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ORCIDRoxana Dumitrescu
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2020 – today
- 2024
[j7]Clémence Alasseur
, Luciano Campi, Roxana Dumitrescu, Jia Zeng:
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts. Ann. Oper. Res. 336(1-2): 541-569 (2024)- [i1]Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu, Xavier Warin:
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids. CoRR abs/2401.03245 (2024) - 2020
- [j6]Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov:
Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach. SIAM J. Control. Optim. 58(4): 1795-1821 (2020)
2010 – 2019
- 2018
- [j5]Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem:
Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps. J. Optim. Theory Appl. 176(3): 559-584 (2018) - 2017
- [j4]Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem:
Game Options in an Imperfect Market with Default. SIAM J. Financial Math. 8(1): 532-559 (2017) - 2016
- [j3]Roxana Dumitrescu, Céline Labart:
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles. J. Comput. Appl. Math. 296: 827-839 (2016) - [j2]Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem:
A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with Ef-expectations. SIAM J. Control. Optim. 54(4): 2090-2115 (2016) - 2015
- [j1]Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem:
Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems. J. Optim. Theory Appl. 167(1): 219-242 (2015)
Coauthor Index
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