Agnès Sulem - researchr alias

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Viewing Publication 1 - 19 from 19

2023

The Default Cascade Process in Stochastic Financial NetworksHamed Amini, Zhongyuan Cao, Agnès Sulem. icaif 2023: 227-234 [doi]

2022

A Dynamic Contagion Risk Model with Recovery FeaturesHamed Amini, Andreea Minca, Agnès Sulem. mor, 47(2):1412-1442, 2022. [doi]

2020

European Options in a Nonlinear Incomplete Market Model with DefaultMiryana Grigorova, Marie Claire Quenez, Agnès Sulem. siamfm, 11(3):849-880, 2020. [doi]

2018

Stochastic Control for Mean-Field Stochastic Partial Differential Equations with JumpsRoxana Dumitrescu, Bernt Øksendal, Agnès Sulem. jota, 176(3):559-584, 2018. [doi]

2017

Game Options in an Imperfect Market with DefaultRoxana Dumitrescu, Marie Claire Quenez, Agnès Sulem. siamfm, 8(1):532-559, 2017. [doi]

2016

f-expectationsRoxana Dumitrescu, Marie Claire Quenez, Agnès Sulem. siamco, 54(4):2090-2115, 2016. [doi]

2015

Control of Interbank Contagion Under Partial InformationHamed Amini, Andreea Minca, Agnès Sulem. siamfm, 6(1):1195-1219, 2015. [doi]

Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle ProblemsRoxana Dumitrescu, Marie Claire Quenez, Agnès Sulem. jota, 167(1):219-242, 2015. [doi]

2014

Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with ReflectionBernt Øksendal, Agnès Sulem, Tusheng Zhang. mor, 39(2):464-486, 2014. [doi]

Forward-Backward Stochastic Differential Games and Stochastic Control under Model UncertaintyBernt Øksendal, Agnès Sulem. jota, 161(1):22-55, 2014. [doi]

2012

Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy ProcessesBernt Øksendal, Agnès Sulem. siamco, 50(4):2254-2287, 2012. [doi]

2011

An integral representation theorem of g-expectationsZengjing Chen, Agnès Sulem. rda, 2(4):245-255, 2011. [doi]

2009

Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with JumpsBernt Oksendal, Agnès Sulem. siamco, 48(5):2945-2976, 2009. [doi]

2007

A policy iteration algorithm for fixed point problems with nonexpansive operatorsJean-Philippe Chancelier, Marouen Messaoud, Agnès Sulem. mmor, 65(2):239-259, 2007. [doi]

2002

Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction CostsBernt Oksendal, Agnès Sulem. siamco, 40(6):1765-1790, 2002. [doi]

1995

Explicit Solution of Inventory Problems with Delivery LagsAvner Bar-Ilan, Agnès Sulem. mor, 20(3):709-720, 1995. [doi]

Pseudopower expansion of solutions of generalized equations and constrained optimization problemsJ. Frédéric Bonnans, Agnès Sulem. mp, 70:123-148, 1995. [doi]

1986

A Solvable One-Dimensional Model of a Diffusion Inventory SystemAgnès Sulem. mor, 11(1):125-133, 1986. [doi]

Explicit Solution of a Two-Dimensional Deterministic Inventory ProblemAgnès Sulem. mor, 11(1):134-146, 1986. [doi]

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