Articles

Chen R., Dumitrescu R., Minca A., Sulem A. (2023), Mean-field BSDEs with jumps and dual representation for global risk measures, Probability, Uncertainty and Quantitative Risk, vol. 8, n°1, p. 33-52

Aïd R., Dumitrescu R., Tankov P. (2021), The entry and exit game in the electricity markets: A mean-field game approach, Journal of Dynamics and Games, p. 28

Dumitrescu R., Quenez M-C., Sulem A. (2017), Game options in an imperfect market with default, SIAM Journal on Financial Mathematics, vol. 8, n°1, p. 532–559

Dumitrescu R., Labart C. (2016), Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles, Journal of Computational and Applied Mathematics, vol. 296, p. 827-839

Dumitrescu R., Labart C. (2016), Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles, Journal of Mathematical Analysis and Applications, vol. 442, n°1, p. 206-243

Dumitrescu R., Quenez M-C., Sulem A. (2016), A Weak Dynamic Programming Principle for Combined Optimal Stopping / Stochastic Control with Ef -conditional Expectations, SIAM Journal on Control and Optimization, vol. 54, n°4, p. 2090-2015

Dumitrescu R., Quenez M-C., Sulem A. (2016), Mixed generalized Dynkin game and stochastic control in a Markovian framework, Stochastics: An International Journal of Probability and Stochastic Processes , vol. 89, n°1, p. 400-429

Dumitrescu R., Grigorova M., Quenez M-C., Sulem A. (2016), BSDEs with default jump, Springer, vol. 13

Dumitrescu R., Quenez M-C., Sulem A. (2016), Generalized Dynkin games and doubly reflected BSDEs with jumps, Electronic Journal of Probability, vol. 21, n°2016

Dumitrescu R., Quenez M-C., Sulem A. (2015), Optimal stopping for dynamic risk measures with jumps and obstacle problems, Journal of Optimization Theory and Applications, vol. 167, n°1, p. 219-242

Rapports

Sulem A., Dumitrescu R., Quenez M-C. (2013), Double barrier reflected BSDEs with jumps and generalized Dynkin games, Travaux CETEL, 33 p.

Sulem A., Dumitrescu R., Quenez M-C. (2013), Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities, 23 p.