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El more...less Homepage: http://www.cmap.polytechnique.fr/~elkaroui/elkaroui2.html External Links: MGP · Wikidata · dblp · GND · IdRef · theses.fr Documents Indexed: 109 Publications since 1970, including 5 Books 3 Contributions as Editor · 2 Further Contributions Biographic References: 1 Publication Co-Authors: 69 Co-Authors with 100 Joint Publications 1,595 Co-Co-Authors 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 all top 5 Fields 80 Probability theory and stochastic processes (60-XX) 49 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 24 Systems theory; control (93-XX) 7 General and overarching topics; collections (00-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 7 Statistics (62-XX) 6 Operations research, mathematical programming (90-XX) 5 Partial differential equations (35-XX) 2 Functional analysis (46-XX) 1 History and biography (01-XX) 1 Potential theory (31-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications 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 0884.90035El Karoui, N.; Peng, S.; Quenez, M. C. 953 1997 Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Zbl 0899.60047El Karoui, N.; Kapoudjian, C.; Pardoux, E.; Peng, S.; Quenez, M. C. 286 1997 Changes of numéraire, changes of probability measure and option pricing. Zbl 0829.90007Geman, Hélyette; El Karoui, Nicole; Rochet, Jean-Charles 171 1995 Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010El Karoui, Nicole; Quenez, Marie-Claire 158 1995 Pricing via utility maximization and entropy. Zbl 1052.91512Rouge, Richard; El Karoui, Nicole 118 2000 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037Barrieu, Pauline; El Karoui, Nicole 108 2005 Robustness of the Black and Scholes formula. Zbl 0910.90008El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 107 1998 Les aspects probabilistes du contrôle stochastique. Zbl 0472.60002El Karoui, N. 99 1981 BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534El-Karoui, N.; Hamadène, S. 76 2003 A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064El Karoui, N.; Huang, S. J. 71 1997 Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique 71 1987 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038El Karoui, N.; Peng, S.; Quenez, M. C. 64 2001 Optimization of consumption with labor income. Zbl 0930.60050El Karoui, Nicole; Jeanblanc-Picqué, Monique 53 1998 Reflected backward SDEs and American options. Zbl 0898.90033El Karoui, N.; Pardoux, E.; Quenez, M. C. 51 1997 Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200Barrieu, Pauline; El Karoui, Nicole 51 2009 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111El Karoui, Nicole; Ravanelli, Claudia 48 2009 Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel 46 2008 Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B. 42 1980 Optimal derivatives design under dynamic risk measures. Zbl 1070.91019Barrieu, 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 0743.60081El Karoui, Nicole; Roelly, Sylvie 40 1991 What happens after a default: the conditional density approach. Zbl 1194.91187El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 40 2010 Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052Barrieu, Pauline; El Karoui, Nicole 39 2013 Optimal portfolio management with American capital guarantee. Zbl 1202.91295El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent 39 2005 Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010El Karoui, N.; Quenez, M. C. 34 1997 Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia 33 2012 Martingale measures and stochastic calculus. Zbl 0694.60041El 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 0735.60046El Karoui, Nicole; Karatzas, Ioannis 27 1991 A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022Bank, Peter; El Karoui, Nicole 27 2004 Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065El Karoui, Nicole; Lepeltier, Jean-Pierre 20 1977 Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078Karoui, Nicole El; Karatzas, Ioannis 19 1988 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique 18 1988 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 17 2013 Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel 17 2005 On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. Zbl 1239.60031Carraro, Laurent; El Karoui, Nicole; Obłój, Jan 16 2012 Dynamic allocation problems in continuous time. Zbl 0831.93069El Karoui, Nicole; Karatzas, Ioannis 15 1994 Backward stochastic differential equations. A general introduction. Zbl 0886.60054El Karoui, N. 14 1997 Phenomenology of the interest rate curve. Zbl 1009.91036Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc 12 1999 A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034El Karoui, N.; Lepeltier, J.