Roxana Dumitrescu

According to our database, Roxana Dumitrescu authored at least 7 papers between 2015 and 2024.

Collaborative distances:

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

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