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Author ID: el-karoui.nicole Recent zbMATH articles by "El Karoui, Nicole"
Published as: El Karoui, Nicole; El Karoui, N.; Karoui, N.; El-Karoui, Nicole; El Karoui, Nicole; Karoui, Nicole El; Karoui, Nicole; El-Karoui, N.; Karoui, N. El
Homepage: http://www.cmap.polytechnique.fr/~elkaroui/elkaroui2.html
External Links: MGP · Wikidata · dblp · GND · IdRef · theses.fr
all top 5

Co-Authors

13 single-authored
13 Jeanblanc, Monique
10 Reinhard, Hervé
9 Barrieu, Pauline M.
9 Karatzas, Ioannis
8 Quenez, Marie-Claire
7 Jiao, Ying
6 Loisel, Stéphane
6 Roynette, Bernard
5 Lepeltier, Jean-Pierre
4 Yor, Marc
3 Bonami, Aline
3 Gobet, Emmanuel
3 Marchal, Bernard
3 Mrad, Mohamed
3 Nguyen Huu Du
3 Pardoux, Etienne
3 Peng, Shige
3 Salhi, Yahia
2 Arnold, Séverine
2 Bensusan, Harry
2 Blanchet-Scalliet, Christophette
2 Bouchaud, Jean-Philippe
2 Boumezoued, Alexandre
2 Chaleyat-Maurel, Mireille
2 Cont, Rama
2 Costantini, Cristina
2 Geman, Hélyette
2 Hamadene, Saïd
2 Hardy, Héloïse Labit
2 Hillairet, Caroline
2 Kurtz, David C.
2 Lacoste, Vincent
2 Martellini, Lionel
2 Mazliak, Laurent
2 Meziou, Asma
2 Potters, Marc
2 Ravanelli, Claudia
2 Rochet, Jean-Charles
2 Sagna, Nicolas
1 Azéma, Jacques
1 Bank, Peter
1 Barreiu, P.
1 Benaïm, Michel
1 Berthelot, Pierre
1 Biais, Bruno
1 Bickel, Peter John
1 Blake, David
1 Bouchard, Bruno
1 Carraro, Laurent
1 Cazanave, Nicolas
1 Cerveau, Dominique
1 Charpentier, Éric
1 Cvitanić, Jakša
1 Durrleman, Valdo
1 Föllmer, Hans
1 Gerardi, Anna
1 Hennequin, Paul-Louis
1 Jeulin, Thierry
1 Jouini, Elyès
1 Kaakaï, Sarah
1 Kahn, Bruno
1 Kapoudjian, Christophe
1 Lafforgue, Laurent
1 MacMinn, Richard D.
1 Matoussi, Anis
1 Méléard, Sylvie
1 Meyer, Paul-André
1 Millet, Annie
1 Morel, Fabien
1 Nikol’skiĭ, Nikolaĭ Kapitonovich
1 Obloj, Jan K.
1 Perthame, Benoît
1 Prigent, Jean-Luc
1 Rauch, Jeffrey B.
1 Roelly, Sylvie
1 Rouge, Richard
1 Shreve, Steven E.
1 Touzi, Nizar
1 Vedani, Julien
1 Viennot, Xavier Gérard
1 Weidenfeld, Gerard
1 Werner, Wendelin
1 Yoeurp, Chantha
1 Zargari, Behnaz
all top 5

Serials

8 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A
6 The Annals of Probability
5 Insurance Mathematics & Economics
5 Stochastic Processes and their Applications
5 Mathematical Finance
4 The Annals of Applied Probability
3 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
3 Finance and Stochastics
3 Comptes Rendus. Mathématique. Académie des Sciences, Paris
3 SIAM Journal on Financial Mathematics
2 SIAM Journal on Control and Optimization
2 Journal of Economic Dynamics & Control
2 Comptes Rendus de l’Académie des Sciences. Série I
2 Stochastics and Stochastics Reports
2 Quantitative Finance
2 Astérisque
2 Lecture Notes in Mathematics
1 Stochastics
1 Applied Mathematics and Optimization
1 Journal of Applied Probability
1 Journal of Mathematical Economics
1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
1 Probability and Mathematical Statistics
1 Stochastic Analysis and Applications
1 Acta Applicandae Mathematicae
1 Probability Theory and Related Fields
1 Proceedings of the National Academy of Sciences of the United States of America
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Computational and Applied Mathematics
1 Applied Mathematical Finance
1 Applied Stochastic Models in Business and Industry
1 Scandinavian Actuarial Journal
1 Decisions in Economics and Finance
1 The Journal of Computational Finance
1 European Actuarial Journal
1 Le Sel et le Fer

