Agnès Sulem

Publication Activity (10 Years)

Years Active: 1986-2023
Publications (10 Years): 8

Top Topics

Brownian Motion

Differential Equations

Top Venues

J. Optim. Theory Appl.

SIAM J. Financial Math.

Math. Oper. Res.

Publications

Hamed Amini, Zhongyuan Cao, Agnès Sulem
The Default Cascade Process in Stochastic Financial Networks. ICAIF (2023)
Hamed Amini, Andreea Minca, Agnès Sulem
A Dynamic Contagion Risk Model with Recovery Features. Math. Oper. Res. 47 (2) (2022)
Miryana Grigorova, Marie Claire Quenez, Agnès Sulem
European Options in a Nonlinear Incomplete Market Model with Default. SIAM J. Financial Math. 11 (3) (2020)
Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem
Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps. J. Optim. Theory Appl. 176 (3) (2018)
Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem
Game Options in an Imperfect Market with Default. SIAM J. Financial Math. 8 (1) (2017)
Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem
-expectations. SIAM J. Control. Optim. 54 (4) (2016)
Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem
Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems. J. Optim. Theory Appl. 167 (1) (2015)
Hamed Amini, Andreea Minca, Agnès Sulem
Control of Interbank Contagion Under Partial Information. SIAM J. Financial Math. 6 (1) (2015)
Bernt Øksendal, Agnès Sulem
Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty. J. Optim. Theory Appl. 161 (1) (2014)
Bernt Øksendal, Agnès Sulem, Tusheng Zhang
Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection. Math. Oper. Res. 39 (2) (2014)
Bernt Øksendal, Agnès Sulem
Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes. SIAM J. Control. Optim. 50 (4) (2012)
Zengjing Chen, Agnès Sulem
An integral representation theorem of g-expectations. Risk Decis. Anal. 2 (4) (2011)
Agnès Sulem, Antonino Zanette
Premia: A Numerical Platform for Pricing Financial Derivatives. ERCIM News 2009 (78) (2009)
Bernt Øksendal, Agnès Sulem
Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps. SIAM J. Control. Optim. 48 (5) (2009)
Jean-Philippe Chancelier, Marouen Messaoud, Agnès Sulem
A policy iteration algorithm for fixed point problems with nonexpansive operators. Math. Methods Oper. Res. 65 (2) (2007)
Bernt Øksendal, Agnès Sulem
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs. SIAM J. Control. Optim. 40 (6) (2002)
Avner Bar-Ilan, Agnès Sulem
Explicit Solution of Inventory Problems with Delivery Lags. Math. Oper. Res. 20 (3) (1995)
J. Frédéric Bonnans, Agnès Sulem
Pseudopower expansion of solutions of generalized equations and constrained optimization problems. Math. Program. 70 (1995)
Agnès Sulem
Explicit Solution of a Two-Dimensional Deterministic Inventory Problem. Math. Oper. Res. 11 (1) (1986)
Agnès Sulem
A Solvable One-Dimensional Model of a Diffusion Inventory System. Math. Oper. Res. 11 (1) (1986)