Roxana Dumitrescu

Publication Activity (10 Years)

Years Active: 2015-2024
Publications (10 Years): 8

Top Topics

Optimal Stopping

Partial Differential Equations

Top Venues

J. Optim. Theory Appl.

SIAM J. Control. Optim.

Ann. Oper. Res.

Publications

Clémence Alasseur, Luciano Campi, Roxana Dumitrescu, Jia Zeng
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts. Ann. Oper. Res. 336 (1-2) (2024)
Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu, Xavier Warin
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids. CoRR (2024)
Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov
Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach. SIAM J. Control. Optim. 58 (4) (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, Céline Labart
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles. J. Comput. Appl. Math. 296 (2016)
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)