Dumitrescu, Roxana
- Control and optimal stopping Mean Field Games: a linear programming approach
2020/11/23 by Dumitrescu, Roxana, Leutscher, Marcos, Tankov, Peter · 5 citations
#60G40 #91A13 #91A55 #FOS: Mathematics #Optimization and Control (math.OC)
- Mean-field games of optimal stopping: a relaxed solution approach
2018/12/14 by Bouveret, Géraldine, Dumitrescu, Roxana, Tankov, Peter · 4 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- The entry and exit game in the electricity markets: a mean-field game approach
2020/04/29 by Aïd, René, Dumitrescu, Roxana, Tankov, Peter · 4 citations
#FOS: Mathematics #Optimization and Control (math.OC)
- Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
2022/10/07 by Roxana Dumitrescu, Marcos Leutscher, Dumitrescu, Roxana +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, Christoph Reisinger, Dumitrescu, Roxana +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 Dumitrescu, Roxana, Leutscher, Marcos, Tankov, Peter · 3 citations
#60G40 #91A13 #91A55 #FOS: Mathematics #Optimization and Control (math.OC)
- Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
2024/01/06 by Clémence Alasseur, Zakaria Bensaid, Alasseur, Clémence +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
- 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
- Game options in an imperfect market with default
2015/11/29 by Dumitrescu, Roxana, Quenez, Marie-Claire, Sulem, Agnès · 1 citation
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
- A mean-field game model of electricity market dynamics
2023/12/29 by Alicia Bassière, Roxana Dumitrescu, Bassière, Alicia +3 · 3 citations
Engineering · Economics, Econometrics and Finance · #Smart Grid Energy Management #Electric Power System Optimization #Climate Change Policy and Economics
- A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings
2022/09/08 by Alasseur, Clémence, Bayraktar, Erhan, Dumitrescu, Roxana +1 · 1 citation
#FOS: Mathematics #Optimization and Control (math.OC)
- Entropy Regularization in Mean-Field Games of Optimal Stopping
2025/09/23 by Dianetti, Jodi, Dumitrescu, Roxana, Ferrari, Giorgio +1 · 1 citation
#FOS: Mathematics #Optimization and Control (math.OC)