Curriculum vitae

Lasry Jean-Michel

Professeur émérite
CEREMADE

lasryping@ceremade.dauphinepong.fr
Tel : 01 44 05 44 05

Dernières publications

BU Paris-Dauphine

Articles

Bertucci C., Lasry J., Lions P. (2019), Some remarks on Mean Field Games, Communications in Partial Differential Equations, vol. 44, n°3, p. 205-227

Fernandez Tapia J., Guéant O., Lasry J-M. (2017), Optimal Real-Time Bidding Strategies, Applied Mathematics Research Express, vol. March 2017, n°1, 1, p. 142–183

Achdou Y., Giraud P-N., Lasry J-M., Lions P-L. (2016), A Long-Term Mathematical Model for Mining Industries, Applied Mathematics and Optimization, vol. 74, n°3, p. 579–618

Achdou Y., Buera F., Lasry J-M., Lions P-L., Moll B. (2014), Partial differential equation models in macroeconomics, Philosophical Transactions. Physical, Mathematical and Engineering Sciences, vol. 372

Lasry J-M. (2014), Serendipity, Mathematics and Financial Economics, vol. 8, n°4, p. 327-331

Porretta A., Lions P-L., Lasry J-M., Cardaliaguet P. (2013), Long Time Average of Mean Field Games with a Nonlocal Coupling, SIAM Journal on Control and Optimization, vol. 51, n°5, p. 3558–3591

Guéant O., Guesnerie R., Lasry J-M. (2012), Ecological Intuition versus Economic “Reason”, Journal of Public Economic Theory, vol. 14, n°2, p. 245-272

Lasry J-M., Porretta A., Lions P-L., Cardaliaguet P. (2012), Long time average of mean field games, Networks and Heterogeneous Media, vol. 7, n°2, p. 279-301

Lasry J-M., Lions P-L. (2007), Mean Field Games, Japanese Journal of Mathematics, vol. 2, n°1, p. 229-260

Lasry J-M., Lions P-L. (2007), Large investor trading impacts on volatility, Annales de l'Institut Henri Poincaré (C) Analyse non linéaire, vol. 24, n°2, p. 311-323

Lasry J-M., Lions P-L. (2007), Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values, Annales de l'Institut Henri Poincaré (C) Analyse non linéaire, vol. 24, n°3, p. 361-368

Lions P-L., Lasry J-M. (2006), Towards a self-consistent theory of volatility, Journal de mathématiques pures et appliquées, vol. 86, n°6, p. 541-551

Lions P-L., Lasry J-M. (2006), Jeux à champ moyen. II – Horizon fini et contrôle optimal, Comptes rendus. Mathématique, vol. 343, n°10, p. 679-684

Lions P-L., Lasry J-M. (2006), Jeux à champ moyen. I – Le cas stationnaire, Comptes rendus. Mathématique, vol. 343, n°9, p. 619-625

Lions P-L., Lasry J-M., Lebuchoux J., Fournié E. (2001), Applications of Malliavin calculus to Monte-Carlo methods in finance. II, Finance and Stochastics, vol. 5, n°2, p. 201-236

Lasry J-M., Lions P-L. (2000), Une classe nouvelle de problèmes singuliers de contrôle stochastique, Comptes rendus. Mathématique, vol. 331, n°11, p. 879-885

Lions P-L., Lasry J-M. (1999), Contrôle stochastique avec informations partielles et applications à la Finance, Comptes rendus. Mathématique, vol. 328, n°11, p. 1003-1010

Lions P-L., Touzi N., Lebuchoux J., Fournié E., Lasry J-M. (1999), Applications of Malliavin calculus to Monte Carlo methods in finance, Finance and Stochastics, vol. 3, n°4, p. 391-412

Alvarez O., Lasry J-M., Lions P-L. (1997), Convex viscosity solutions and state constraints, Journal de mathématiques pures et appliquées, vol. 76, n°3, p. 265-288