Publications by Year

Citations contained in zbMATH Open

94 Publications have been cited 3,311 times in 2,439 Documents Cited by Year
Backward stochastic differential equations in finance. Zbl 0884.90035
El Karoui, N.; Peng, S.; Quenez, M. C.
953
1997
Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Zbl 0899.60047
El Karoui, N.; Kapoudjian, C.; Pardoux, E.; Peng, S.; Quenez, M. C.
286
1997
Changes of numéraire, changes of probability measure and option pricing. Zbl 0829.90007
Geman, Hélyette; El Karoui, Nicole; Rochet, Jean-Charles
171
1995
Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010
El Karoui, Nicole; Quenez, Marie-Claire
158
1995
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
118
2000
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
108
2005
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
107
1998
Les aspects probabilistes du contrôle stochastique. Zbl 0472.60002
El Karoui, N.
99
1981
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534
El-Karoui, N.; Hamadène, S.
76
2003
A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064
El Karoui, N.; Huang, S. J.
71
1997
Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051
El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique
71
1987
A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038
El Karoui, N.; Peng, S.; Quenez, M. C.
64
2001
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
53
1998
Reflected backward SDEs and American options. Zbl 0898.90033
El Karoui, N.; Pardoux, E.; Quenez, M. C.
51
1997
Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200
Barrieu, Pauline; El Karoui, Nicole
51
2009
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
48
2009
Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel
46
2008
Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043
Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B.
42
1980
Optimal derivatives design under dynamic risk measures. Zbl 1070.91019
Barrieu, Pauline; El Karoui, Nicole
41
2004
Propriétés de martingales, explosion et représentation de Lévy- Khintchine d’une classe de processus de branchement à valeurs mesures. (Martingale properties, explosions and Levy-Khinchine representation of measure valued branching processes). Zbl 0743.60081
El Karoui, Nicole; Roelly, Sylvie
40
1991
What happens after a default: the conditional density approach. Zbl 1194.91187
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
40
2010
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052
Barrieu, Pauline; El Karoui, Nicole
39
2013
Optimal portfolio management with American capital guarantee. Zbl 1202.91295
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent
39
2005
Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010
El Karoui, N.; Quenez, M. C.
34
1997
Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia
33
2012
Martingale measures and stochastic calculus. Zbl 0694.60041
El Karoui, N.; Méléard, S.
31
1990
Backward stochastic differential equations. Zbl 0866.00052
29
1997
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
27
1991
A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022
Bank, Peter; El Karoui, Nicole
27
2004
Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065
El Karoui, Nicole; Lepeltier, Jean-Pierre
20
1977
Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078
Karoui, Nicole El; Karatzas, Ioannis
19
1988
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063
El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique
18
1988
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175
El Karoui, Nicole; Mrad, Mohamed
17
2013
Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel
17
2005
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. Zbl 1239.60031
Carraro, Laurent; El Karoui, Nicole; Obłój, Jan
16
2012
Dynamic allocation problems in continuous time. Zbl 0831.93069
El Karoui, Nicole; Karatzas, Ioannis
15
1994
Backward stochastic differential equations. A general introduction. Zbl 0886.60054
El Karoui, N.
14
1997
Phenomenology of the interest rate curve. Zbl 1009.91036
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc
12
1999
A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034
El Karoui, N.; Lepeltier, J.-P.; Millet, A.
12
1992
Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Zbl 1128.91022
El Karoui, Nicole; Meziou, Asma
11
2006
Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043
Costantini, C.; Gobet, E.; El Karoui, N.
11
2006
