47 citations · 88 across the 6 of their papers we have counts for
6 papers · 1 filter
Dynkin games in a general framework
Magdalena Kobylanski, Marie-Claire Quenez, Marc Roger de Campagnolle
We revisit the Dynkin game problem in a general framework, improve classical results and relax some assumptions. The criterion is expressed in terms of families of random variables…
Large Deviations Principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections
Magdalena Kobylanski
We establish a Large Deviations Principle for stochastic processes with Lipschitz continuous oblique reflections on regular domains. The rate functional is given as the value funct…
The Logarithmic Sobolev Constant of The Lamplighter
Evgeny Abakumov, Anne Beaulieu, François Blanchard +17
We give estimates on the logarithmic Sobolev constant of some finite lamplighter graphs in terms of the spectral gap of the underlying base. Also, we give examples of application.
Optimal stopping in a general framework
Magdalena Kobylanski, Marie-Claire Quenez
We study the optimal stopping time problem , for any stopping time , where the reward is given by a family $(ϕ(θ),θ\in\mathc…
Optimal multiple stopping time problem
Magdalena Kobylanski, Marie-Claire Quenez, Elisabeth Rouy-Mironescu
We study the optimal multiple stopping time problem defined for each stopping time by . The key…
Optimal double stopping time
Magdalena Kobylanski, Marie-Claire Quenez, Elisabeth Rouy-Mironescu
We consider the optimal double stopping time problem defined for each stopping time by $v(S)=\esssup\{E[ψ(τ_1, τ_2) | \F_S], τ_1, τ_2 \geq S \}$. Following the optimal one stop…