-P.; Millet, A. 12 1992 Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Zbl 1128.91022El Karoui, Nicole; Meziou, Asma 11 2006 Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043Costantini, 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 0736.90009El Karoui, Nicole; Quenez, Marie-Claire 10 1991 Maturity randomization for stochastic control problems. Zbl 1177.93097Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar 10 2005 Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242Boumezoued, 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 0234.60094Bonami, A.; Karoui, N.; Roynette, B.; Reinhard, H. 9 1971 BSDEs and applications. Zbl 1168.60030El Karoui, Nicole; Hamadène, Said; Matoussi, Anis 8 2009 Density approach in modeling successive defaults. Zbl 1350.91018El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 8 2015 Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233Vedani, 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 0455.00015Bickel, 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 1152.60038El Karoui, Nicole; Meziou, Asma 6 2008 A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058El Karoui, Nicole; Föllmer, Hans 6 2005 General Gittins index processes in discrete time. Zbl 0783.60046El Karoui, Nicole; Karatzas, Ioannis 5 1993 Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole 5 2008 Processus de reflexion dans \(R^n\). Zbl 0325.60044El 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 1378.62044El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia 5 2017 The optimal stopping problem for a general American put-option. Zbl 0841.90051El Karoui, Nicole; Karatzas, Ioannis 4 1995 Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063El Karoui, N.; Jiao, Y. 4 2009 Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177El Karoui, Nicole; Jiao, Ying; Kurtz, David 4 2008 Optimal design of derivatives in illiquid markets. Zbl 1405.91584Barrieu, 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 1044.91021Barrieu, Pauline; El Karoui, Nicole 3 2003 Correction: A new approach to the Skorohod problem, and its applications. Zbl 0739.60079El Karoui, N.; Karatzas, I. 3 1991 Arret optimal previsible. Zbl 0406.60035El Karoui, Nicole 3 1978 Processus de diffusion dans R\(^n\). Zbl 0282.60049Karoui, N.; Reinhard, H. 3 1973 Coupling smiles. Zbl 1152.91505Durrleman, Valdo; El Karoui, Nicole 3 2008 Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126El Karoui, Nicole; Mrad, Mohamed 3 2021 Conditional default probability and density. Zbl 1418.91570El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B. 3 2014 Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171El Karoui, Nicole; Karatzas, Ioannis 2 1997 Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065El Karoui, Nicole; Jeanblanc-Picqué, Monique 2 1988 Random walks. (Promenade aléatoire. Chaînes de Markov et simulations, martingales et stratégies.) Zbl 1196.60001Benaïm, Michel; El Karoui, Nicole 2 2004 Théorie générale et changement de temps. Zbl 0433.60035El Karoui, Nicole; Weidenfeld, Gerard 2 1977 Compactification et balayage de processus droits. Zbl 0325.60067El Karoui, Nicole; Reinhard, Herve 2 1975 Nonlinear evolution equations and functionals of measure-valued branching processes. Zbl 0587.60083El 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 1033.60076Costantini, Cristina; El Karoui, Nicole; Gobet, Emmanuel 1 2003 Stochastic control methods in optimal design of life testing. Zbl 0815.62070El Karoui, N.; Gerardi, A.; Mazliak, L. 1 1994 Imperfect markets and backward stochastic differential equations. Zbl 0898.90032El Karoui, N.; Quenez, M. C. 1 1997 Processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Propriétés du processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43701Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 On the role of state variables in interest rates models. Zbl 0974.62096El Karoui, Nicole; Geman, Helyette; Lacoste, Vincent 1 2000 Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042El Karoui, Nicole; Karatzas, Ioannis 1 1989 Temps local et balayage des semi-martingales. Zbl 0411.60077El Karoui, Nicole 1 1979 Les changements de temps en théorie générale des processus. Zbl 0433.60036El Karoui, Nicole; Meyer, P. A. 1 1977 Optimal stopping of controlled Markov processes. Zbl 0495.93063El Karoui, Nicole; Lepeltier, Jean-Pierre; Marchal, Bernard 1 1982 Nisio semi-group associated to the control of Markov processes. Zbl 0503.93072El Karoui, N.; Lepeltier, J. P.; Marchal, B. 1 1982 Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030El Karoui, Nicole 1 1971 Processus de Poisson ponctuel associe à un processus ponctuel, représentation des martingales de carre intégrable, quasi-continue à gauche. Zbl 0339.60046El Karoui, Nicole; Lepeltier, Jean-Pierre 1 1975 Balayage et changement de temps. Zbl 0352.60023Karoui, 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 1397.60010El Karoui, Nicole; Pardoux, Etienne; Yor, Marc 1 2012 Théorie du potentiel et contrôle stochastique. Zbl 0562.60047El 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 0588.60075El 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 1427.91234Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold, Séverine; El