Programmation dynamique et évaluation des actifs contingents en marché incomplet. (Dynamic programming and pricing of contingent claims in an incomplete market). Zbl 0736.90009
El Karoui, Nicole; Quenez, Marie-Claire
10
1991
Maturity randomization for stochastic control problems. Zbl 1177.93097
Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar
10
2005
Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242
Boumezoued, Alexandre; Hardy, Héloïse Labit; El Karoui, Nicole; Arnold, Séverine
10
2018
Processus de diffusion associé à un opérateur elliptique dégénéré. (Diffusion process associated with an elliptic degenerate operator). Zbl 0234.60094
Bonami, A.; Karoui, N.; Roynette, B.; Reinhard, H.
9
1971
BSDEs and applications. Zbl 1168.60030
El Karoui, Nicole; Hamadène, Said; Matoussi, Anis
8
2009
Density approach in modeling successive defaults. Zbl 1350.91018
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
8
2015
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233
Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc
8
2017
Ecole d’ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin. Zbl 0455.00015
Bickel, Peter J.; Karoui, N. El; Yor, M.
6
1981
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance. Zbl 1152.60038
El Karoui, Nicole; Meziou, Asma
6
2008
A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058
El Karoui, Nicole; Föllmer, Hans
6
2005
General Gittins index processes in discrete time. Zbl 0783.60046
El Karoui, Nicole; Karatzas, Ioannis
5
1993
Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024
Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole
5
2008
Processus de reflexion dans \(R^n\). Zbl 0325.60044
El Karoui, Nicole
5
1975
Temps locaux. Exposés du séminaire J. Azéma–M. Yor, Université Pierre et Marie Curie, Paris, France, (1976–1977). Zbl 0385.60063
5
1978
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. Zbl 1378.62044
El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia
5
2017
The optimal stopping problem for a general American put-option. Zbl 0841.90051
El Karoui, Nicole; Karatzas, Ioannis
4
1995
Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063
El Karoui, N.; Jiao, Y.
4
2009
Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177
El Karoui, Nicole; Jiao, Ying; Kurtz, David
4
2008
Optimal design of derivatives in illiquid markets. Zbl 1405.91584
Barrieu, Pauline; El Karoui, Nicole
4
2002
Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives). Zbl 1044.91021
Barrieu, Pauline; El Karoui, Nicole
3
2003
Correction: A new approach to the Skorohod problem, and its applications. Zbl 0739.60079
El Karoui, N.; Karatzas, I.
3
1991
Arret optimal previsible. Zbl 0406.60035
El Karoui, Nicole
3
1978
Processus de diffusion dans R\(^n\). Zbl 0282.60049
Karoui, N.; Reinhard, H.
3
1973
Coupling smiles. Zbl 1152.91505
Durrleman, Valdo; El Karoui, Nicole
3
2008
Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126
El Karoui, Nicole; Mrad, Mohamed
3
2021
Conditional default probability and density. Zbl 1418.91570
El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B.
3
2014
Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171
El Karoui, Nicole; Karatzas, Ioannis
2
1997
Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065
El Karoui, Nicole; Jeanblanc-Picqué, Monique
2
1988
Random walks. (Promenade aléatoire. Chaînes de Markov et simulations, martingales et stratégies.) Zbl 1196.60001
Benaïm, Michel; El Karoui, Nicole
2
2004
Théorie générale et changement de temps. Zbl 0433.60035
El Karoui, Nicole; Weidenfeld, Gerard
2
1977
Compactification et balayage de processus droits. Zbl 0325.60067
El Karoui, Nicole; Reinhard, Herve
2
1975
Nonlinear evolution equations and functionals of measure-valued branching processes. Zbl 0587.60083
El Karoui, Nicole
2
1985
Feynman-Kac’s representation in time-space domains and sensitivity with respect to the domain. (Représentation de Feynman-Kac dans des domaines temps-espace et sensibilité par rapport au domaine.) Zbl 1033.60076
Costantini, Cristina; El Karoui, Nicole; Gobet, Emmanuel
1
2003
Stochastic control methods in optimal design of life testing. Zbl 0815.62070
El Karoui, N.; Gerardi, A.; Mazliak, L.
1
1994
Imperfect markets and backward stochastic differential equations. Zbl 0898.90032
El Karoui, N.; Quenez, M. C.
1
1997
Processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602
Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B.
1
1970
