Agnès Sulem

According to our database, Agnès Sulem authored at least 20 papers between 1986 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

The Default Cascade Process in Stochastic Financial Networks.

Hamed Amini, Zhongyuan Cao, Agnès Sulem

Proceedings of the 4th ACM International Conference on AI in Finance, 2023

2022

A Dynamic Contagion Risk Model with Recovery Features.

Hamed Amini, Andreea Minca, Agnès Sulem

Math. Oper. Res., 2022

2020

European Options in a Nonlinear Incomplete Market Model with Default.

Miryana Grigorova, Marie Claire Quenez, Agnès Sulem

SIAM J. Financial Math., 2020

2018

Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps.

Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem

J. Optim. Theory Appl., 2018

2017

Game Options in an Imperfect Market with Default.

Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem

SIAM J. Financial Math., 2017

2016

A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with <i>E</i>^f-expectations.

Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem

SIAM J. Control. Optim., 2016

2015

Control of Interbank Contagion Under Partial Information.

Hamed Amini, Andreea Minca, Agnès Sulem

SIAM J. Financial Math., 2015

Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems.

Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem

J. Optim. Theory Appl., 2015

2014

Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection.

Bernt Øksendal, Agnès Sulem, Tusheng Zhang

Math. Oper. Res., 2014

Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty.

Bernt Øksendal, Agnès Sulem

J. Optim. Theory Appl., 2014

2012

Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes.

Bernt Øksendal, Agnès Sulem

SIAM J. Control. Optim., 2012

2011

An integral representation theorem of g-expectations.

Zengjing Chen, Agnès Sulem

Risk Decis. Anal., 2011

2009

Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps.

Bernt Øksendal, Agnès Sulem

SIAM J. Control. Optim., 2009

Premia: A Numerical Platform for Pricing Financial Derivatives.

Agnès Sulem, Antonino Zanette

ERCIM News, 2009

2007

A policy iteration algorithm for fixed point problems with nonexpansive operators.

Jean-Philippe Chancelier, Marouen Messaoud, Agnès Sulem

Math. Methods Oper. Res., 2007

2002

Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs.

Bernt Øksendal, Agnès Sulem

SIAM J. Control. Optim., 2002

1995

Pseudopower expansion of solutions of generalized equations and constrained optimization problems.

J. Frédéric Bonnans, Agnès Sulem

Math. Program., 1995

Explicit Solution of Inventory Problems with Delivery Lags.

Avner Bar-Ilan, Agnès Sulem

Math. Oper. Res., 1995

1986

Explicit Solution of a Two-Dimensional Deterministic Inventory Problem.

Agnès Sulem

Math. Oper. Res., 1986

A Solvable One-Dimensional Model of a Diffusion Inventory System.

Agnès Sulem

Math. Oper. Res., 1986