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El Karoui, Nicole

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Author ID: el-karoui.nicole Recent zbMATH articles by "El Karoui, Nicole"
Published as: El Karoui, N.; El Karoui, Nicole; El Karoui, Nicole; El-Karoui, N.; El-Karoui, Nicole; Karoui, N.; Karoui, N. El; Karoui, Nicole; Karoui, Nicole El
Homepage: http://www.cmap.polytechnique.fr/~elkaroui/elkaroui2.html
External Links: MGP · Wikidata · dblp · GND
Documents Indexed: 110 Publications since 1970, including 7 Books
Biographic References: 1 Publication

Publications by Year

Citations contained in zbMATH

91 Publications have been cited 2,921 times in 2,154 Documents Cited by Year
Backward stochastic differential equations in finance. Zbl 0884.90035
El Karoui, N.; Peng, S.; Quenez, M. C.
821
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.
243
1997
Changes of numéraire, changes of probability measure and option pricing. Zbl 0829.90007
Geman, Hélyette; El Karoui, Nicole; Rochet, Jean-Charles
166
1995
Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010
El Karoui, Nicole; Quenez, Marie-Claire
149
1995
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
106
2000
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
102
1998
Les aspects probabilistes du contrôle stochastique. Zbl 0472.60002
El Karoui, N.
99
1981
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
97
2005
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.
63
2003
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
62
1987
A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064
El Karoui, N.; Huang, S. J.
60
1997
A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038
El Karoui, N.; Peng, S.; Quenez, M. C.
59
2001
Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200
Barrieu, Pauline; El Karoui, Nicole
47
2009
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
46
1998
Optimal derivatives design under dynamic risk measures. Zbl 1070.91019
Barrieu, Pauline; El Karoui, Nicole
41
2004
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
40
2009
Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel
40
2008
Reflected backward SDEs and American options. Zbl 0898.90033
El Karoui, N.; Pardoux, E.; Quenez, M. C.
40
1997
Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043
Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B.
38
1980
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
37
1991
Optimal portfolio management with American capital guarantee. Zbl 1202.91295
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent
36
2005
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052
Barrieu, Pauline; El Karoui, Nicole
35
2013
What happens after a default: the conditional density approach. Zbl 1194.91187
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
35
2010
Backward stochastic differential equations. Zbl 0866.00052
El Karoui, Nicole (ed.); Mazliak, Laurent (ed.)
28
1997
Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010
El Karoui, N.; Quenez, M. C.
27
1997
Martingale measures and stochastic calculus. Zbl 0694.60041
El Karoui, N.; Méléard, S.
27
1990
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
26
2012
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
25
1991
A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022
Bank, Peter; El Karoui, Nicole
22
2004
Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065
El Karoui, Nicole; Lepeltier, Jean-Pierre
18
1977
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. Zbl 1239.60031
Carraro, Laurent; El Karoui, Nicole; Obłój, Jan
16
2012
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063
El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique
16
1988
Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel
15
2005
Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078
Karoui, Nicole El; Karatzas, Ioannis
15
1988
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175
El Karoui, Nicole; Mrad, Mohamed
13
2013
Backward stochastic differential equations. A general introduction. Zbl 0886.60054
El Karoui, N.
13
1997
Phenomenology of the interest rate curve. Zbl 1009.91036
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc
12
1999
BSDEs and applications. Zbl 1168.60030
El Karoui, Nicole; Hamadène, Said; Matoussi, Anis
11
2009
Dynamic allocation problems in continuous time. Zbl 0831.93069
El Karoui, Nicole; Karatzas, Ioannis
11
1994
Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Zbl 1128.91022
El Karoui, Nicole; Meziou, Asma
10
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
A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034
El Karoui, N.; Lepeltier, J.-P.; Millet, A.
9
1992
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
Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043
Costantini, C.; Gobet, E.; El Karoui, N.
8
2006
Maturity randomization for stochastic control problems. Zbl 1177.93097
Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar
8
2005
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.
8
1971
Density approach in modeling successive defaults. Zbl 1350.91018
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
7
2015
Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242
Boumezoued, Alexandre; Hardy, Héloïse Labit; El Karoui, Nicole; Arnold, Séverine
6
2018
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance. Zbl 1152.60038
El Karoui, Nicole; Meziou, Asma
5
2008
A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058
El Karoui, Nicole; Föllmer, Hans
5
2005
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. Zbl 1378.62044
El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia
4
2017
Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024
Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole
4
2008
The optimal stopping problem for a general American put-option. Zbl 0841.90051
El Karoui, Nicole; Karatzas, Ioannis
4
1995
Correction: A new approach to the Skorohod problem, and its applications. Zbl 0739.60079
El Karoui, N.; Karatzas, I.
4
1991
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.
4
1981
Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063
El Karoui, N.; Jiao, Y.
3
2009
Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177
El Karoui, Nicole; Jiao, Ying; Kurtz, David
3
2008
Coupling smiles. Zbl 1152.91505
Durrleman, Valdo; El Karoui, Nicole
3
2008
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
General Gittins index processes in discrete time. Zbl 0783.60046
El Karoui, Nicole; Karatzas, Ioannis
3
1993
Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065
El Karoui, Nicole; Jeanblanc-Picqué, Monique
3
1988
Processus de reflexion dans \(R^n\). Zbl 0325.60044
El Karoui, Nicole
3
1975
Processus de diffusion dans R\(^n\). Zbl 0282.60049
Karoui, N.; Reinhard, H.
3
1973
Conditional default probability and density. Zbl 1418.91570
El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B.
2
2014
Random walks. Zbl 1196.60001
Benaïm, Michel; El Karoui, Nicole
2
2004
Optimal design of derivatives in illiquid markets. Zbl 1405.91584
Barrieu, Pauline; El Karoui, Nicole
2
2002
Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171
El Karoui, Nicole; Karatzas, Ioannis
2
1997
Nonlinear evolution equations and functionals of measure-valued branching processes. Zbl 0587.60083
El Karoui, Nicole
2
1985
Optimal stopping of controlled Markov processes. Zbl 0495.93063
El Karoui, Nicole; Lepeltier, Jean-Pierre; Marchal, Bernard
2
1982
Temps local et balayage des semi-martingales. Zbl 0411.60077
El Karoui, Nicole
2
1979
Compactification et balayage de processus droits. Zbl 0325.60067
El Karoui, Nicole; Reinhard, Herve
2
1975
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
Dynamic financial risk management. Zbl 1272.91060
Barrieu, Pauline; El Karoui, Nicole
1
2006
Feynman-Kac’s representation in time-space domains and sensitivity with respect to the domain. Zbl 1033.60076
Costantini, Cristina; El Karoui, Nicole; Gobet, Emmanuel
1
2003
On the role of state variables in interest rates models. Zbl 0974.62096
El Karoui, Nicole; Geman, Helyette; Lacoste, Vincent
1
2000
Imperfect markets and backward stochastic differential equations. Zbl 0898.90032
El Karoui, N.; Quenez, M. C.
1
1997
Stochastic control methods in optimal design of life testing. Zbl 0815.62070
El Karoui, N.; Gerardi, A.; Mazliak, L.
1
1994
Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042
El Karoui, Nicole; Karatzas, Ioannis
1
1989
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0588.60075
El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique
1
1986
Théorie du potentiel et contrôle stochastique. Zbl 0562.60047
El Karoui, Nicole
1
1984
Nisio semi-group associated to the control of Markov processes. Zbl 0503.93072
El Karoui, N.; Lepeltier, J. P.; Marchal, B.
1
1982
Arret optimal previsible. Zbl 0406.60035
El Karoui, Nicole
1
1978
Les changements de temps en théorie générale des processus. Zbl 0433.60036
El Karoui, Nicole; Meyer, P. A.
1
1977
Théorie générale et changement de temps. Zbl 0433.60035
El Karoui, Nicole; Weidenfeld, Gerard
1
1977
Balayage et changement de temps. Zbl 0352.60023
Karoui, Nicole El
1
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
Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030
El Karoui, Nicole
1
1971
Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001
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 de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602
Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B.
1
1970
Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242
Boumezoued, Alexandre; Hardy, Héloïse Labit; El Karoui, Nicole; Arnold, Séverine
6
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
4
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
7
2015
Conditional default probability and density. Zbl 1418.91570
El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B.
2
2014
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052
Barrieu, Pauline; El Karoui, Nicole
35
2013
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175
El Karoui, Nicole; Mrad, Mohamed
13
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
26
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
What happens after a default: the conditional density approach. Zbl 1194.91187
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
35
2010
Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200
Barrieu, Pauline; El Karoui, Nicole
47
2009
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