Propriétés du processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43701
Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B.
1
1970
Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001
Karoui, N.; Reinhard, H.; Roynette, B.
1
1970
On the role of state variables in interest rates models. Zbl 0974.62096
El Karoui, Nicole; Geman, Helyette; Lacoste, Vincent
1
2000
Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042
El Karoui, Nicole; Karatzas, Ioannis
1
1989
Temps local et balayage des semi-martingales. Zbl 0411.60077
El Karoui, Nicole
1
1979
Les changements de temps en théorie générale des processus. Zbl 0433.60036
El Karoui, Nicole; Meyer, P. A.
1
1977
Optimal stopping of controlled Markov processes. Zbl 0495.93063
El Karoui, Nicole; Lepeltier, Jean-Pierre; Marchal, Bernard
1
1982
Nisio semi-group associated to the control of Markov processes. Zbl 0503.93072
El Karoui, N.; Lepeltier, J. P.; Marchal, B.
1
1982
Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030
El Karoui, Nicole
1
1971
Processus de Poisson ponctuel associe à un processus ponctuel, représentation des martingales de carre intégrable, quasi-continue à gauche. Zbl 0339.60046
El Karoui, Nicole; Lepeltier, Jean-Pierre
1
1975
Balayage et changement de temps. Zbl 0352.60023
Karoui, Nicole El
1
1975
Stochastic filtering at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 876 (1981) and 1464 (1991). Zbl 1397.60010
El Karoui, Nicole; Pardoux, Etienne; Yor, Marc
1
2012
Théorie du potentiel et contrôle stochastique. Zbl 0562.60047
El Karoui, Nicole
1
1984
Existence of an optimal Markovian filter for the control under partial observations. (Existence d’un filtre markovien optimal en contrôle partiellement observable.) Zbl 0588.60075
El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique
1
1986
How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. Zbl 1427.91234
Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold, Séverine; El Karoui, Nicole
1
2019
Dynamics of multivariate default system in random environment. Zbl 1415.91300
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
1
2017
Measuring mortality heterogeneity with multi-state models and interval-censored data. Zbl 1394.91192
Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane
1
2017
Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126
El Karoui, Nicole; Mrad, Mohamed
3
2021
How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. Zbl 1427.91234
Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold, Séverine; El Karoui, Nicole
1
2019
Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242
Boumezoued, Alexandre; Hardy, Héloïse Labit; El Karoui, Nicole; Arnold, Séverine
10
2018
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233
Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc
8
2017
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. Zbl 1378.62044
El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia
5
2017
Dynamics of multivariate default system in random environment. Zbl 1415.91300
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
1
2017
Measuring mortality heterogeneity with multi-state models and interval-censored data. Zbl 1394.91192
Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane
1
2017
Density approach in modeling successive defaults. Zbl 1350.91018
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
8
2015
Conditional default probability and density. Zbl 1418.91570
El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B.
3
2014
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052
Barrieu, Pauline; El Karoui, Nicole
39
2013
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175
El Karoui, Nicole; Mrad, Mohamed
17
2013
Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia
33
2012
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. Zbl 1239.60031
Carraro, Laurent; El Karoui, Nicole; Obłój, Jan
16
2012
Stochastic filtering at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 876 (1981) and 1464 (1991). Zbl 1397.60010
El Karoui, Nicole; Pardoux, Etienne; Yor, Marc
1
2012
What happens after a default: the conditional density approach. Zbl 1194.91187
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
40
2010
Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200
Barrieu, Pauline; El Karoui, Nicole
51
2009
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
48
2009
BSDEs and applications. Zbl 1168.60030
El Karoui, Nicole; Hamadène, Said; Matoussi, Anis
