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Approximation Schemes for Mixed Optimal Stopping and Control Problems with Nonlinear Expectations and Jumps

Applied mathematics & optimization, 2021-06, Vol.83 (3), p.1387-1429

2021

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Technological change in water use: A mean-field game approach to optimal investment timing

Operations Research Perspectives, 2022, Vol.9, p.100225, Article 100225

2022

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American options in an imperfect complete market with default

ESAIM. Proceedings and surveys, 2018, Vol.64, p.93-110

2018

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Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach

SIAM journal on control and optimization, 2020-01, Vol.58 (4), p.1795-1821

2020

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MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts

Annals of operations research, 2024-05, Vol.336 (1-2), p.541-569

2024

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Energy transition under scenario uncertainty: a mean-field game of stopping with common noise

Mathematics and financial economics, 2024-01

2024

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Control and optimal stopping Mean Field Games: a linear programming approach

Electronic journal of probability, 2021-01, Vol.26 (none)

2021

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A new Mertens decomposition of Y g , ξ -submartingale systems. Application to BSDEs with weak constraints at stopping times

Stochastic processes and their applications, 2023-10, Vol.164, p.183-205

2023

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A new Mertens decomposition of Yg,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times

Stochastic processes and their applications, 2023-10, Vol.164, p.183-205

2023

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Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

Journal of mathematical analysis and applications, 2016-10, Vol.442 (1), p.206-243

2016

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Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption

ESAIM: Mathematical Modelling and Numerical Analysis, 2023-03, Vol.57 (2), p.953-990

2023

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Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles

Journal of computational and applied mathematics, 2016-04, Vol.296, p.827-839

2016

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The entry and exit game in the electricity markets: A mean-field game approach

Journal of dynamics and games, 2021-01, Vol.8 (4), p.331

2021

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Stochastic control of general mean-field SPDEs with jumps

Journal of optimization theory and applications, 2018

2018

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Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps

Journal of optimization theory and applications, 2018-03, Vol.176 (3), p.559-584

2018

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Mean-field BSDEs with jumps and dual representation for global risk measures

Probability, uncertainty and quantitative risk, 2023, Vol.8 (1), p.33-52

2023

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Quantitative Energy Finance: Recent Trends and Developments

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A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with Ef-Expectations

SIAM journal on control and optimization, 2016, Vol.54 (4), p.2090-2115

2016

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A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations

SIAM journal on control and optimization, 2016-01, Vol.54 (4), p.2090-2115

2016

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Generalized Dynkin games and doubly reflected BSDEs with jumps

Electronic journal of probability, 2016-01, Vol.21 (none)

2016

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Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

Journal of optimization theory and applications, 2015-10, Vol.167 (1), p.219-242

2015

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Game Options in an Imperfect Market with Default

SIAM journal on financial mathematics, 2017-01, Vol.8 (1), p.532-559

2017

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Mixed generalized Dynkin game and stochastic control in a Markovian framework

Stochastics (Abingdon, Eng. : 2005), 2017-01, Vol.89 (1), p.400-429

2017

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BSDEs with Default Jump

Computation and Combinatorics in Dynamics, Stochastics and Control, 2019, Vol.13, p.233-263

2019

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Oxytocin in Induction of Labor in Pregnancy with Group B Streptococcal Portage

Acta medica Transilvanica, 2020-09, Vol.25 (3), p.42-47

2020

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Approximation Schemes for Mixed Optimal Stopping and Control Problems with Nonlinear Expectations and Jumps

Technological change in water use: A mean-field game approach to optimal investment timing

American options in an imperfect complete market with default

Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach

MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts

Energy transition under scenario uncertainty: a mean-field game of stopping with common noise

Control and optimal stopping Mean Field Games: a linear programming approach

A new Mertens decomposition of Y g , ξ -submartingale systems. Application to BSDEs with weak constraints at stopping times

A new Mertens decomposition of Yg,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times

Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles

The entry and exit game in the electricity markets: A mean-field game approach

Stochastic control of general mean-field SPDEs with jumps

Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps

Mean-field BSDEs with jumps and dual representation for global risk measures

Quantitative Energy Finance: Recent Trends and Developments

A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with Ef-Expectations

A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations

Generalized Dynkin games and doubly reflected BSDEs with jumps

Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

Game Options in an Imperfect Market with Default

Mixed generalized Dynkin game and stochastic control in a Markovian framework

BSDEs with Default Jump

Oxytocin in Induction of Labor in Pregnancy with Group B Streptococcal Portage

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