40
2009
BSDEs and applications. Zbl 1168.60030
El Karoui, Nicole; Hamadène, Said; Matoussi, Anis
11
2009
Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063
El Karoui, N.; Jiao, Y.
3
2009
Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel
40
2008
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance. Zbl 1152.60038
El Karoui, Nicole; Meziou, Asma
5
2008
Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024
Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole
4
2008
Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177
El Karoui, Nicole; Jiao, Ying; Kurtz, David
3
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
10
2006
Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043
Costantini, C.; Gobet, E.; El Karoui, N.
8
2006
Dynamic financial risk management. Zbl 1272.91060
Barrieu, Pauline; El Karoui, Nicole
1
2006
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
97
2005
Optimal portfolio management with American capital guarantee. Zbl 1202.91295
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent
36
2005
Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel
15
2005
Maturity randomization for stochastic control problems. Zbl 1177.93097
Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar
8
2005
A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058
El Karoui, Nicole; Föllmer, Hans
5
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
22
2004
Random walks. 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.
63
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. 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
2
2002
A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038
El Karoui, N.; Peng, S.; Quenez, M. C.
59
2001
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
106
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.
102
1998
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
46
1998
Backward stochastic differential equations in finance. Zbl 0884.90035
El Karoui, N.; Peng, S.; Quenez, M. C.
821
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.
243
1997
A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064
El Karoui, N.; Huang, S. J.
60
1997
Reflected backward SDEs and American options. Zbl 0898.90033
El Karoui, N.; Pardoux, E.; Quenez, M. C.
40
1997
Backward stochastic differential equations. Zbl 0866.00052
El Karoui, Nicole (ed.); Mazliak, Laurent (ed.)
28
1997
Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010
El Karoui, N.; Quenez, M. C.
27
1997
Backward stochastic differential equations. A general introduction. Zbl 0886.60054
El Karoui, N.
13
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
166
1995
Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010
El Karoui, Nicole; Quenez, Marie-Claire
149
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
11
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
3
1993
A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034
El Karoui, N.; Lepeltier, J.-P.; Millet, A.
9
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
37
1991
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
25
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.
4
1991
Martingale measures and stochastic calculus. Zbl 0694.60041
El Karoui, N.; Méléard, S.
27
1990
Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042
El Karoui, Nicole; Karatzas, Ioannis
1
1989
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063
El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique
16
1988
Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078
Karoui, Nicole El; Karatzas, Ioannis
15
1988
Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065
El Karoui, Nicole; Jeanblanc-Picqué, Monique
3
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
62
1987
Existence of an optimal Markovian filter for the control under partial observations. 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
2
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.
4
1981
Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043
Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B.
38
1980
Temps local et balayage des semi-martingales. Zbl 0411.60077
El Karoui, Nicole
2
1979
Arret optimal previsible. Zbl 0406.60035
El Karoui, Nicole
1
1978
Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065
El Karoui, Nicole; Lepeltier, Jean-Pierre
18
1977
Les changements de temps en théorie générale des processus. Zbl 0433.60036
El Karoui, Nicole; Meyer, P. A.
1
1977
Théorie générale et changement de temps. Zbl 0433.60035
El Karoui, Nicole; Weidenfeld, Gerard
1
1977
Processus de reflexion dans \(R^n\). Zbl 0325.60044
El Karoui, Nicole
3
1975
Compactification et balayage de processus droits. Zbl 0325.60067
El Karoui, Nicole; Reinhard, Herve
2
1975
Balayage et changement de temps. Zbl 0352.60023
Karoui, Nicole El
1
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
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.
8
1971
Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030
El Karoui, Nicole
1
1971
Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001
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 de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602
Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B.
1
1970
all top 5