8
2009
Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063
El Karoui, N.; Jiao, Y.
4
2009
Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel
46
2008
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance. Zbl 1152.60038
El Karoui, Nicole; Meziou, Asma
6
2008
Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024
Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole
5
2008
Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177
El Karoui, Nicole; Jiao, Ying; Kurtz, David
4
2008
Coupling smiles. Zbl 1152.91505
Durrleman, Valdo; El Karoui, Nicole
3
2008
Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Zbl 1128.91022
El Karoui, Nicole; Meziou, Asma
11
2006
Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043
Costantini, C.; Gobet, E.; El Karoui, N.
11
2006
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
108
2005
Optimal portfolio management with American capital guarantee. Zbl 1202.91295
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent
39
2005
Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel
17
2005
Maturity randomization for stochastic control problems. Zbl 1177.93097
Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar
10
2005
A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058
El Karoui, Nicole; Föllmer, Hans
6
2005
Optimal derivatives design under dynamic risk measures. Zbl 1070.91019
Barrieu, Pauline; El Karoui, Nicole
41
2004
A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022
Bank, Peter; El Karoui, Nicole
27
2004
Random walks. (Promenade aléatoire. Chaînes de Markov et simulations, martingales et stratégies.) Zbl 1196.60001
Benaïm, Michel; El Karoui, Nicole
2
2004
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534
El-Karoui, N.; Hamadène, S.
76
2003
Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives). Zbl 1044.91021
Barrieu, Pauline; El Karoui, Nicole
3
2003
Feynman-Kac’s representation in time-space domains and sensitivity with respect to the domain. (Représentation de Feynman-Kac dans des domaines temps-espace et sensibilité par rapport au domaine.) Zbl 1033.60076
Costantini, Cristina; El Karoui, Nicole; Gobet, Emmanuel
1
2003
Optimal design of derivatives in illiquid markets. Zbl 1405.91584
Barrieu, Pauline; El Karoui, Nicole
4
2002
A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038
El Karoui, N.; Peng, S.; Quenez, M. C.
64
2001
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
118
2000
On the role of state variables in interest rates models. Zbl 0974.62096
El Karoui, Nicole; Geman, Helyette; Lacoste, Vincent
1
2000
Phenomenology of the interest rate curve. Zbl 1009.91036
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc
12
1999
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
107
1998
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
53
1998
Backward stochastic differential equations in finance. Zbl 0884.90035
El Karoui, N.; Peng, S.; Quenez, M. C.
953
1997
Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Zbl 0899.60047
El Karoui, N.; Kapoudjian, C.; Pardoux, E.; Peng, S.; Quenez, M. C.
286
1997
A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064
El Karoui, N.; Huang, S. J.
71
1997
Reflected backward SDEs and American options. Zbl 0898.90033
El Karoui, N.; Pardoux, E.; Quenez, M. C.
51
1997
Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010
El Karoui, N.; Quenez, M. C.
34
1997
Backward stochastic differential equations. Zbl 0866.00052
29
1997
Backward stochastic differential equations. A general introduction. Zbl 0886.60054
El Karoui, N.
14
1997
Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171
El Karoui, Nicole; Karatzas, Ioannis
2
1997
Imperfect markets and backward stochastic differential equations. Zbl 0898.90032
El Karoui, N.; Quenez, M. C.
1
1997
Changes of numéraire, changes of probability measure and option pricing. Zbl 0829.90007
Geman, Hélyette; El Karoui, Nicole; Rochet, Jean-Charles
171
1995
Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010
El Karoui, Nicole; Quenez, Marie-Claire
158
1995
The optimal stopping problem for a general American put-option. Zbl 0841.90051
El Karoui, Nicole; Karatzas, Ioannis
4
1995
Dynamic allocation problems in continuous time. Zbl 0831.93069
El Karoui, Nicole; Karatzas, Ioannis
15
1994
Stochastic control methods in optimal design of life testing. Zbl 0815.62070
El Karoui, N.; Gerardi, A.; Mazliak, L.
1
1994
General Gittins index processes in discrete time. Zbl 0783.60046
