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20132026
most citedA Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with - expectations

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

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Showing 2014Show all

3 papers · 1 filter

math.OC2014★ 4 cited

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…

math.PR2014★ 1 cited

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…

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…