Edit Profile (opens in new tab) Dumitrescu, Roxana Co-Author Distance Author ID: dumitrescu.roxana Published as: Dumitrescu, Roxana Documents Indexed: 27 Publications since 2015, including 10 Additional arXiv Preprints Co-Authors: 25 Co-Authors with 25 Joint Publications 766 Co-Co-Authors all top 5 Co-Authors 2 single-authored 10 Sulem, Agnès 8 Quenez, Marie-Claire 6 Tankov, Peter 3 Alasseur, Clemence 3 Leutscher, Marcos 2 Djehiche, Boualem 2 Labart, Céline 2 Zeng, Jia 1 Aïd, René 1 Bassière, Alicia 1 Bayraktar, Erhan 1 Bensaid, Zakaria 1 Bouveret, Géraldine 1 Campi, Luciano 1 Chen, Rui 1 Elie, Romuald 1 Grigorova, Miryana 1 Jacquet, Quentin 1 Minca, Andreea 1 Øksendal, Bernt Karsten 1 Reisinger, Christoph 1 Sabbagh, Wissal 1 Warin, Xavier 1 Zhang, Yufei 1 Zhou, Chao all top 5 Serials 2 Journal of Optimization Theory and Applications 2 SIAM Journal on Control and Optimization 2 Electronic Journal of Probability 1 Journal of Mathematical Analysis and Applications 1 Applied Mathematics and Optimization 1 Journal of Computational and Applied Mathematics 1 Stochastic Processes and their Applications 1 Stochastics 1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 1 SIAM Journal on Financial Mathematics 1 Journal of Dynamics and Games 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Probability, Uncertainty and Quantitative Risk all top 5 Fields 17 Probability theory and stochastic processes (60-XX) 11 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Systems theory; control (93-XX) 4 Operator theory (47-XX) 3 Numerical analysis (65-XX) 3 Operations research, mathematical programming (90-XX) 2 Partial differential equations (35-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Ordinary differential equations (34-XX) 1 Statistics (62-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 15 Publications have been cited 123 times in 79 Documents Cited by ▼ Year ▼ Generalized Dynkin games and doubly reflected BSDEs with jumps. Zbl 1351.93170 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 20 2016 Mean-field games of optimal stopping: a relaxed solution approach. Zbl 1452.91031 Bouveret, Géraldine; Dumitrescu, Roxana; Tankov, Peter 15 2020 Game options in an imperfect market with default. Zbl 1381.93103 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 14 2017 BSDEs with default jump. Zbl 1408.60044 Dumitrescu, Roxana; Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès 11 2018 A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations. Zbl 1343.93097 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 11 2016 American options in an imperfect complete market with default. Zbl 1419.91612 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 10 2018 Mixed generalized Dynkin game and stochastic control in a Markovian framework. Zbl 1361.60054 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 9 2017 Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles. Zbl 1342.60113 Dumitrescu, Roxana; Labart, Céline 7 2016 The entry and exit game in the electricity markets: a mean-field game approach. Zbl 07460249 Aïd, René; Dumitrescu, Roxana; Tankov, Peter 7 2021 Optimal stopping for dynamic risk measures with jumps and obstacle problems. Zbl 1327.93412 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 6 2015 Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles. Zbl 1329.60234 Dumitrescu, Roxana; Labart, Céline 4 2016 Stochastic control for mean-field stochastic partial differential equations with jumps. Zbl 1391.60156 Dumitrescu, Roxana; Øksendal, Bernt; Sulem, Agnès 3 2018 Control and optimal stopping mean field games: a linear programming approach. Zbl 1483.91032 Dumitrescu, Roxana; Leutscher, Marcos; Tankov, Peter 3 2021 Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption. Zbl 1515.91027 Dumitrescu, Roxana; Leutscher, Marcos; Tankov, Peter 2 2023 Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps. Zbl 1514.65102 Dumitrescu, Roxana; Reisinger, Christoph; Zhang, Yufei 1 2021 Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption. Zbl 1515.91027 Dumitrescu, Roxana; Leutscher, Marcos; Tankov, Peter 2 2023 The entry and exit game in the electricity markets: a mean-field game approach. Zbl 07460249 Aïd, René; Dumitrescu, Roxana; Tankov, Peter 7 2021 Control and optimal stopping mean field games: a linear programming approach. Zbl 1483.91032 Dumitrescu, Roxana; Leutscher, Marcos; Tankov, Peter 3 2021 Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps. Zbl 1514.65102 Dumitrescu, Roxana; Reisinger, Christoph; Zhang, Yufei 1 2021 Mean-field games of optimal stopping: a relaxed solution approach. Zbl 1452.91031 Bouveret, Géraldine; Dumitrescu, Roxana; Tankov, Peter 15 2020 BSDEs with default jump. Zbl 1408.60044 Dumitrescu, Roxana; Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès 11 2018 American options in an imperfect complete market with default. Zbl 1419.91612 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 10 2018 Stochastic control for mean-field stochastic partial differential equations with jumps. Zbl 1391.60156 Dumitrescu, Roxana; Øksendal, Bernt; Sulem, Agnès 