Recherche
Articles acceptés et publiés :
Linear programming fictitious play algorithm for Mean-field Games with optimal stopping and absorption. (avec M. Leutscher et 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 (avec Clémence Alasseur, Luciano Campi et Jia Zeng) , Annals of Operations Research (to appear).
Mean Field BSDEs and Global Dynamic Risk Measures (avec R. Chen, A. Minca et 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 (avec G. Bouveret et P. Tankov) , Operations Research Perspectives , 2022 .
Control and optimal stopping Mean Field Games: a linear programming approach (avec Marcos Leutscher et Peter Tankov) , Electronic Journal of Probability , 2021 .
The entry and exit game in the electricity markets: a mean-field game approach (avec René Aïd et Peter Tankov) , Journal of Dynamics and Games , 2021 .
Mean-field games of optimal stopping: a relaxed solution approach (avec G. Bouveret et P. Tankov) , SIAM Journal on Control and Optimization , 2020 .
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations (avec C. Reisinger et Y. Zhang) , Applied Mathematics and Optimization , First Online , 2019 .
Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps (avec B. Øksendal et 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 (avec M.C. Quenez et A. Sulem) , to appear in ESAIM: Proceedings and Surveys , 2018 .
BSDEs with default jump (avec M.C. Quenez et 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 (avec M.C. Quenez et A. Sulem) , accepted for publication in SIAM Journal on Financial Mathematics , 2017 .
Generalized Dynkin games and doubly reflected BSDEs with jumps (avec M.C. Quenez et 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 (avec M.C. Quenez et A. Sulem) , 2016 , Vol. 54, No. 4, pp. 2090–2115. MR-3539885.
Mixed generalized Dynkin game and stochastic control in a Markovian framework (avec M.C. Quenez et A. Sulem) , Stochastics , 2016 , pp.1-30, DOI 10.1080/17442508.2016.1230614
Reflected Scheme for DRBSDEs with jumps and RCLL barriers (avec C. Labart) , Journal of Computational and Applied Mathematics , 2016 , Elsevier, Volume 296, 827-839.
Numerical approximation for DRBSDEs with jumps and RCLL obstacles (avec 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 (avec M.C. Quenez et A. Sulem) , published in Journal Optimization Theory and Applications , 2015 , Volume 167, Issue 1, 219-242.
Prépublications :
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings. (avec C. Alasseur, E. Bayraktar et Q. Jacquet)
Energy transition under scenario uncertainty: a mean-field game approach. (avec M. Leutscher et P. Tankov)
Mean-field Dynkin games: characterization and convergence. (avec B. Djehiche)
A propagation of chaos result for weakly interacting Snell envelopes (avec Boualem Djehiche et Jia Zeng) .
An optional decomposition of Yg,ξ -submartingales and applications to the hedging of American options in incomplete markets .
A new Mertens decomposition of Yg,ξ -submartingale systems. Application to BSDEs with weak constraints at stopping times (avec R. Elie, W. Sabbagh et C. Zhou) .
BSDEs with nonlinear weak terminal condition .