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 2018Show all

2 papers · 1 filter

math.OC2018

Mean-field games of optimal stopping: a relaxed solution approach

Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov

We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density o…

math.NA2018★ 3 cited

Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps

Roxana Dumitrescu, Christoph Reisinger, Yufei Zhang

We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expecta…