Research

Accepted and published Papers:

• Mean-field Dynkin games: characterization and convergence. (with B. Djehiche), Mathematics of Operations Research (to appear).
• A new Mertens decomposition of Y^g,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times (with R. Elie, W. Sabbagh and C. Zhou), Stochastic Processes and Their Applications, 2023.
• Energy transition under scenario uncertainty: a mean-field game approach. (with M. Leutscher and P. Tankov), Mathematics and Financial Economics, 2024
• A mean-field game of electricity market dynamics. (with A. Bassière and P. Tankov), Quantitative Energy Finance, 2024
• Linear programming fictitious play algorithm for Mean-field Games with optimal stopping and absorption. (with M. Leutscher and P. Tankov), ESAIM: Mathematical Modeling and Numerical Analysis (to appear).
• MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts (with Clémence Alasseur, Luciano Campi and Jia Zeng), Annals of Operations Research (to appear).
• Mean Field BSDEs and Global Dynamic Risk Measures (with R. Chen, A. Minca and A. Sulem), Probability, Uncertainty and Quantitative Risk 8(1): 33-52. doi: 10.3934/puqr.2023002, 2023.
• A Mean-Field Game Approach to Optimal Investment Timing (with G. Bouveret and P. Tankov), Operations Research Perspectives, 2022.
• Control and optimal stopping Mean Field Games: a linear programming approach (with Marcos Leutscher and Peter Tankov), Electronic Journal of Probability, 2021.
• The entry and exit game in the electricity markets: a mean-field game approach (with René Aïd and Peter Tankov), Journal of Dynamics and Games, 2021.
• Mean-field games of optimal stopping: a relaxed solution approach (with G. Bouveret and P. Tankov), SIAM Journal on Control and Optimization, 2020.
• Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations (with C. Reisinger and Y. Zhang), Applied Mathematics and Optimization, First Online, 2019.
• Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps (with B. Øksendal and A. Sulem), Journal of Optimization Theory and Applications, 176(3), 559-584 DOI 10.1007/s10957-018-1243-3, 2018.
• American Options in an imperfect complete market with default (with M.C. Quenez and A. Sulem), to appear in ESAIM: Proceedings and Surveys, 2018.
• BSDEs with default jump (with M.C. Quenez and A. Sulem), Computation and Combinatorics in Dynamics, Stochastics and Control. Eds. Elena Celledoni, Giulia Di Nunno, Kurusch Ebrahimi-Fard, Hans Munthe-Kaas. The Abel Symposium 2016, The Abel Symposia book series, volume 13, Springer, 2018.
• Game options in an imperfect market with default (with M.C. Quenez and A. Sulem), accepted for publication in SIAM Journal on Financial Mathematics, 2017.
• Generalized Dynkin games and doubly reflected BSDEs with jumps (with M.C. Quenez and A. Sulem), accepted for publication in 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 (with M.C. Quenez and A. Sulem), 2016, Vol. 54, No. 4, pp. 2090–2115. MR-3539885.
• Mixed generalized Dynkin game and stochastic control in a Markovian framework (with M.C. Quenez and A. Sulem), Stochastics, 2016, pp.1-30, DOI 10.1080/17442508.2016.1230614
• Reflected Scheme for DRBSDEs with jumps and RCLL barriers (with C. Labart), Journal of Computational and Applied Mathematics, 2016, Elsevier, Volume 296, 827-839.
• Numerical approximation for DRBSDEs with jumps and RCLL obstacles (with C. Labart), Journal of Mathematical Analysis and Applications, 2016, Elsevier, Volume 442, Issue 1, 206-243.
• Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems (with M.C. Quenez and A. Sulem), published in Journal Optimization Theory and Applications, 2015, Volume 167, Issue 1, 219-242.

Preprints:

• Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids. (with C. Alasseur, Z. Bensaid and X. Warin)
• A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings. (with C. Alasseur, E. Bayraktar and Q. Jacquet)
• A propagation of chaos result for weakly interacting Snell envelopes (with Boualem Djehiche and Jia Zeng).
• An optional decomposition of Y^g,ξ-submartingales and applications to the hedging of American options in incomplete markets.
• BSDEs with nonlinear weak terminal condition.