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Author ID: dumitrescu.roxana Recent zbMATH articles by "Dumitrescu, Roxana"
Published as: Dumitrescu, Roxana

Publications by Year

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 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
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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

Citations by Year