Marie-Claire Quenez

Available identifiers

zbMath Open quenez.marie-claireMaRDI QIDQ428525

List of research outcomes

Publication	Date of Publication	Type
Optimal stopping: Bermudan strategies meet non-linear evaluations	2023-01-26	Paper
American options in a non-linear incomplete market model with default	2021-11-03	Paper
European Options in a Nonlinear Incomplete Market Model with Default	2020-11-07	Paper
On the strict value of the non-linear optimal stopping problem	2020-09-29	Paper
Optimal stopping with \(f\)-expectations: the irregular case	2020-02-24	Paper
BSDEs with default jump	2019-03-22	Paper
Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case	2019-02-14	Paper
American options in an imperfect complete market with default	2019-01-29	Paper
Game Options in an Imperfect Market with Default	2018-03-12	Paper
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping	2018-01-04	Paper
PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION	2017-09-19	Paper
Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs	2017-04-11	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 ${\cal E}^{f}$-expectations	2016-09-06	Paper
Optimal stopping for dynamic risk measures with jumps and obstacle problems	2015-10-28	Paper
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps	2014-09-02	Paper
Dynkin games in a general framework	2014-08-14	Paper
Dynkin games in a general framework	2014-08-14	Paper
BSDEs with jumps, optimization and applications to dynamic risk measures	2014-04-28	Paper
Optimal stopping time problem in a general framework	2012-10-23	Paper
Exponential utility maximization in an incomplete market with defaults	2012-06-22	Paper
Optimal multiple stopping time problem	2011-10-12	Paper
Optimal double stopping time problem	2010-02-12	Paper
Optimal double stopping time	2009-09-18	Paper
INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES	2008-09-03	Paper
A Generalized Stochastic Differential Utility	2005-11-11	Paper
https://portal.mardi4nfdi.de/entity/Q3154984	2005-01-14	Paper
A dynamic maximum principle for the optimization of recursive utilities under constraints.	2003-05-06	Paper
Optimal portfolio in partially observed stochastic volatility models.	2003-05-06	Paper
https://portal.mardi4nfdi.de/entity/Q4356588	1998-11-01	Paper
https://portal.mardi4nfdi.de/entity/Q4356589	1998-11-01	Paper
Reflected solutions of backward SDE's, and related obstacle problems for PDE's	1998-10-28	Paper
Backward Stochastic Differential Equations in Finance	1998-04-05	Paper
https://portal.mardi4nfdi.de/entity/Q4357646	1997-11-25	Paper
https://portal.mardi4nfdi.de/entity/Q4357503	1997-09-25	Paper
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market	1995-05-17	Paper
https://portal.mardi4nfdi.de/entity/Q3985737	1992-06-27	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Marie-Claire Quenez