Articles acceptés et publiés :
, Linear programming fictitious play algorithm for Mean-field Games with optimal stopping and absorption. 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 Annals of Operations Research (to appear).
, Mean Field BSDEs and Global Dynamic Risk Measures Probability, Uncertainty and Quantitative Risk 8(1): 33-52. doi: 10.3934/puqr.2023002, 2023.
, A Mean-Field Game Approach to Optimal Investment Timing Operations Research Perspectives, 2022.
, Control and optimal stopping Mean Field Games: a linear programming approach Electronic Journal of Probability, 2021.
, The entry and exit game in the electricity markets: a mean-field game approach Journal of Dynamics and Games, 2021.
, Mean-field games of optimal stopping: a relaxed solution approach SIAM Journal on Control and Optimization, 2020.
, Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations Applied Mathematics and Optimization, First Online, 2019.
, 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.
, 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.
BSDEs with default jump
, 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.
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings.
Energy transition under scenario uncertainty: a mean-field game approach.
Mean-field Dynkin games: characterization and convergence.
A propagation of chaos result for weakly interacting Snell envelopes
An optional decomposition of Y-submartingales and applications to the hedging of American options in incomplete markets g,ξ
A new Mertens decomposition of Y-submartingale systems. Application to BSDEs with weak constraints at stopping times g,ξ
BSDEs with nonlinear weak terminal condition