| Publication | Date of Publication | Type |
|---|
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
Mathematics and Financial Economics | 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
Stochastic Processes and their Applications | 2023-09-15 | Paper |
Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
ESAIM: Mathematical Modelling and Numerical Analysis | 2023-05-25 | Paper |
Mean-field BSDEs with jumps and dual representation for global risk measures
Probability, Uncertainty and Quantitative Risk | 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
Electronic Journal of Probability | 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
Journal of Dynamics and Games | 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
Applied Mathematics and Optimization | 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
SIAM Journal on Control and Optimization | 2020-11-03 | Paper |
The entry and exit game in the electricity markets: a mean-field game approach
(available as arXiv preprint) | 2020-04-29 | Paper |
| BSDEs with default jump | 2019-03-22 | Paper |
American options in an imperfect complete market with default
ESAIM: Proceedings and Surveys | 2019-01-29 | Paper |
Stochastic control for mean-field stochastic partial differential equations with jumps
Journal of Optimization Theory and Applications | 2018-05-24 | Paper |
Stochastic control for mean-field stochastic partial differential equations with jumps
Journal of Optimization Theory and Applications | 2018-05-24 | Paper |
Game options in an imperfect market with default
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
(available as arXiv preprint) | 2018-03-10 | Paper |
Mixed generalized Dynkin game and stochastic control in a Markovian framework
Stochastics | 2017-04-11 | Paper |
Generalized Dynkin games and doubly reflected BSDEs with jumps
Electronic Journal of Probability | 2016-12-20 | Paper |
Generalized Dynkin games and doubly reflected BSDEs with jumps
Electronic Journal of Probability | 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
SIAM Journal on Control and Optimization | 2016-09-06 | Paper |
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
Journal of Mathematical Analysis and Applications | 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
Journal of Computational and Applied Mathematics | 2015-12-21 | Paper |
Optimal stopping for dynamic risk measures with jumps and obstacle problems
Journal of Optimization Theory and Applications | 2015-10-28 | Paper |
A mean-field game model of electricity market dynamics
(available as arXiv preprint) | N/A | Paper |
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
(available as arXiv preprint) | N/A | Paper |
