1 citations · 1 across the 2 of their papers we have counts for
6 papers
Zero-sum mean-field Dynkin games: characterization and convergence
Boualem Djehiche, Roxana Dumitrescu
We introduce a zero-sum game problem of mean-field type as an extension of the classical zero-sum Dynkin game problem to the case where the payoff processes might depend on the val…
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts
Clémence Alasseur, Luciano Campi, Roxana Dumitrescu +1
We consider an energy system with consumers who are linked by a Demand Side Management (DSM) contract, i.e. they agreed to diminish, at random times, their aggregated power con…
Control and optimal stopping Mean Field Games: a linear programming approach
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and len…
The entry and exit game in the electricity markets: a mean-field game approach
René Aïd, Roxana Dumitrescu, Peter Tankov
We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable pr…
Mean-field games of optimal stopping: a relaxed solution approach
Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density o…
American options in an imperfect market with default
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealt…