| Generalized Dynkin games and doubly reflected BSDEs with jumps R Dumitrescu, MC Quenez, A Sulem | 57 | 2016 |
| Mean-field games of optimal stopping: a relaxed solution approach G Bouveret, R Dumitrescu, P Tankov SIAM Journal on Control and Optimization 58 (4), 1795-1821, 2020 | 44 | 2020 |
| The entry and exit game in the electricity markets: A mean-field game approach R Aïd, R Dumitrescu, P Tankov arXiv preprint arXiv:2004.14057, 2020 | 36 | 2020 |
| Game options in an imperfect market with default R Dumitrescu, MC Quenez, A Sulem SIAM Journal on Financial Mathematics 8 (1), 532-559, 2017 | 33 | 2017 |
| American options in an imperfect complete market with default R Dumitrescu, MC Quenez, A Sulem ESAIM: Proceedings and Surveys 64, 93-110, 2018 | 28 | 2018 |
| A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with -expectations R Dumitrescu, MC Quenez, A Sulem SIAM Journal on Control and Optimization 54 (4), 2090-2115, 2016 | 26 | 2016 |
| Optimal stopping for dynamic risk measures with jumps and obstacle problems R Dumitrescu, MC Quenez, A Sulem Journal of Optimization Theory and Applications 167, 219-242, 2015 | 26 | 2015 |
| BSDEs with default jump R Dumitrescu, M Grigorova, MC Quenez, A Sulem Computation and Combinatorics in Dynamics, Stochastics and Control: The Abel …, 2018 | 23 | 2018 |
| Mixed generalized Dynkin game and stochastic control in a Markovian framework R Dumitrescu, MC Quenez, A Sulem Stochastics 89 (1), 400-429, 2017 | 22 | 2017 |
| Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles R Dumitrescu, C Labart Journal of Mathematical Analysis and Applications 442 (1), 206-243, 2016 | 19 | 2016 |
| Control and optimal stopping Mean Field Games: a linear programming approach R Dumitrescu, M Leutscher, P Tankov Electronic Journal of Probability 26, 1-49, 2021 | 16 | 2021 |
| Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles R Dumitrescu, C Labart Journal of Computational and Applied Mathematics 296, 827-839, 2016 | 15 | 2016 |
| Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps R Dumitrescu, C Reisinger, Y Zhang Applied Mathematics & Optimization 83, 1387-1429, 2021 | 14 | 2021 |
| MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts C Alasseur, L Campi, R Dumitrescu, J Zeng Annals of Operations Research, 1-29, 2023 | 11 | 2023 |
| Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption R Dumitrescu, M Leutscher, P Tankov ESAIM: Mathematical Modelling and Numerical Analysis 57 (2), 953-990, 2023 | 11 | 2023 |
| Stochastic control for mean-field stochastic partial differential equations with jumps R Dumitrescu, B Øksendal, A Sulem Journal of Optimization Theory and Applications 176, 559-584, 2018 | 10 | 2018 |
| Technological change in water use: a mean-field game approach to optimal investment timing G Bouveret, R Dumitrescu, P Tankov Operations Research Perspectives 9, 100225, 2022 | 8 | 2022 |
| A propagation of chaos result for weakly interacting nonlinear Snell envelopes B Djehiche, R Dumitrescu, J Zeng arXiv preprint arXiv:2111.14315, 2021 | 8* | 2021 |
| BSDEs with nonlinear weak terminal condition R Dumitrescu arXiv preprint arXiv:1602.00321, 2016 | 7 | 2016 |
| BSDEs with weak reflections and partial hedging of American options R Dumitrescu, R Elie, W Sabbagh, C Zhou arXiv preprint arXiv:1708.05957, 2017 | 6 | 2017 |
Peter TankovENSAE ParisTechVerified email at ensae.fr
