4 citations · 21 across the 17 of their papers we have counts for
24 papers
A new probabilistic approach for mean field games of optimal stopping
Andrea Cosso, Laura D'Andolfi, Roxana Dumitrescu
We propose a novel probabilistic formulation for optimal stopping mean field games (OS-MFGs) with randomized strategies. We characterize mean field equilibria through a new class o…
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To th…
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings
Clémence Alasseur, Erhan Bayraktar, Roxana Dumitrescu +1
In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking…
Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and ab…
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…
A propagation of chaos result for weakly interacting nonlinear Snell envelopes
Boualem Djehiche, Roxana Dumitrescu, Jia Zeng
In this article, we establish a propagation of chaos result for weakly interacting nonlinear Snell envelopes which converge to a class of mean-field reflected backward stochastic d…
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…
An optional decomposition of and applications to the hedging of American options in incomplete markets
Roxana Dumitrescu
In the recent paper \cite{DESZ}, the notion of -submartingale processes has been introduced. Within a jump-diffusion model, we prove here that a process whic…
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…
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
Roxana Dumitrescu, Christoph Reisinger, Yufei Zhang
We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expecta…
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…
A new Mertens decomposition of -submartingale systems. Application to BSDEs with weak constraints at stopping times
Roxana Dumitrescu, Romuald Elie, Wissal Sabbagh +1
We first introduce the concept of -submartingale systems, where the nonlinear operator corresponds to the first component of the solution of…
Stochastic control of mean-field SPDEs with jumps
Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem
We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poi…
BSDEs with default jump
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with int…
BSDEs with nonlinear weak terminal condition
Roxana Dumitrescu
In a recent paper, Bouchard, Elie and Reveillac \cite{BER} have studied a new class of Backward Stochastic Differential Equations with weak terminal condition, for which the -te…
Game options in an imperfect market with default
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Kifer in \cite{Kifer} in the case of a perfect…
Mixed generalized Dynkin game and stochastic control in a Markovian framework
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We introduce a mixed {\em generalized} Dynkin game/stochastic control with -expectation in a Markovian framework. We study both the case when the terminal reward functi…
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
Roxana Dumitrescu, Céline Labart
We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an…
A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with - expectations
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study a combined optimal control/stopping problem under a nonlinear expectation induced by a BSDE with jumps, in a Markovian framework. The terminal reward function…
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
Roxana Dumitrescu, Céline Labart
We study a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DBBSDE in short) with jumps, driven by a Brownian mo…
Optimal stopping for dynamic risk measures with jumps and obstacle problems
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE with jumps in the Markovian case. We show that the value function is a viscosity solut…
Generalized Dynkin Games and Doubly Reflected BSDEs with Jumps
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We introduce a generalized Dynkin game problem with non linear conditional expectation induced by a Backward Stochastic Differential Equation (BSDE) with jumps. Let $ξ,…