153 citations · 427 across the 46 of their papers we have counts for
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math.OC2017
A new Mertens decomposition of -submartingale systems. Application to BSDEs with weak constraints at stopping times
Roxana Dumitrescu, Romuald Elie, Wissal Sabbagh +1
We first introduce the concept of -submartingale systems, where the nonlinear operator corresponds to the first component of the solution of…
math.OC2017
An adverse selection approach to power pricing
Clémence Alasseur, Ivar Ekeland, Romuald Elie +2
We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problems…
math.OC2017
On a class of path-dependent singular stochastic control problems
Romuald Elie, Ludovic Moreau, Dylan Possamaï
This paper studies a class of nonMarkovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem…