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 2016Show all

2 papers · 1 filter

q-fin.PR2016★ 2 cited

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…

math.PR2016★ 1 cited

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 $T$ -te…