Roxana Dumitrescu

Available identifiers

zbMath Open dumitrescu.roxanaMaRDI QIDQ281869

List of research outcomes

Publication	Date of Publication	Type
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise	2024-11-01	Paper
A mean-field game model of electricity market dynamics	2024-09-25	Paper
A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times	2023-09-15	Paper
Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption	2023-05-25	Paper
Mean-field BSDEs with jumps and dual representation for global risk measures	2023-04-26	Paper
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise	2022-10-07	Paper
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings	2022-09-08	Paper
Control and optimal stopping mean field games: a linear programming approach	2022-02-22	Paper
Zero-sum mean-field Dynkin games: characterization and convergence	2022-02-04	Paper
The entry and exit game in the electricity markets: a mean-field game approach	2022-01-20	Paper
A propagation of chaos result for weakly interacting nonlinear Snell envelopes	2021-11-28	Paper
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps	2021-07-15	Paper
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts	2021-01-15	Paper
Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach	2020-11-03	Paper
The entry and exit game in the electricity markets: a mean-field game approach	2020-04-29	Paper
BSDEs with default jump	2019-03-22	Paper
American options in an imperfect complete market with default	2019-01-29	Paper
Stochastic control for mean-field stochastic partial differential equations with jumps	2018-05-24	Paper
Game Options in an Imperfect Market with Default	2018-03-12	Paper
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps	2018-03-10	Paper
Mixed generalized Dynkin game and stochastic control in a Markovian framework	2017-04-11	Paper
Generalized Dynkin games and doubly reflected BSDEs with jumps	2016-12-20	Paper
BSDEs with default jump	2016-12-16	Paper
A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations	2016-09-06	Paper
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles	2016-05-11	Paper
BSDEs with nonlinear weak terminal condition	2016-01-31	Paper
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles	2015-12-21	Paper
Optimal stopping for dynamic risk measures with jumps and obstacle problems	2015-10-28	Paper
A mean-field game model of electricity market dynamics	N/A	Paper
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids	N/A	Paper

Research outcomes over time

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