14 citations · 35 across the 16 of their papers we have counts for
5 papers · 1 filter
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…
A comparison theorem for backward SPDEs with jumps
Bernt Øksendal, Agnès Sulem, Tusheng Zhang
In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures…
Generalized Dynkin Games and Doubly Reflected BSDEs with Jumps
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We introduce a generalized Dynkin game problem with non linear conditional expectation induced by a Backward Stochastic Differential Equation (BSDE) with jumps. Let $ξ,…
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Marie-Claire Quenez, AgnÈs Sulem
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (…