14 citations · 35 across the 16 of their papers we have counts for
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q-fin.MF2015
Game options in an imperfect market with default
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Kifer in \cite{Kifer} in the case of a perfect…
math.OC2015
Mixed generalized Dynkin game and stochastic control in a Markovian framework
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We introduce a mixed {\em generalized} Dynkin game/stochastic control with -expectation in a Markovian framework. We study both the case when the terminal reward functi…
math.OC2015
Optimal control of predictive mean-field equations and applications to finance
Bernt Øksendal, Agnès Sulem
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE i…