Recherche

Articles acceptés et publiés :

• A Mean-Field Game Approach to Optimal Investment Timing (avec G. Bouveret et P. Tankov), Operations Research Perspectives, 2022 (to appear).
• Control and optimal stopping Mean Field Games: a linear programming approach (avec Marcos Leutscher et Peter Tankov), Electronic Journal of Probability, 2021 (to appear).
• 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 (to appear).
• 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 :

• Linear programming fictitious play algorithm for Mean-field Games with optimal stopping and absorption. (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).
• 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).
• Mean Field BSDEs and Global Dynamic Risk Measures (avec R. Chen, A. Minca et A. Sulem).
• An optional decomposition of Y^g,ξ-submartingales and applications to the hedging of American options in incomplete markets.
• A new Mertens decomposition of Y^g,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.