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 2021Show all

2 papers · 1 filter

math.PR2021★ 2 cited

A propagation of chaos result for weakly interacting nonlinear Snell envelopes

Boualem Djehiche, Roxana Dumitrescu, Jia Zeng

In this article, we establish a propagation of chaos result for weakly interacting nonlinear Snell envelopes which converge to a class of mean-field reflected backward stochastic d…

math.OC2021

MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts

Clémence Alasseur, Luciano Campi, Roxana Dumitrescu +1

We consider an energy system with $n$ consumers who are linked by a Demand Side Management (DSM) contract, i.e. they agreed to diminish, at random times, their aggregated power con…