14 citations · 35 across the 16 of their papers we have counts for
19 papers
Stochastic Graphon Games with Jumps and Approximate Nash Equilibria
Hamed Amini, Zhongyuan Cao, Agnès Sulem
We study continuous stochastic games with heterogeneous mean field interactions and jumps on large networks and explore their limit counterparts. We introduce the graphon game mode…
Ruin Probabilities for Risk Processes in Stochastic Networks
Hamed Amini, Zhongyuan Cao, Andreea Minca +1
We study multidimensional Cramér-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the p…
Limit Theorems for Default Contagion and Systemic Risk
Hamed Amini, Zhongyuan Cao, Agnes Sulem
We consider a general tractable model for default contagion and systemic risk in a heterogeneous financial network, subject to an exogenous macroeconomic shock. We show that, under…
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…
Stochastic control of mean-field SPDEs with jumps
Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem
We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poi…
BSDEs with default jump
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with int…