El Karoui, Nicole; Karatzas, Ioannis
5
1993
A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034
El Karoui, N.; Lepeltier, J.-P.; Millet, A.
12
1992
Propriétés de martingales, explosion et représentation de Lévy- Khintchine d’une classe de processus de branchement à valeurs mesures. (Martingale properties, explosions and Levy-Khinchine representation of measure valued branching processes). Zbl 0743.60081
El Karoui, Nicole; Roelly, Sylvie
40
1991
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
27
1991
Programmation dynamique et évaluation des actifs contingents en marché incomplet. (Dynamic programming and pricing of contingent claims in an incomplete market). Zbl 0736.90009
El Karoui, Nicole; Quenez, Marie-Claire
10
1991
Correction: A new approach to the Skorohod problem, and its applications. Zbl 0739.60079
El Karoui, N.; Karatzas, I.
3
1991
Martingale measures and stochastic calculus. Zbl 0694.60041
El Karoui, N.; Méléard, S.
31
1990
Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042
El Karoui, Nicole; Karatzas, Ioannis
1
1989
Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078
Karoui, Nicole El; Karatzas, Ioannis
19
1988
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063
El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique
18
1988
Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065
El Karoui, Nicole; Jeanblanc-Picqué, Monique
2
1988
Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051
El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique
71
1987
Existence of an optimal Markovian filter for the control under partial observations. (Existence d’un filtre markovien optimal en contrôle partiellement observable.) Zbl 0588.60075
El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique
1
1986
Nonlinear evolution equations and functionals of measure-valued branching processes. Zbl 0587.60083
El Karoui, Nicole
2
1985
Théorie du potentiel et contrôle stochastique. Zbl 0562.60047
El Karoui, Nicole
1
1984
Optimal stopping of controlled Markov processes. Zbl 0495.93063
El Karoui, Nicole; Lepeltier, Jean-Pierre; Marchal, Bernard
1
1982
Nisio semi-group associated to the control of Markov processes. Zbl 0503.93072
El Karoui, N.; Lepeltier, J. P.; Marchal, B.
1
1982
Les aspects probabilistes du contrôle stochastique. Zbl 0472.60002
El Karoui, N.
99
1981
Ecole d’ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin. Zbl 0455.00015
Bickel, Peter J.; Karoui, N. El; Yor, M.
6
1981
Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043
Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B.
42
1980
Temps local et balayage des semi-martingales. Zbl 0411.60077
El Karoui, Nicole
1
1979
Temps locaux. Exposés du séminaire J. Azéma–M. Yor, Université Pierre et Marie Curie, Paris, France, (1976–1977). Zbl 0385.60063
5
1978
Arret optimal previsible. Zbl 0406.60035
El Karoui, Nicole
3
1978
Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065
El Karoui, Nicole; Lepeltier, Jean-Pierre
20
1977
Théorie générale et changement de temps. Zbl 0433.60035
El Karoui, Nicole; Weidenfeld, Gerard
2
1977
Les changements de temps en théorie générale des processus. Zbl 0433.60036
El Karoui, Nicole; Meyer, P. A.
1
1977
Processus de reflexion dans \(R^n\). Zbl 0325.60044
El Karoui, Nicole
5
1975
Compactification et balayage de processus droits. Zbl 0325.60067
El Karoui, Nicole; Reinhard, Herve
2
1975
Processus de Poisson ponctuel associe à un processus ponctuel, représentation des martingales de carre intégrable, quasi-continue à gauche. Zbl 0339.60046
El Karoui, Nicole; Lepeltier, Jean-Pierre
1
1975
Balayage et changement de temps. Zbl 0352.60023
Karoui, Nicole El
1
1975
Processus de diffusion dans R\(^n\). Zbl 0282.60049
Karoui, N.; Reinhard, H.
3
1973
Processus de diffusion associé à un opérateur elliptique dégénéré. (Diffusion process associated with an elliptic degenerate operator). Zbl 0234.60094
Bonami, A.; Karoui, N.; Roynette, B.; Reinhard, H.
9
1971
Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030
El Karoui, Nicole
1
1971
Processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602
Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B.
1
1970
Propriétés du processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43701
Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B.
1
1970
Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001
Karoui, N.; Reinhard, H.; Roynette, B.
1
1970
all top 5

