47 citations · 140 across the 18 of their papers we have counts for
21 papers
The non-linear multiple stopping problem: between the discrete and the continuous time
Miryana Grigorova, Marie-Claire Quenez, Peng Yuan
We consider the non-linear optimal multiple stopping problem under general conditions on the non-linear evaluation operators, which might depend on two time indices: the time of ev…
Non-linear non-zero-sum Dynkin games with Bermudan strategies
Miryana Grigorova, Marie-Claire Quenez, Yuan Peng
In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functio…
Optimal stopping: Bermudan strategies meet non-linear evaluations
Miryana Grigorova, Marie-Claire Quenez, Peng Yuan
We address an optimal stopping problem over the set of Bermudan-type strategies (which we understand in a more general sense than the stopping strategies for Bermudan options i…
40 Gbps Readout interface STARE for the AGATA Project
N. Karkour, V. Alaphilippe, J. Collado +13
The Advanced GAmma Tracking Array (AGATA) multi detector spectrometer will provide precise information for the study of the properties of the exotic nuclear matter (very unbalanced…
American options in an imperfect market with default
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealt…
Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs
Miryana Grigorova, Marie-Claire Quenez
We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-…