List of publications

Publications

• Cheridito, P., Dupret, J. L., Hainaut, D. (2026). Deep learning for continuous-time stochastic control with jumps. Advances in Neural Information Processing Systems (NeurIPS), 38.

• Hainaut, D., & Dupret, J. L. (2026). Optimal control by policy improvements and constrained Gaussian process regressions. European Journal of Operational Research, 330(2), 525-539.

• Dupret, J. L., Hainaut, D. (2026). Deep learning for high-dimensional continuous-time stochastic optimal control without explicit solution. Operations Research, 74(3), 1241-1262.

• Dupret, J. L., & Hainaut, D. (2025). A fractional Hawkes process for illiquidity modeling. Mathematics and Financial Economics, 19(1), 1-39.

• Dupret, J. L., & Hainaut, D. (2025). Optimal liquidation under indirect price impact with propagator. Quantitative Finance, 25(3), 359-381.

• Dupret, J. L., & Hainaut, D. (2023). A subdiffusive stochastic volatility jump model. Quantitative Finance, 23(6), 979-1002.

• Dupret, J. L., Barbarin, J., & Hainaut, D. (2023). Impact of rough stochastic volatility models on long-term life insurance pricing. European Actuarial Journal, 13(1), 235-275.

• Dupret, J. L., & Hainaut, D. (2021). Portfolio insurance under rough volatility and Volterra processes. International Journal of Theoretical and Applied Finance, 24(06n07), 2150036.

Preprints

• Dupret, J. L., Gallon, D., & Cheridito, P. (2026). INEUS: Iterative Neural Solver for High-Dimensional PIDEs. ETH working paper.

• Cheridito, P., Dupret, J. L., & Wu, Z. (2025). ABIDES-MARL: A multi-agent reinforcement learning environment for market microstructure simulation and optimal execution.

• Dupret, J. L., & Motte, E. (2026). General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework. ETH-ISBA working paper.

Grants and Awards

• Swiss National Science Foundation (SNSF) Grant, Deep learning algorithms for high-dimensional dynamic programming jump-diffusion models, 2024–Present.

• F.R.S-FNRS Research Fellow, Fractional Lévy processes and applications in financial and insurance mathematics, National Belgian grant, 2021–2024.

• IA|BE Prize Winner 2021 - Best Belgian Master's thesis in Actuarial Sciences titled "Rough stochastic volatility modeling" under the supervision of Dr. Jérôme Barbarin.

PhD Thesis

• Dupret, J. L. (2024). A Random Walk in Illiquidity Modeling (Doctoral dissertation, Catholic University of Louvain).