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Agnès Sulem
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2020 – today
- 2023
- [c1]Hamed Amini
, Zhongyuan Cao
The Default Cascade Process in Stochastic Financial Networks. ICAIF 2023: 227-234 - 2022
- [j18]Hamed Amini, Andreea Minca
A Dynamic Contagion Risk Model with Recovery Features. Math. Oper. Res. 47(2): 1412-1442 (2022) - 2020
- [j17]Miryana Grigorova
European Options in a Nonlinear Incomplete Market Model with Default. SIAM J. Financial Math. 11(3): 849-880 (2020)
2010 – 2019
- 2018
- [j16]Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem:
Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps. J. Optim. Theory Appl. 176(3): 559-584 (2018) - 2017
- [j15]Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem:
Game Options in an Imperfect Market with Default. SIAM J. Financial Math. 8(1): 532-559 (2017) - 2016
- [j14]Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem:
A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with Ef-expectations. SIAM J. Control. Optim. 54(4): 2090-2115 (2016) - 2015
- [j13]Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem:
Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems. J. Optim. Theory Appl. 167(1): 219-242 (2015) - [j12]Hamed Amini, Andreea Minca
Control of Interbank Contagion Under Partial Information. SIAM J. Financial Math. 6(1): 1195-1219 (2015) - 2014
- [j11]Bernt Øksendal, Agnès Sulem:
Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty. J. Optim. Theory Appl. 161(1): 22-55 (2014) - [j10]Bernt Øksendal, Agnès Sulem, Tusheng Zhang:
Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection. Math. Oper. Res. 39(2): 464-486 (2014) - 2012
- [j9]Bernt Øksendal, Agnès Sulem:
Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes. SIAM J. Control. Optim. 50(4): 2254-2287 (2012) - 2011
- [j8]Zengjing Chen, Agnès Sulem:
An integral representation theorem of g-expectations. Risk Decis. Anal. 2(4): 245-255 (2011)
2000 – 2009
- 2009
- [j7]Bernt Øksendal, Agnès Sulem:
Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps. SIAM J. Control. Optim. 48(5): 2945-2976 (2009) - [i1]Agnès Sulem, Antonino Zanette:
Premia: A Numerical Platform for Pricing Financial Derivatives. ERCIM News 2009(78) (2009) - 2007
- [j6]Jean-Philippe Chancelier
A policy iteration algorithm for fixed point problems with nonexpansive operators. Math. Methods Oper. Res. 65(2): 239-259 (2007) - 2002
- [j5]Bernt Øksendal, Agnès Sulem:
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs. SIAM J. Control. Optim. 40(6): 1765-1790 (2002)
1990 – 1999
- 1995
- [j4]Avner Bar-Ilan, Agnès Sulem:
Explicit Solution of Inventory Problems with Delivery Lags. Math. Oper. Res. 20(3): 709-720 (1995) - [j3]J. Frédéric Bonnans, Agnès Sulem:
Pseudopower expansion of solutions of generalized equations and constrained optimization problems. Math. Program. 70: 123-148 (1995)
1980 – 1989
- 1986
- [j2]Agnès Sulem:
A Solvable One-Dimensional Model of a Diffusion Inventory System. Math. Oper. Res. 11(1): 125-133 (1986) - [j1]Agnès Sulem:
Explicit Solution of a Two-Dimensional Deterministic Inventory Problem. Math. Oper. Res. 11(1): 134-146 (1986)
Coauthor Index
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