Karoui, Nicole 1 2019 Dynamics of multivariate default system in random environment. Zbl 1415.91300El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 1 2017 Measuring mortality heterogeneity with multi-state models and interval-censored data. Zbl 1394.91192Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane 1 2017 Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126El Karoui, Nicole; Mrad, Mohamed 3 2021 How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. Zbl 1427.91234Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold, Séverine; El Karoui, Nicole 1 2019 Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242Boumezoued, 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 1394.91233Vedani, 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 1378.62044El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia 5 2017 Dynamics of multivariate default system in random environment. Zbl 1415.91300El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 1 2017 Measuring mortality heterogeneity with multi-state models and interval-censored data. Zbl 1394.91192Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane 1 2017 Density approach in modeling successive defaults. Zbl 1350.91018El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 8 2015 Conditional default probability and density. Zbl 1418.91570El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B. 3 2014 Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052Barrieu, Pauline; El Karoui, Nicole 39 2013 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 17 2013 Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073Barrieu, 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 1239.60031Carraro, 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 1397.60010El Karoui, Nicole; Pardoux, Etienne; Yor, Marc 1 2012 What happens after a default: the conditional density approach. Zbl 1194.91187El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 40 2010 Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200Barrieu, Pauline; El Karoui, Nicole 51 2009 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111El Karoui, Nicole; Ravanelli, Claudia 48 2009 BSDEs and applications. Zbl 1168.60030El Karoui, Nicole; Hamadène, Said; Matoussi, Anis 8 2009 Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063El Karoui, N.; Jiao, Y. 4 2009 Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018Blanchet-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 1152.60038El Karoui, Nicole; Meziou, Asma 6 2008 Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole 5 2008 Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177El Karoui, Nicole; Jiao, Ying; Kurtz, David 4 2008 Coupling smiles. Zbl 1152.91505Durrleman, Valdo; El Karoui, Nicole 3 2008 Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Zbl 1128.91022El Karoui, Nicole; Meziou, Asma 11 2006 Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043Costantini, C.; Gobet, E.; El Karoui, N. 11 2006 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037Barrieu, Pauline; El Karoui, Nicole 108 2005 Optimal portfolio management with American capital guarantee. Zbl 1202.91295El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent 39 2005 Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel 17 2005 Maturity randomization for stochastic control problems. Zbl 1177.93097Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar 10 2005 A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058El Karoui, Nicole; Föllmer, Hans 6 2005 Optimal derivatives design under dynamic risk measures. Zbl 1070.91019Barrieu, Pauline; El Karoui, Nicole 41 2004 A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022Bank, Peter; El Karoui, Nicole 27 2004 Random walks. (Promenade aléatoire. Chaînes de Markov et simulations, martingales et stratégies.) Zbl 1196.60001Benaïm, Michel; El Karoui, Nicole 2 2004 BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534El-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 1044.91021Barrieu, 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 1033.60076Costantini, Cristina; El Karoui, Nicole; Gobet, Emmanuel 1 2003 Optimal design of derivatives in illiquid markets. Zbl 1405.91584Barrieu, Pauline; El Karoui, Nicole 4 2002 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038El Karoui, N.; Peng, S.; Quenez, M. C. 64 2001 Pricing via utility maximization and entropy. Zbl 1052.91512Rouge, Richard; El Karoui, Nicole 118 2000 On the role of state variables in interest rates models. Zbl 0974.62096El Karoui, Nicole; Geman, Helyette; Lacoste, Vincent 1 2000 Phenomenology of the interest rate curve. Zbl 1009.91036Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc 12 1999 Robustness of the Black and Scholes formula. Zbl 0910.90008El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 107 1998 Optimization of consumption with labor income. Zbl 0930.60050El Karoui, Nicole; Jeanblanc-Picqué, Monique 53 1998 Backward stochastic differential