Roxana Dumitrescu

activity

20132026

most citedA Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with

E^{f}

- expectations

4 citations · 21 across the 17 of their papers we have counts for

collaborators

Showing 2014 · math.OCShow all

2 papers · 2 filters

math.OC2014★ 4 cited

A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with $E^{f}$ - expectations

Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem

We study a combined optimal control/stopping problem under a nonlinear expectation $E^{f}$ induced by a BSDE with jumps, in a Markovian framework. The terminal reward function…

math.OC2014★ 1 cited

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…

A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with Ef- expectations

Optimal stopping for dynamic risk measures with jumps and obstacle problems

A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with $E^{f}$ - expectations