4 citations · 21 across the 17 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
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…
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…
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,…