equations in finance. Zbl 0884.90035El Karoui, N.; Peng, S.; Quenez, M. C. 953 1997 Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Zbl 0899.60047El 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 0887.60064El Karoui, N.; Huang, S. J. 71 1997 Reflected backward SDEs and American options. Zbl 0898.90033El Karoui, N.; Pardoux, E.; Quenez, M. C. 51 1997 Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010El Karoui, N.; Quenez, M. C. 34 1997 Backward stochastic differential equations. Zbl 0866.00052 29 1997 Backward stochastic differential equations. A general introduction. Zbl 0886.60054El Karoui, N. 14 1997 Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171El Karoui, Nicole; Karatzas, Ioannis 2 1997 Imperfect markets and backward stochastic differential equations. Zbl 0898.90032El Karoui, N.; Quenez, M. C. 1 1997 Changes of numéraire, changes of probability measure and option pricing. Zbl 0829.90007Geman, Hélyette; El Karoui, Nicole; Rochet, Jean-Charles 171 1995 Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010El Karoui, Nicole; Quenez, Marie-Claire 158 1995 The optimal stopping problem for a general American put-option. Zbl 0841.90051El Karoui, Nicole; Karatzas, Ioannis 4 1995 Dynamic allocation problems in continuous time. Zbl 0831.93069El Karoui, Nicole; Karatzas, Ioannis 15 1994 Stochastic control methods in optimal design of life testing. Zbl 0815.62070El Karoui, N.; Gerardi, A.; Mazliak, L. 1 1994 General Gittins index processes in discrete time. Zbl 0783.60046El Karoui, Nicole; Karatzas, Ioannis 5 1993 A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034El 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 0743.60081El Karoui, Nicole; Roelly, Sylvie 40 1991 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046El 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 0736.90009El Karoui, Nicole; Quenez, Marie-Claire 10 1991 Correction: A new approach to the Skorohod problem, and its applications. Zbl 0739.60079El Karoui, N.; Karatzas, I. 3 1991 Martingale measures and stochastic calculus. Zbl 0694.60041El Karoui, N.; Méléard, S. 31 1990 Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042El Karoui, Nicole; Karatzas, Ioannis 1 1989 Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078Karoui, Nicole El; Karatzas, Ioannis 19 1988 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique 18 1988 Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065El Karoui, Nicole; Jeanblanc-Picqué, Monique 2 1988 Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051El 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 0588.60075El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique 1 1986 Nonlinear evolution equations and functionals of measure-valued branching processes. Zbl 0587.60083El Karoui, Nicole 2 1985 Théorie du potentiel et contrôle stochastique. Zbl 0562.60047El Karoui, Nicole 1 1984 Optimal stopping of controlled Markov processes. Zbl 0495.93063El Karoui, Nicole; Lepeltier, Jean-Pierre; Marchal, Bernard 1 1982 Nisio semi-group associated to the control of Markov processes. Zbl 0503.93072El Karoui, N.; Lepeltier, J. P.; Marchal, B. 1 1982 Les aspects probabilistes du contrôle stochastique. Zbl 0472.60002El Karoui, N. 99 1981 Ecole d’ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin. Zbl 0455.00015Bickel, Peter J.; Karoui, N. El; Yor, M. 6 1981 Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B. 42 1980 Temps local et balayage des semi-martingales. Zbl 0411.60077El 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 0406.60035El Karoui, Nicole 3 1978 Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065El Karoui, Nicole; Lepeltier, Jean-Pierre 20 1977 Théorie générale et changement de temps. Zbl 0433.60035El Karoui, Nicole; Weidenfeld, Gerard 2 1977 Les changements de temps en théorie générale des processus. Zbl 0433.60036El Karoui, Nicole; Meyer, P. A. 1 1977 Processus de reflexion dans \(R^n\). Zbl 0325.60044El Karoui, Nicole 5 1975 Compactification et balayage de processus droits. Zbl 0325.60067El 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 0339.60046El Karoui, Nicole; Lepeltier, Jean-Pierre 1 1975 Balayage et changement de temps. Zbl 0352.60023Karoui, Nicole El 1 1975 Processus de diffusion dans R\(^n\). Zbl 0282.60049Karoui, N.; Reinhard, H. 3 1973 Processus de diffusion associé à un opérateur elliptique dégénéré. (Diffusion process associated with an elliptic degenerate operator). Zbl 0234.60094Bonami, A.; Karoui, N.; Roynette, B.; Reinhard, H. 9 1971 Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030El Karoui, Nicole 1 1971 Processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Propriétés du processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43701Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 all cited Publications top 5 cited Publications 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 Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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