Roxana Dumitrescu

Generalized Dynkin games and doubly reflected BSDEs with jumps

Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem · Electronic Journal of Probability · 2016 · 43 citations · Full text

Engineering, Mathematics, Game Theory +12

The entry and exit game in the electricity markets: a mean-field game\n approach

René Aïd, Roxana Dumitrescu, Peter Tankov · arXiv (Cornell University) · 2020 · 27 citations · Full text

Social Sciences, Economics, Energy Economics +16

American options in an imperfect complete market with default

Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem · ESAIM Proceedings and Surveys · 2018 · 26 citations · Full text

Business, Economics, Finance +13

Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem · Journal of Optimization Theory and Applications · 2014 · 23 citations

Natural Sciences, Mathematics, Markov Decision Processes +13

A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations

Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem · SIAM Journal on Control and Optimization · 2016 · 17 citations · Full text

Natural Sciences, Mathematics, Markov Decision Processes +14