Rene Carmona

Professor, Princeton University

Rene Carmona, PhD, is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of operations research and financial engineering. He is an associate member of the department of mathematics, a member of the Program in Applied and Computational Mathematics, and director of graduate studies of the Bendheim Center for Finance, where he oversees the master's in finance program. He obtained his PhD in probability from Marseille University where he held his first academic job. After time spent at Cornell and a couple of stints at Princeton, he moved to the University of California at Irvine in 1981 and eventually Princeton University in 1995.

Dr. Carmona has been a Fellow of the Institute of Mathematical Statistics since 1984, and of the Society for Industrial and Applied Mathematics since 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering, a founding editor of the Electronic Journal and Communications in Probability, and the SIAM Journal on Financial Mathematics. He is on the editorial board of several peer-reviewed journals and book series. His publications include over one hundred articles and eleven books in probability, statistics, mathematical physics, signal analysis, and financial mathematics. Over the last decade he tried to understand from a probabilistic point of view, a class of mathematical models introduced independently and simultaneously by a couple of French applied mathematicians (Jean Michel Lasry and Pierre Louis Lions) and a group of electrical engineers in Canada (Peter Caines, Minyi Huang and Roland Malham\'e), known under the name of Mean Field Games. Together with Francois Delarue, he developed a probabilistic approach to these models. This collaboration culminated in a two volume book providing the state of the art on the subject.

More information can be found at http:\\\~rcarmona

Program Visits

Theory of Reinforcement Learning, Fall 2020, Visiting Scientist