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math.OC2023
A mean-field game model of electricity market dynamics
Alicia Bassière, Roxana Dumitrescu, Peter Tankov
We develop a model for the long-term dynamics of electricity market, based on mean-field games of optimal stopping. Our paper extends the recent contribution [Aïd, René, Roxana Dum…
math.OC2014★ 1 cited
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…