Lions P-L., Lasry J-M. (1995), Grandes déviations pour des processus de diffusion couplés par un processus de sauts, Comptes rendus. Mathématique, vol. 321, n°7, p. 849-854

Magill M., Lasry J-M., Husseini S. (1990), Existence of equilibrium with incomplete markets, Journal of Mathematical Economics, vol. 19, n°1-2, p. 39-67

Lions P-L., Lasry J-M. (1989), Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints, Mathematische Annalen, vol. 283, n°4, p. 583-630

Lasry J-M., Lions P-L. (1986), A remark on regularization in Hilbert spaces, Israel Journal of Mathematics, vol. 55, n°3, p. 257-266

Gouzé J-L., Lasry J-M., Changeux J-P. (1983), Selective stabilization of muscle innervation during development: A mathematical model, Biological Cybernetics, vol. 46, n°3, p. 207-215

Lasry J-M., Haddad G. (1983), Periodic solutions of functional differential inclusions and fixed points of σ-selectionable correspondences, Journal of Mathematical Analysis and Applications, vol. 96, n°2, p. 295-312

Ouvrages

Lasry J-M., Lautier D., Fessler D., Ekeland I. (2013), The ocean as a global system, Portland, Oregon: ESKA, 162 p.

Cousin A., Crépey S., Guéant O., Hobson D., Jeanblanc M., Lasry J-M., Laurent J-P., Lions P-L., Tankov P. (2011), Paris-Princeton Lectures on Mathematical Finance 2010, Berlin: Springer, 359 p.

Fessler D., Lautier D., Lasry J-M. (2010), The economics of sustainable development, Paris: Economica, 366 p.

Chapitres d'ouvrage

Guéant O., Lasry J-M., Lions P-L. (2010), Mean Field Games and Oil Production, in Fessler, Damien; Lautier, Delphine; Lasry, Jean-Michel, The Economics of Sustainable Development, Paris: Economica, p. 368

Fournié E., Lions P-L., Lasry J-M. (1997), Some nonlinear methods for studying far-from-the-money contingent claims, in Talay, Denis, Numerical methods in finance, Cambridge: Cambridge University Press, p. 326

Communications avec actes

Lions P-L., Guéant O., Lasry J-M. (2011), Mean Field Games and Applications, in Tankov, Peter, Paris-Princeton Lectures on Mathematical Finance 2010, Paris, Springer, 359 p.

Lasry J-M., Lions P-L. (2007), Large investor trading impacts on volatility, in Taflin, Erik, Paris-Princeton Lectures on Mathematical Finance 2004, Berlin, Springer, 173-190 p.

Prépublications / Cahiers de recherche

Achdou Y., Bertucci C., Lasry J-M., Lions P-L., Rostand A., Scheinkman J. (2020), A class of short-term models for the oil industry addressing speculative storage, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 22 p.

Cardaliaguet P., Delarue F., Lasry J-M., Lions P-L. (2015), The master equation and the convergence problem in mean field games, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 142 p.

Pu J., Guéant O., Lasry J-M. (2014), A convex duality method for optimal liquidation with participation constraints, Paris, Université Paris-Dauphine, 21 p.

Lasry J-M., Guéant O., Lions P-L. (2008), Application of Mean Field Games to Growth Theory, Paris, Université Paris-Dauphine, 17 p.

Guéant O., Guesnerie R., Lasry J-M. (2008), Economic Calculus and Sustainable Development, Paris, Cahiers de la Chaire Finance et Développement Durable, 24 p.

Zerbib D-O., Lasry J-M., Guéant O. (2007), Autour des taux d'intérêt écologiques, Paris, Cahiers de la Chaire Finance et Développement Durable, 44 p.

Lions P-L., Lasry J-M. (2000), A new class of singular stochastic control problems, Cahiers du CEREMADE, 12 p.

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