Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems. - Roxana Dumitrescu; Marie Claire Quenez; Agnès Sulem (J. Optim. Theory Appl., 2015)

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles. - Roxana Dumitrescu; Céline Labart (J. Comput. Appl. Math., 2016)

A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with Ef-expectations. - Roxana Dumitrescu; Marie Claire Quenez; Agnès Sulem (SIAM J. Control. Optim., 2016)

Game Options in an Imperfect Market with Default. - Roxana Dumitrescu; Marie Claire Quenez; Agnès Sulem (SIAM J. Financial Math., 2017)

Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps. - Roxana Dumitrescu; Bernt Øksendal; Agnès Sulem (J. Optim. Theory Appl., 2018)

Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach. - Géraldine Bouveret; Roxana Dumitrescu; Peter Tankov (SIAM J. Control. Optim., 2020)

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)

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., 2024)