Edit Profile El Karoui, Nicole Compute Distance To: Compute Author ID: 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 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 3 Bonami, Aline 3 Gobet, Emmanuel 3 Marchal, Bernard 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 Cont, Rama 2 Costantini, Cristina 2 Geman, Hélyette 2 Hamadene, Saïd 2 Hardy, Héloïse Labit 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 2 Yor, Marc 1 Bank, Peter 1 Barreiu, P. 1 Benaïm, Michel 1 Biais, Bruno 1 Bickel, Peter John 1 Björk, Tomas 1 Blake, David 1 Bouchard, Bruno 1 Carraro, Laurent 1 Cazanave, Nicolas 1 Chaleyat-Maurel, Mireille 1 Cvitanić, Jakša 1 Durrleman, Valdo 1 Föllmer, Hans 1 Gerardi, Anna 1 Hillairet, Caroline 1 Huang, Sin-Jie 1 Jouini, Elyès 1 Kaakaï, Sarah 1 Kapoudjian, Christophe 1 MacMinn, Richard D. 1 Matoussi, Anis 1 Méléard, Sylvie 1 Meyer, Paul-André 1 Millet, Annie 1 Mrad, Mohamed 1 Obloj, Jan K. 1 Prigent, Jean-Luc 1 Roelly, Sylvie 1 Rouge, Richard 1 Shreve, Steven E. 1 Touzi, Nizar 1 Vedani, Julien 1 Weidenfeld, Gerard 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 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 Lecture Notes in Mathematics 2 SIAM Journal on Financial 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 Astérisque 1 The Journal of Computational Finance 1 European Actuarial Journal all top 5 Fields 81 Probability theory and stochastic processes (60-XX) 47 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 24 Systems theory; control (93-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 7 Statistics (62-XX) 6 General and overarching topics; collections (00-XX) 6 Operations research, mathematical programming (90-XX) 5 Partial differential equations (35-XX) 2 Functional analysis (46-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 91 Publications have been cited 2,921 times in 2,154 Documents Cited by ▼ Year ▼ Backward stochastic differential equations in finance. Zbl 0884.90035El Karoui, N.; Peng, S.; Quenez, M. C. 821 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. 243 1997 Changes of numéraire, changes of probability measure and option pricing. Zbl 0829.90007Geman, Hélyette; El Karoui, Nicole; Rochet, Jean-Charles 166 1995 Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010El Karoui, Nicole; Quenez, Marie-Claire 149 1995 Pricing via utility maximization and entropy. Zbl 1052.91512Rouge, Richard; El Karoui, Nicole 106 2000 Robustness of the Black and Scholes formula. Zbl 0910.90008El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 102 1998 Les aspects probabilistes du contrôle stochastique. Zbl 0472.60002El Karoui, N. 99 1981 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037Barrieu, Pauline; El Karoui, Nicole 97 2005 BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534El-Karoui, N.; Hamadène, S. 63 2003 Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique 62 1987 A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064El Karoui, N.; Huang, S. J. 60 1997 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038El Karoui, N.; Peng, S.; Quenez, M. C. 59 2001 Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200Barrieu, Pauline; El Karoui, Nicole 47 2009 Optimization of consumption with labor income. Zbl 0930.60050El Karoui, Nicole; Jeanblanc-Picqué, Monique 46 1998 Optimal derivatives design under dynamic risk measures. Zbl 1070.91019Barrieu, Pauline; El Karoui, Nicole 41 2004 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111El Karoui, Nicole; Ravanelli, Claudia 40 2009 Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel 40 2008 Reflected backward SDEs and American options. Zbl 0898.90033El Karoui, N.; Pardoux, E.; Quenez, M. C. 40 1997 Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043Chaleyat-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 0743.60081El Karoui, Nicole; Roelly, Sylvie 37 1991 Optimal portfolio management with American capital guarantee. Zbl 1202.91295El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent 36 2005 Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052Barrieu, Pauline; El Karoui, Nicole 35 2013 What happens after a default: the conditional density approach. Zbl 1194.91187El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 35 2010 Backward stochastic differential equations. Zbl 0866.00052El Karoui, Nicole (ed.); Mazliak, Laurent (ed.) 28 1997 Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010El Karoui, N.; Quenez, M. C. 27 1997 Martingale measures and stochastic calculus. Zbl 0694.60041El Karoui, N.; Méléard, S. 27 1990 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 26 2012 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046El Karoui, Nicole; Karatzas, Ioannis 25 1991 A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022Bank, Peter; El Karoui, Nicole 22 2004 Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065El Karoui, Nicole; Lepeltier, Jean-Pierre 18 1977 On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. Zbl 1239.60031Carraro, Laurent; El Karoui, Nicole; Obłój, Jan 16 2012 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique 16 1988 Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel 15 2005 Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078Karoui, Nicole El; Karatzas, Ioannis 15 1988 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 13 2013 Backward stochastic differential equations. A general introduction. Zbl 0886.60054El Karoui, N. 13 1997 Phenomenology of the interest rate curve. Zbl 1009.91036Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc 12 1999 BSDEs and applications. Zbl 1168.60030El Karoui, Nicole; Hamadène, Said; Matoussi, Anis 11 2009 Dynamic allocation problems in continuous time. Zbl 0831.93069El Karoui, Nicole; Karatzas, Ioannis 11 1994 Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Zbl 1128.91022El 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 0736.90009El Karoui, Nicole; Quenez, Marie-Claire 10 1991 A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034El Karoui, N.; Lepeltier, J.