4 papers
Law-invariant BSDEs and dynamic risk measures: new characterizations
Zakaria Bensaid, Roxana Dumitrescu, Anis Matoussi +1
We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Z…
Forward Performance Processes under Multiple Default Risks
Wing Fung Chong, Roxana Dumitrescu, Gechun Liang +1
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forwa…
Entropy Regularization in Mean-Field Games of Optimal Stopping
Jodi Dianetti, Roxana Dumitrescu, Giorgio Ferrari +1
We study mean-field games of optimal stopping (OS-MFGs) and introduce an entropy-regularized framework to enable learning-based solution methods. By utilizing randomized stopping t…
Price impact and long-term profitability of energy storage
Roxana Dumitrescu, Redouane Silvente, Peter Tankov
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To…