Roxana Dumitrescu

According to our database, Roxana Dumitrescu authored at least 10 papers between 2015 and 2026.

Collaborative distances:

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

2026

Price Impact and Long-Term Profitability of Energy Storage.

Roxana Dumitrescu, Redouane Silvente, Peter Tankov

SIAM J. Financial Math., 2026

Zero-Sum Mean-Field Dynkin Games: Characterization and Convergence.

Boualem Djehiche, Roxana Dumitrescu

Math. Oper. Res., 2026

2024

MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts.

Clémence Alasseur, Luciano Campi, Roxana Dumitrescu, Jia Zeng

Ann. Oper. Res., May, 2024

Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids.

Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu, Xavier Warin

CoRR, 2024

2020

Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach.

Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov

SIAM J. Control. Optim., 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

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles.

Roxana Dumitrescu, Céline Labart

J. Comput. Appl. Math., 2016

2015

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

Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem

J. Optim. Theory Appl., 2015