Fees and Stochastic Delays
with Philippe Bergault & Leandro Sánchez-Betancourt · submitted, 2026
Reinforcement Learning for Optimal Execution with the Queue Reactive Model
with Tomas España, Fabrizio Lillo & Edoardo Vittori · submitted, 2025 · Code
Optimal Execution under Incomplete Information
with Etienne Chevalier & Vathana Ly Vath · submitted, 2024 · Code

Working papers

Optimal Dividend and Portfolio Growth for an Insurance Company under Uncertainty
with Etienne Chevalier, Vathana Ly Vath & Chao Zhou

Thesis

Inference and Control of Liquidity Risk
PhD thesis, Université Paris-Saclay · HAL repository