Roxana Dumitrescu

According to our database1, Roxana Dumitrescu authored at least 8 papers between 2015 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

On csauthors.net:

Bibliography

2024
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts.
Ann. Oper. Res., May, 2024

Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids.
CoRR, 2024

2020
Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach.
SIAM J. Control. Optim., 2020

2018
Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps.
J. Optim. Theory Appl., 2018

2017
Game Options in an Imperfect Market with Default.
SIAM J. Financial Math., 2017

2016
A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with <i>E</i><sup>f</sup>-expectations.
SIAM J. Control. Optim., 2016

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles.
J. Comput. Appl. Math., 2016

2015
Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems.
J. Optim. Theory Appl., 2015


  Loading...