14 citations · 35 across the 16 of their papers we have counts for
5 papers · 1 filter
A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with - expectations
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study a combined optimal control/stopping problem under a nonlinear expectation induced by a BSDE with jumps, in a Markovian framework. The terminal reward function…
Singular mean-field control games with applications to optimal harvesting and investment problems
Yaozhong Hu, Bernt Øksendal, Agnès Sulem
This paper studies singular mean field control problems and singular mean field stochastic differential games. Both sufficient and necessary conditions for the optimal controls and…
Optimal stopping for dynamic risk measures with jumps and obstacle problems
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE with jumps in the Markovian case. We show that the value function is a viscosity solut…
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…
Risk minimization in financial markets modeled by Itô-Lévy processes
Bernt Øksendal, Agnès Sulem
This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by Itô-Lévy processes, but it also contains some…