-P.; Millet, A. 9 1992 Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc 8 2017 Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043Costantini, C.; Gobet, E.; El Karoui, N. 8 2006 Maturity randomization for stochastic control problems. Zbl 1177.93097Bouchard, 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 0234.60094Bonami, A.; Karoui, N.; Roynette, B.; Reinhard, H. 8 1971 Density approach in modeling successive defaults. Zbl 1350.91018El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 7 2015 Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242Boumezoued, 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 1152.60038El Karoui, Nicole; Meziou, Asma 5 2008 A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058El Karoui, Nicole; Föllmer, Hans 5 2005 Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. Zbl 1378.62044El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia 4 2017 Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole 4 2008 The optimal stopping problem for a general American put-option. Zbl 0841.90051El Karoui, Nicole; Karatzas, Ioannis 4 1995 Correction: A new approach to the Skorohod problem, and its applications. Zbl 0739.60079El Karoui, N.; Karatzas, I. 4 1991 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. 4 1981 Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063El Karoui, N.; Jiao, Y. 3 2009 Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177El Karoui, Nicole; Jiao, Ying; Kurtz, David 3 2008 Coupling smiles. Zbl 1152.91505Durrleman, 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 1044.91021Barrieu, Pauline; El Karoui, Nicole 3 2003 General Gittins index processes in discrete time. Zbl 0783.60046El Karoui, Nicole; Karatzas, Ioannis 3 1993 Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065El Karoui, Nicole; Jeanblanc-Picqué, Monique 3 1988 Processus de reflexion dans \(R^n\). Zbl 0325.60044El Karoui, Nicole 3 1975 Processus de diffusion dans R\(^n\). Zbl 0282.60049Karoui, N.; Reinhard, H. 3 1973 Conditional default probability and density. Zbl 1418.91570El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B. 2 2014 Random walks. Zbl 1196.60001Benaïm, Michel; El Karoui, Nicole 2 2004 Optimal design of derivatives in illiquid markets. Zbl 1405.91584Barrieu, Pauline; El Karoui, Nicole 2 2002 Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171El Karoui, Nicole; Karatzas, Ioannis 2 1997 Nonlinear evolution equations and functionals of measure-valued branching processes. Zbl 0587.60083El Karoui, Nicole 2 1985 Optimal stopping of controlled Markov processes. Zbl 0495.93063El Karoui, Nicole; Lepeltier, Jean-Pierre; Marchal, Bernard 2 1982 Temps local et balayage des semi-martingales. Zbl 0411.60077El Karoui, Nicole 2 1979 Compactification et balayage de processus droits. Zbl 0325.60067El Karoui, Nicole; Reinhard, Herve 2 1975 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 Dynamic financial risk management. Zbl 1272.91060Barrieu, Pauline; El Karoui, Nicole 1 2006 Feynman-Kac’s representation in time-space domains and sensitivity with respect to the domain. Zbl 1033.60076Costantini, Cristina; El Karoui, Nicole; Gobet, Emmanuel 1 2003 On the role of state variables in interest rates models. Zbl 0974.62096El Karoui, Nicole; Geman, Helyette; Lacoste, Vincent 1 2000 Imperfect markets and backward stochastic differential equations. Zbl 0898.90032El Karoui, N.; Quenez, M. C. 1 1997 Stochastic control methods in optimal design of life testing. Zbl 0815.62070El Karoui, N.; Gerardi, A.; Mazliak, L. 1 1994 Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042El Karoui, Nicole; Karatzas, Ioannis 1 1989 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0588.60075El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique 1 1986 Théorie du potentiel et contrôle stochastique. Zbl 0562.60047El Karoui, Nicole 1 1984 Nisio semi-group associated to the control of Markov processes. Zbl 0503.93072El Karoui, N.; Lepeltier, J. P.; Marchal, B. 1 1982 Arret optimal previsible. Zbl 0406.60035El Karoui, Nicole 1 1978 Les changements de temps en théorie générale des processus. Zbl 0433.60036El Karoui, Nicole; Meyer, P. A. 1 1977 Théorie générale et changement de temps. Zbl 0433.60035El Karoui, Nicole; Weidenfeld, Gerard 1 1977 Balayage et changement de temps. Zbl 0352.60023Karoui, Nicole El 1 1975 Processus de Poisson ponctuel associe à un processus ponctuel, représentation des martingales de carre intégrable, quasi-continue à gauche. Zbl 0339.60046El Karoui, Nicole; Lepeltier, Jean-Pierre 1 1975 Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030El Karoui, Nicole 1 1971 Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001Karoui, 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 de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242Boumezoued, 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 1394.91233Vedani, 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 4 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 7 2015 Conditional default probability and density. Zbl 1418.91570El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B. 2 2014 Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052Barrieu, Pauline; El Karoui, Nicole 35 2013 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 13 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 26 2012 On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. Zbl 1239.60031Carraro, Laurent; El Karoui, Nicole; Obłój, Jan 16 2012 What happens after a default: the conditional density approach. Zbl 1194.91187El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 35 2010 Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200Barrieu, Pauline; El