Cited by 2,228 Authors

48 Wu, Zhen
33 Ouknine, Youssef
32 Touzi, Nizar
31 Hu, Ying
28 El Karoui, Nicole
27 Peng, Shige
25 Hamadene, Saïd
24 Jeanblanc, Monique
24 Yong, Jiongmin
23 Ji, Shaolin
23 Possamaï, Dylan
22 Tang, Shanjian
21 Zhang, Jianfeng
20 Fan, Shengjun
19 Bahlali, Khaled
19 El Otmani, Mohamed
19 Elliott, Robert James
19 Matoussi, Anis
19 Ren, Yong
18 Pham, Huyên
17 Ferrari, Giorgio
17 Hu, Mingshang
17 Jiang, Long
16 Bouchard, Bruno
16 Gobet, Emmanuel
16 Karatzas, Ioannis
16 Quenez, Marie-Claire
16 Rutkowski, Marek
15 Djehiche, Boualem
15 Imkeller, Peter
15 Li, Juan
15 Ma, Jin
14 Klimsiak, Tomasz
14 Liang, Gechun
14 Shi, Yufeng
14 Siu, Tak Kuen
13 Chen, Zengjing
13 dos Reis, Gonçalo
13 Ekström, Erik
13 Elie, Romuald
13 Kupper, Michael
13 Mezerdi, Brahim
13 Sulem, Agnès
12 Briand, Philippe
12 Buckdahn, Rainer
12 Jiao, Ying
12 Kharroubi, Idris
12 Lepeltier, Jean-Pierre
12 Obloj, Jan K.
12 Rosazza Gianin, Emanuela
12 Shen, Yang
12 Tan, Xiaolu
12 Wang, Guangchen
12 Yu, Zhiyong
12 Zariphopoulou, Thaleia
11 Chassagneux, Jean-François
11 Pelsser, Antoon A. J.
11 Popier, Alexandre
11 Wang, Falei
11 Xu, Mingyu
11 Yao, Song
11 Zhou, Chao
10 Bielecki, Tomasz R.
10 Ceci, Claudia
10 Crepey, Stephane
10 Delbaen, Freddy
10 Essaky, El Hassan
10 Hu, Feng
10 Huang, Jianhui
10 Øksendal, Bernt Karsten
10 Réveillac, Anthony
10 Russo, Francesco
10 Shi, Jingtao
10 Słomiński, Leszek
10 Stadje, Mitja
10 Zhao, Weidong
10 Žitković, Gordan
9 Bayraktar, Erhan
9 Bender, Christian
9 Cohen, Samuel N.
9 Du, Kai
9 Fuhrman, Marco
9 Hu, Yijun
9 Luo, Peng
9 Marzougue, Mohamed
9 Maticiuc, Lucian
9 Rascanu, Aurel
9 Richou, Adrien
9 Schweizer, Martin
9 Takahashi, Akihiko
9 Tangpi, Ludovic
9 Warin, Xavier
8 Barrieu, Pauline M.
8 Campi, Luciano
8 Chala, Adel
8 Delong, Łukasz
8 Dumitrescu, Roxana
8 Feng, Xinwei
8 Hassani, Mohammed
8 Hu, Lanying
...and 2,128 more Authors
all top 5