Cited by 2,068 Authors

40 Wu, Zhen
31 Hu, Ying
29 Touzi, Nizar
27 Peng, Shige
26 El Karoui, Nicole
26 Ouknine, Youssef
24 Hamadene, Saïd
22 Zhang, Jianfeng
21 Jeanblanc, Monique
20 Tang, Shanjian
20 Yong, Jiongmin
19 Ji, Shaolin
18 Bahlali, Khaled
18 Elliott, Robert James
18 Fan, Shengjun
18 Pham, Huyên
18 Possamaï, Dylan
18 Ren, Yong
17 Matoussi, Anis
16 Gobet, Emmanuel
16 Jiang, Long
15 Bouchard, Bruno
15 El Otmani, Mohamed
15 Karatzas, Ioannis
15 Li, Juan
15 Ma, Jin
15 Quenez, Marie-Claire
14 Imkeller, Peter
14 Rutkowski, Marek
14 Siu, Tak Kuen
13 Chen, Zengjing
13 Djehiche, Boualem
13 Elie, Romuald
13 Mezerdi, Brahim
12 Briand, Philippe
12 Buckdahn, Rainer
12 dos Reis, Gonçalo
12 Ekström, Erik
12 Ferrari, Giorgio
12 Jiao, Ying
12 Klimsiak, Tomasz
12 Kupper, Michael
12 Lepeltier, Jean-Pierre
12 Liang, Gechun
12 Obloj, Jan K.
12 Shi, Yufeng
12 Sulem, Agnès
12 Zariphopoulou, Thaleia
11 Hu, Mingshang
11 Kharroubi, Idris
11 Pelsser, Antoon A. J.
11 Shen, Yang
11 Xu, Mingyu
11 Yao, Song
11 Yu, Zhiyong
10 Ceci, Claudia
10 Essaky, El Hassan
10 Popier, Alexandre
10 Réveillac, Anthony
10 Rosazza Gianin, Emanuela
10 Russo, Francesco
10 Stadje, Mitja
10 Tan, Xiaolu
10 Zhou, Chao
9 Bayraktar, Erhan
9 Bender, Christian
9 Bielecki, Tomasz R.
9 Crepey, Stephane
9 Fuhrman, Marco
9 Hassani, Mohammed
9 Hu, Feng
9 Hu, Yijun
9 Lin, Qian
9 Schweizer, Martin
9 Seifried, Frank Thomas
9 Słomiński, Leszek
9 Wang, Guangchen
8 Barrieu, Pauline M.
8 Chassagneux, Jean-François
8 Cohen, Samuel N.
8 Delbaen, Freddy
8 Delong, Łukasz
8 Hu, Lanying
8 Jia, Guangyan
8 Kohlmann, Michael
8 Luo, Peng
8 Madan, Dilip B.
8 Mania, Michael
8 Maticiuc, Lucian
8 Morlais, Marie-Amelie
8 Øksendal, Bernt Karsten
8 Rascanu, Aurel
8 Shi, Jingtao
8 Takahashi, Akihiko
8 Tangpi, Ludovic
8 Tysk, Johan
8 Wang, Falei
8 Warin, Xavier
8 Wei, Qingmeng
8 Xiong, Dewen
...and 1,968 more Authors
all top 5

