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 2017Show all

3 papers · 1 filter

q-fin.PR2017★ 1 cited

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…

math.OC2017

A new Mertens decomposition of $Y^{g, ξ}$ -submartingale systems. Application to BSDEs with weak constraints at stopping times

Roxana Dumitrescu, Romuald Elie, Wissal Sabbagh +1

We first introduce the concept of $Y^{g, ξ}$ -submartingale systems, where the nonlinear operator $Y^{g, ξ}$ corresponds to the first component of the solution of…

math.OC2017

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…

American options in an imperfect market with default

A new Mertens decomposition of Yg,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times

Stochastic control of mean-field SPDEs with jumps

A new Mertens decomposition of $Y^{g, ξ}$ -submartingale systems. Application to BSDEs with weak constraints at stopping times