Cited in 269 Serials

229 Stochastic Processes and their Applications
101 Insurance Mathematics & Economics
101 The Annals of Applied Probability
82 Finance and Stochastics
77 International Journal of Theoretical and Applied Finance
67 Statistics & Probability Letters
65 Quantitative Finance
56 Mathematical Finance
54 Stochastic Analysis and Applications
53 Applied Mathematics and Optimization
50 Journal of Mathematical Analysis and Applications
48 SIAM Journal on Control and Optimization
44 Mathematics and Financial Economics
43 The Annals of Probability
39 Journal of Economic Dynamics & Control
32 SIAM Journal on Financial Mathematics
31 Applied Mathematical Finance
30 Stochastics and Dynamics
30 Stochastics
25 Probability Theory and Related Fields
25 Random Operators and Stochastic Equations
23 Journal of Applied Probability
23 Systems & Control Letters
23 Journal of Theoretical Probability
23 European Journal of Operational Research
23 Comptes Rendus. Mathématique. Académie des Sciences, Paris
21 Journal of Computational and Applied Mathematics
21 Journal of Optimization Theory and Applications
21 Acta Mathematicae Applicatae Sinica. English Series
21 Mathematical Methods of Operations Research
20 Automatica
20 Mathematical Control and Related Fields
20 Probability, Uncertainty and Quantitative Risk
19 Journal of Mathematical Economics
19 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
18 Applied Mathematics and Computation
18 Electronic Journal of Probability
18 North American Actuarial Journal
16 Mathematics of Operations Research
16 Journal of Systems Science and Complexity
15 Advances in Applied Probability
15 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
15 Bulletin des Sciences Mathématiques
15 Acta Mathematica Sinica. English Series
15 Scandinavian Actuarial Journal
15 ASTIN Bulletin
14 Science China. Mathematics
14 Annals of Finance
13 Mathematical Problems in Engineering
13 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
13 Review of Derivatives Research
12 Abstract and Applied Analysis
12 European Actuarial Journal
11 Bernoulli
11 Decisions in Economics and Finance
11 Asia-Pacific Financial Markets
10 Journal of Differential Equations
10 Communications in Statistics. Theory and Methods
10 Potential Analysis
9 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
9 Annals of Operations Research
9 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
9 Discrete Dynamics in Nature and Society
9 Advances in Difference Equations
8 International Journal of Control
8 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
8 Methodology and Computing in Applied Probability
7 Journal of Economic Theory
7 Acta Applicandae Mathematicae
7 Journal of Applied Mathematics and Stochastic Analysis
7 Stochastics and Stochastics Reports
7 Electronic Communications in Probability
7 Journal of Inequalities and Applications
7 Afrika Matematika
6 Lithuanian Mathematical Journal
6 Stochastics
6 Theory of Probability and its Applications
6 Journal of Functional Analysis
6 Transactions of the American Mathematical Society
6 Chinese Annals of Mathematics. Series B
6 Optimization
6 Mathematical Programming. Series A. Series B
6 Applied Mathematics. Series B (English Edition)
6 Monte Carlo Methods and Applications
6 Discrete and Continuous Dynamical Systems
6 Discrete and Continuous Dynamical Systems. Series B
6 Journal of Industrial and Management Optimization
6 International Journal of Stochastic Analysis
5 Chaos, Solitons and Fractals
5 Operations Research Letters
5 Communications in Statistics. Simulation and Computation
5 Stochastic Models
5 ALEA. Latin American Journal of Probability and Mathematical Statistics
4 Computers & Mathematics with Applications
4 Physica A
4 Japan Journal of Industrial and Applied Mathematics
4 Applications of Mathematics
4 Economic Theory
4 Filomat
4 NoDEA. Nonlinear Differential Equations and Applications
...and 169 more Serials
all top 5

Cited in 40 Fields

1,738 Probability theory and stochastic processes (60-XX)
1,332 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
558 Systems theory; control (93-XX)
314 Calculus of variations and optimal control; optimization (49-XX)
216 Partial differential equations (35-XX)
156 Numerical analysis (65-XX)
138 Statistics (62-XX)
98 Operations research, mathematical programming (90-XX)
66 Ordinary differential equations (34-XX)
25 Operator theory (47-XX)
22 Functional analysis (46-XX)
21 Integral equations (45-XX)
13 Dynamical systems and ergodic theory (37-XX)
11 Biology and other natural sciences (92-XX)
10 Measure and integration (28-XX)
10 Potential theory (31-XX)
9 Real functions (26-XX)
9 Statistical mechanics, structure of matter (82-XX)
7 Global analysis, analysis on manifolds (58-XX)
7 Computer science (68-XX)
6 Approximations and expansions (41-XX)
5 General and overarching topics; collections (00-XX)
5 Difference and functional equations (39-XX)
5 Integral transforms, operational calculus (44-XX)
5 Fluid mechanics (76-XX)
4 Quantum theory (81-XX)
4 Information and communication theory, circuits (94-XX)
3 Convex and discrete geometry (52-XX)
2 Mathematical logic and foundations (03-XX)
2 Combinatorics (05-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
2 Abstract harmonic analysis (43-XX)
2 Mathematics education (97-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Number theory (11-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Topological groups, Lie groups (22-XX)
1 Differential geometry (53-XX)
1 Manifolds and cell complexes (57-XX)
1 Mechanics of particles and systems (70-XX)

Citations by Year

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