Cited in 243 Serials

221 Stochastic Processes and their Applications
100 Insurance Mathematics & Economics
93 The Annals of Applied Probability
76 Finance and Stochastics
72 International Journal of Theoretical and Applied Finance
63 Statistics & Probability Letters
56 Mathematical Finance
53 Quantitative Finance
52 Stochastic Analysis and Applications
42 The Annals of Probability
40 Journal of Mathematical Analysis and Applications
39 Applied Mathematics and Optimization
39 Journal of Economic Dynamics & Control
39 Mathematics and Financial Economics
37 SIAM Journal on Control and Optimization
29 Applied Mathematical Finance
28 Probability Theory and Related Fields
28 Stochastics
25 Stochastics and Dynamics
25 SIAM Journal on Financial Mathematics
23 Comptes Rendus. Mathématique. Académie des Sciences, Paris
22 Journal of Applied Probability
21 Journal of Computational and Applied Mathematics
21 Journal of Optimization Theory and Applications
21 European Journal of Operational Research
21 Random Operators and Stochastic Equations
20 Acta Mathematicae Applicatae Sinica. English Series
20 Mathematical Methods of Operations Research
19 Journal of Mathematical Economics
18 Automatica
17 Systems & Control Letters
17 Mathematical Control and Related Fields
16 Applied Mathematics and Computation
16 Journal of Theoretical Probability
14 Advances in Applied Probability
14 Mathematics of Operations Research
14 Bulletin des Sciences Mathématiques
14 Science China. Mathematics
14 Probability, Uncertainty and Quantitative Risk
13 Mathematical Problems in Engineering
13 Acta Mathematica Sinica. English Series
13 Scandinavian Actuarial Journal
13 Journal of Systems Science and Complexity
13 Review of Derivatives Research
13 Annals of Finance
12 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
12 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
12 Abstract and Applied Analysis
12 ASTIN Bulletin
11 Asia-Pacific Financial Markets
11 European Actuarial Journal
10 Electronic Journal of Probability
10 Bernoulli
10 Decisions in Economics and Finance
9 Journal of Differential Equations
9 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
9 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
8 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
8 North American Actuarial Journal
7 Journal of Economic Theory
7 Acta Applicandae Mathematicae
7 Journal of Applied Mathematics and Stochastic Analysis
7 Stochastics and Stochastics Reports
7 Potential Analysis
7 Electronic Communications in Probability
7 Journal of Inequalities and Applications
7 Methodology and Computing in Applied Probability
7 Afrika Matematika
6 International Journal of Control
6 Stochastics
6 Journal of Functional Analysis
6 Mathematical Programming. Series A. Series B
6 Applied Mathematics. Series B (English Edition)
6 Discrete and Continuous Dynamical Systems
6 Discrete Dynamics in Nature and Society
6 Advances in Difference Equations
6 International Journal of Stochastic Analysis
5 Chaos, Solitons and Fractals
5 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
5 Operations Research Letters
5 Optimization
5 Annals of Operations Research
5 Monte Carlo Methods and Applications
5 Discrete and Continuous Dynamical Systems. Series B
5 Stochastic Models
4 Lithuanian Mathematical Journal
4 Theory of Probability and its Applications
4 Transactions of the American Mathematical Society
4 Applications of Mathematics
4 NoDEA. Nonlinear Differential Equations and Applications
4 Journal of the Korean Statistical Society
4 Frontiers of Mathematics in China
4 Asian Journal of Control
4 Nonlinear Analysis. Theory, Methods & Applications
4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
3 Computers & Mathematics with Applications
3 Physica A
3 Optimal Control Applications & Methods
3 Applied Mathematics and Mechanics. (English Edition)
3 Chinese Annals of Mathematics. Series B
...and 143 more Serials
all top 5

Cited in 36 Fields

1,530 Probability theory and stochastic processes (60-XX)
1,203 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
480 Systems theory; control (93-XX)
285 Calculus of variations and optimal control; optimization (49-XX)
185 Partial differential equations (35-XX)
132 Numerical analysis (65-XX)
117 Statistics (62-XX)
94 Operations research, mathematical programming (90-XX)
63 Ordinary differential equations (34-XX)
21 Functional analysis (46-XX)
21 Operator theory (47-XX)
14 Integral equations (45-XX)
12 Dynamical systems and ergodic theory (37-XX)
10 Measure and integration (28-XX)
9 Potential theory (31-XX)
8 Real functions (26-XX)
8 Biology and other natural sciences (92-XX)
7 Global analysis, analysis on manifolds (58-XX)
6 Approximations and expansions (41-XX)
6 Statistical mechanics, structure of matter (82-XX)
4 Difference and functional equations (39-XX)
4 Integral transforms, operational calculus (44-XX)
4 Fluid mechanics (76-XX)
4 Quantum theory (81-XX)
4 Information and communication theory, circuits (94-XX)
3 General and overarching topics; collections (00-XX)
3 Convex and discrete geometry (52-XX)
3 Computer science (68-XX)
2 Mathematical logic and foundations (03-XX)
2 Combinatorics (05-XX)
2 Abstract harmonic analysis (43-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1
1 Mechanics of particles and systems (70-XX)

Citations by Year

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