Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès European options in a nonlinear incomplete market model with default. (English) Zbl 1452.91308 SIAM J. Financ. Math. 11, No. 3, 849-880 (2020). MSC: 91G20 60H10 60G44 PDFBibTeX XMLCite \textit{M. Grigorova} et al., SIAM J. Financ. Math. 11, No. 3, 849--880 (2020; Zbl 1452.91308) Full Text: DOI
Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire On the strict value of the non-linear optimal stopping problem. (English) Zbl 1471.60056 Electron. Commun. Probab. 25, Paper No. 49, 9 p. (2020). MSC: 60G40 60G07 91G80 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Electron. Commun. Probab. 25, Paper No. 49, 9 p. (2020; Zbl 1471.60056) Full Text: DOI Euclid
Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire Optimal stopping with \(f\)-expectations: the irregular case. (English) Zbl 1471.60055 Stochastic Processes Appl. 130, No. 3, 1258-1288 (2020). MSC: 60G40 60G65 60H10 91G20 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Stochastic Processes Appl. 130, No. 3, 1258--1288 (2020; Zbl 1471.60055) Full Text: DOI arXiv
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations. (English) Zbl 1343.93097 SIAM J. Control Optim. 54, No. 4, 2090-2115 (2016). MSC: 93E20 49L20 49J40 60J60 47N10 PDFBibTeX XMLCite \textit{R. Dumitrescu} et al., SIAM J. Control Optim. 54, No. 4, 2090--2115 (2016; Zbl 1343.93097) Full Text: DOI arXiv