3 2018 Game options in an imperfect market with default. Zbl 1381.93103 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 14 2017 Mixed generalized Dynkin game and stochastic control in a Markovian framework. Zbl 1361.60054 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 9 2017 Generalized Dynkin games and doubly reflected BSDEs with jumps. Zbl 1351.93170 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 20 2016 A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations. Zbl 1343.93097 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 11 2016 Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles. Zbl 1342.60113 Dumitrescu, Roxana; Labart, Céline 7 2016 Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles. Zbl 1329.60234 Dumitrescu, Roxana; Labart, Céline 4 2016 Optimal stopping for dynamic risk measures with jumps and obstacle problems. Zbl 1327.93412 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 6 2015 all cited Publications top 5 cited Publications all top 5 Cited by 128 Authors 11 Dumitrescu, Roxana 9 Quenez, Marie-Claire 7 Sulem, Agnès 5 Rutkowski, Marek 4 Grigorova, Miryana 4 Hamadene, Saïd 4 Possamaï, Dylan 3 Klimsiak, Tomasz 3 Labart, Céline 3 Nie, Tianyang 3 Ouknine, Youssef 3 Reisinger, Christoph 3 Tankov, Peter 3 Zhou, Chao 2 Djehiche, Boualem 2 Elie, Romuald 2 Firoozi, Dena 2 Gomes, Diogo Luís Aguiar 2 Gutierrez, Julian 2 Imkeller, Peter 2 Jaimungal, Sebastian 2 Laurière, Mathieu 2 Leutscher, Marcos 2 Li, Libo 2 Marzougue, Mohamed 2 Papapantoleon, Antonis 2 Saplaouras, Alexandros 2 Tan, Xiaolu 2 Yao, Song 2 Zhang, Yufei 1 Abidi, Hani 1 Agram, Nacira 1 Aïd, René 1 Aksamit, Anna 1 Alasseur, Clemence 1 Amami, Rim 1 Arharas, Ihsan 1 Averboukh, Yuriĭ Vladimirovich 1 Azimzadeh, Parsiad 1 Baadi, Brahim 1 Basei, Matteo 1 Bertucci, Charles 1 Bielecki, Tomasz R. 1 Bouhadou, Siham 1 Briand, Phillippe 1 Caines, Peter Edwin 1 Campi, Luciano 1 Cardaliaguet, Pierre 1 Carmona, René A. 1 Cecchin, Alekos 1 Chassagneux, Jean-François 1 Chessari, Jared 1 Cialenco, Igor 1 Claisse, Julien 1 Dayanıklı, Gökçe 1 De Angelis, Tiziano 1 Essaky, El Hassan 1 Fu, Guanxing 1 Fujii, Masaaki 1 Gapeev, Pavel V. 1 Ghannoum, Abir 1 Ghio, Maddalena 1 Gou, Zhun 1 Guerra, Manuel 1 Guo, Peidong 1 Guo, Xin 1 Hassani, Mohammed 1 Hu, Anran 1 Hu, Yaozhong 1 Huang, Nan-Jing 1 Hun, O. 1 Jakobsen, Espen Robstad 1 Jasso-Fuentes, Héctor 1 Jeanblanc, Monique 1 Kawai, Reiichiro 1 Khedher, Asma 1 Kim, Edward D. 1 Kim, Kon-Gun 1 Kim, Mun Chŏl 1 Kouritzin, Michael A. 1 Li, Hanwu 1 Lim, Thomas 1 Livieri, Giulia 1 Lü, Qi 1 Lv, Siyu 1 Madan, Dilip B. 1 Martin, Jessica 1 Martini, Mattia 1 Martyr, Randall 1 Matoussi, Anis 1 Milazzo, Alessandro 1 Moriarty, John 1 Morlais, Marie-Amelie 1 Nadtochiy, Sergey 1 Nutz, Marcel 1 Osorio-Agudelo, Yamid A. 1 Pakniyat, Ali 1 Perkowski, Nicolas 1 Picarelli, Athena 1 Pistorius, Martijn R. ...and 28 more Authors all top 5 Cited in 41 Serials 7 Electronic Journal of Probability 6 Stochastic Processes and their Applications 5 Applied Mathematics and Optimization 5 The Annals of Applied Probability 4 SIAM Journal on Control and Optimization 4 SIAM Journal on Financial Mathematics 3 Journal of Mathematical Analysis and Applications 2 Advances in Applied Probability 2 Automatica 2 Journal of Theoretical Probability 2 Random Operators and Stochastic Equations 2 Stochastics 2 Mathematical Control and Related Fields 2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 2 Probability, Uncertainty and Quantitative Risk 1 Computers & Mathematics with Applications 1 Studia Mathematica 1 Chaos, Solitons and Fractals 1 The Annals of Probability 1 Journal of Computational and Applied Mathematics 1 Journal of Optimization Theory and Applications 1 Statistics & Probability Letters 1 Stochastic Analysis and Applications 1 Probability Theory and Related Fields 1 Annals of Operations Research 1 European Journal of Operational Research 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Electronic Communications in Probability 1 Arab Journal of Mathematical Sciences 1 Finance and Stochastics 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Decisions in Economics and Finance 1 Stochastics and Dynamics 1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 1 Mathematics and Financial Economics 1 Probability Surveys 1 Dynamic Games and Applications 1 Vestnik Udmurtskogo Universiteta. Matematika. Mekhanika. Komp’yuternye Nauki 1 Journal of Dynamics and Games 1 Modern Stochastics. Theory and Applications all top 5 Cited in 13 Fields 63 Probability theory and stochastic processes (60-XX) 46 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 22 Systems theory; control (93-XX) 21 Calculus of variations and optimal control; optimization (49-XX) 10 Partial differential equations (35-XX) 10 Numerical analysis (65-XX) 6 Operator theory (47-XX) 5 Operations research, mathematical programming (90-XX) 3 Computer science (68-XX) 2 Statistics (62-XX) 1 Ordinary differential equations (34-XX) 1 Difference and functional equations (39-XX) 1 Biology and other natural sciences (92-XX) Citations by Year