Roxana Dumitrescu
- Control and optimal stopping Mean Field Games: a linear programming approach
2020/11/23 by Roxana Dumitrescu, Dumitrescu, Roxana, Marcos Leutscher +3 · 5 citations
Decision Sciences · Economics, Econometrics and Finance · #60G40 #91A13 #91A55 #Auction Theory and Applications #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Stochastic processes and financial applications
- Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
2022/10/07 by Roxana Dumitrescu, Dumitrescu, Roxana, Marcos Leutscher +3 · 3 citations
Economics, Econometrics and Finance · #Climate Change Policy and Economics #Capital Investment and Risk Analysis #Economic theories and models
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
2018/03/10 by Roxana Dumitrescu, Dumitrescu, Roxana, Christoph Reisinger +3 · 2 citations
Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Control Systems Optimization #FOS: Mathematics #Mathematical Biology Tumor Growth #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Stochastic processes and financial applications
- Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption
2022/02/23 by Roxana Dumitrescu, Dumitrescu, Roxana, Marcos Leutscher +3 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · #60G40 #91A13 #91A55 #Auction Theory and Applications #Economic theories and models #FOS: Mathematics #Game Theory and Applications #Optimization and Control (math.OC)
- A mean-field game model of electricity market dynamics
2023/12/29 by Alicia Bassière, Roxana Dumitrescu, Bassière, Alicia +3 · 4 citations
Engineering · Economics, Econometrics and Finance · #Smart Grid Energy Management #Electric Power System Optimization #Climate Change Policy and Economics
- Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
2024/01/06 by Clémence Alasseur, Alasseur, Clémence, Zakaria Bensaid +5 · 3 citations
Economics, Econometrics and Finance · Energy · #Climate Change Policy and Economics #Energy, Environment, and Transportation Policies #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Generalized Dynkin Games and Doubly Reflected BSDEs with Jumps
2013/10/10 by Roxana Dumitrescu, Dumitrescu, Roxana, Marie-Claire Quenez +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Mathematics #Mathematical Biology Tumor Growth #Probability (math.PR) #Stochastic processes and financial applications
- Optimal stopping for dynamic risk measures with jumps and obstacle\n problems
2014/04/17 by Roxana Dumitrescu, Dumitrescu, Roxana, Marie-Claire Quenez +3 · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications
- Mixed generalized Dynkin game and stochastic control in a Markovian\n framework
2015/08/11 by Roxana Dumitrescu, Dumitrescu, Roxana, Marie-Claire Quenez +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #Stochastic processes and financial applications #Geometric Analysis and Curvature Flows
- A propagation of chaos result for weakly interacting nonlinear Snell envelopes
2021/11/29 by Boualem Djehiche, Roxana Dumitrescu, Djehiche, Boualem +3 · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- A new probabilistic approach for mean field games of optimal stopping
2026/07/23 by Andrea Cosso, Laura D'Andolfi, Roxana Dumitrescu
Mathematics · #math.PR