activity
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 2020Show all

2 papers · 1 filter

math.OC2020

Control and optimal stopping Mean Field Games: a linear programming approach

Roxana Dumitrescu, Marcos Leutscher, Peter Tankov

We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and len…

math.OC2020

The entry and exit game in the electricity markets: a mean-field game approach

René Aïd, Roxana Dumitrescu, Peter Tankov

We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable pr…