Karoui, Nicole 47 2009 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111El Karoui, Nicole; Ravanelli, Claudia 40 2009 BSDEs and applications. Zbl 1168.60030El Karoui, Nicole; Hamadène, Said; Matoussi, Anis 11 2009 Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063El Karoui, N.; Jiao, Y. 3 2009 Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018Blanchet-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 1152.60038El Karoui, Nicole; Meziou, Asma 5 2008 Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole 4 2008 Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177El Karoui, Nicole; Jiao, Ying; Kurtz, David 3 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 10 2006 Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043Costantini, C.; Gobet, E.; El Karoui, N. 8 2006 Dynamic financial risk management. Zbl 1272.91060Barrieu, Pauline; El Karoui, Nicole 1 2006 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037Barrieu, Pauline; El Karoui, Nicole 97 2005 Optimal portfolio management with American capital guarantee. Zbl 1202.91295El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent 36 2005 Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel 15 2005 Maturity randomization for stochastic control problems. Zbl 1177.93097Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar 8 2005 A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058El Karoui, Nicole; Föllmer, Hans 5 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 22 2004 Random walks. 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. 63 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. 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 2 2002 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038El Karoui, N.; Peng, S.; Quenez, M. C. 59 2001 Pricing via utility maximization and entropy. Zbl 1052.91512Rouge, Richard; El Karoui, Nicole 106 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. 102 1998 Optimization of consumption with labor income. Zbl 0930.60050El Karoui, Nicole; Jeanblanc-Picqué, Monique 46 1998 Backward stochastic differential equations in finance. Zbl 0884.90035El Karoui, N.; Peng, S.; Quenez, M. C. 821 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. 243 1997 A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064El Karoui, N.; Huang, S. J. 60 1997 Reflected backward SDEs and American options. Zbl 0898.90033El Karoui, N.; Pardoux, E.; Quenez, M. C. 40 1997 Backward stochastic differential equations. Zbl 0866.00052El Karoui, Nicole (ed.); Mazliak, Laurent (ed.) 28 1997 Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010El Karoui, N.; Quenez, M. C. 27 1997 Backward stochastic differential equations. A general introduction. Zbl 0886.60054El Karoui, N. 13 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 166 1995 Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010El Karoui, Nicole; Quenez, Marie-Claire 149 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 11 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 3 1993 A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034El 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 0743.60081El Karoui, Nicole; Roelly, Sylvie 37 1991 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046El 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 0736.90009El 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. 4 1991 Martingale measures and stochastic calculus. Zbl 0694.60041El Karoui, N.; Méléard, S. 27 1990 Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042El Karoui, Nicole; Karatzas, Ioannis 1 1989 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique 16 1988 Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078Karoui, Nicole El; Karatzas, Ioannis 15 1988 Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065El Karoui, Nicole; Jeanblanc-Picqué, Monique 3 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 62 1987 Existence of an optimal Markovian filter for the control under partial observations. 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 2 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. 4 1981 Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B. 38 1980 Temps local et balayage des semi-martingales. Zbl 0411.60077El Karoui, Nicole 2 1979 Arret optimal previsible. Zbl 0406.60035El Karoui, Nicole 1 1978 Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065El Karoui, Nicole; Lepeltier, Jean-Pierre 18 1977 Les changements de temps en théorie générale des processus. Zbl 0433.60036El Karoui, Nicole; Meyer, P. A. 1 1977 Théorie générale et changement de temps. Zbl 0433.60035El Karoui, Nicole; Weidenfeld, Gerard 1 1977 Processus de reflexion dans \(R^n\). Zbl 0325.60044El Karoui, Nicole 3 1975 Compactification et balayage de processus droits. Zbl 0325.60067El Karoui, Nicole; Reinhard, Herve 2 1975 Balayage et changement de temps. Zbl 0352.60023Karoui, Nicole El 1 1975 Processus de Poisson ponctuel associe à un processus ponctuel, représentation des martingales de carre intégrable, quasi-continue à gauche. Zbl 0339.60046El Karoui, Nicole; Lepeltier, Jean-Pierre 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. 8 1971 Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030El Karoui, Nicole 1 1971 Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001Karoui, 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 de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 all cited Publications top 5 cited Publications 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. 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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. 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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 Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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