Agnès Sulem

Publications

2.8K

Citations

H-Index

1986

Active since

Affiliations

Institut national de recherche en sciences et technologies du numérique(Current)

University of Oslo

Norwegian School of Economics

Cornell University

Délégation Paris 7

Agnès Sulem is an author at Institut national de recherche en sciences et technologies du numérique specializing in engineering, stochastic calculus, and business.

ORCID

Top concepts

EngineeringBusinessStochastic CalculusFinanceAsset PricingMathematical ProgrammingEconomicsFinancial EngineeringSystems EngineeringProbability

Publications per year

1986–2021

Publications

On an Investment-Consumption Model with Transaction Costs

Marianne Akian, J. L. Menaldi, Agnès Sulem · SIAM Journal on Control and Optimization · 1996 · 187 citations

Mathematical Programming, Financial Mathematics, Computational Finance +16

Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs

Bernt Øksendal, Agnès Sulem · SIAM Journal on Control and Optimization · 2002 · 184 citations · Full text

Mathematical Programming, Engineering, Portfolio Management +23

Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

Nils Christian Framstad, Bernt Øksendal, Agnès Sulem · Journal of Optimization Theory and Applications · 2004 · 154 citations

Optimal Control, Asset Pricing, Stochastic Calculus +7

Some Solvable Stochastic Control Problems With Delay

Ismail Elsanosi, Bernt Øksendal, Agnès Sulem · Stochastics and stochastics reports · 2000 · 150 citations

Optimal Harvesting, Time Delay System, Engineering +11

BSDEs with jumps, optimization and applications to dynamic risk measures

Marie-Claire Quenez, Agnès Sulem · Stochastic Processes and their Applications · 2013 · 146 citations · Full text

Engineering, Stochastic Optimization, Uncertainty Quantification +5

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