Articles acceptés et publiés :
, Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps Journal of Optimization Theory and Applications, 176(3), 559-584 DOI 10.1007/s10957-018-1243-3, 2018.
, to appear in American Options in an imperfect complete market with default ESAIM: Proceedings and Surveys, 2018.
, accepted for publication in Game options in an imperfect market with default SIAM Journal on Financial Mathematics, 2017.
, accepted for publication in Generalized Dynkin games and doubly reflected BSDEs with jumps Electronical Journal of Probability, 2016.
Weak dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with f-conditional Expectation, SIAM Journal on Control and Optimization , 2016, Vol. 54, No. 4, pp. 2090–2115. MR-3539885.
, Mixed generalized Dynkin game and stochastic control in a Markovian framework Stochastics, 2016, pp.1-30, DOI 10.1080/17442508.2016.1230614
Reflected Scheme for DRBSDEs with jumps and RCLL barriers , Journal of Computational and Applied Mathematics, 2016, Elsevier, Volume 296, 827-839.
Numerical approximation for DRBSDEs with jumps and RCLL obstacles , Journal of Mathematical Analysis and Applications, 2016, Elsevier, Volume 442, Issue 1, 206-243.
, published in Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems Journal Optimization Theory and Applications, 2015, Volume 167, Issue 1, 219-242.
, March 2018.
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations
, August 2017.
BSDEs with weak reflections and partial hedging of American options
, Dec. 2016.
BSDEs with default jump
BSDEs with nonlinear weak terminal condition