Agnès Sulem

22 papers Journal 21Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks.
SIAM J. Financial Math.
Hamed Amini, Zhongyuan Cao, Agnès Sulem
2024 J jnl
Limit Theorems for Default Contagion and Systemic Risk.
Math. Oper. Res.
Hamed Amini, Zhongyuan Cao, Agnès Sulem
2023 — conf
The Default Cascade Process in Stochastic Financial Networks.
ICAIF
Hamed Amini, Zhongyuan Cao, Agnès Sulem
2022 J jnl
A Dynamic Contagion Risk Model with Recovery Features.
Math. Oper. Res.
Hamed Amini, Andreea Minca, Agnès Sulem
2020 J jnl
European Options in a Nonlinear Incomplete Market Model with Default.
SIAM J. Financial Math.
Miryana Grigorova, Marie Claire Quenez, Agnès Sulem
2018 J jnl
Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps.
J. Optim. Theory Appl.
Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem
2017 J jnl
Game Options in an Imperfect Market with Default.
SIAM J. Financial Math.
Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem
2016 J jnl
A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with
SIAM J. Control. Optim.
Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem
2015 J jnl
Control of Interbank Contagion Under Partial Information.
SIAM J. Financial Math.
Hamed Amini, Andreea Minca, Agnès Sulem
2015 J jnl
Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems.
J. Optim. Theory Appl.
Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem
2014 J jnl
Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty.
J. Optim. Theory Appl.
Bernt Øksendal, Agnès Sulem
2014 J jnl
Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection.
Math. Oper. Res.
Bernt Øksendal, Agnès Sulem, Tusheng Zhang
2012 J jnl
Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes.
SIAM J. Control. Optim.
Bernt Øksendal, Agnès Sulem
2011 J jnl
An integral representation theorem of g-expectations.
Risk Decis. Anal.
Zengjing Chen, Agnès Sulem
2009 J jnl
Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps.
SIAM J. Control. Optim.
Bernt Øksendal, Agnès Sulem
2009 J jnl
Premia: A Numerical Platform for Pricing Financial Derivatives.
ERCIM News
Agnès Sulem, Antonino Zanette
2007 J jnl
A policy iteration algorithm for fixed point problems with nonexpansive operators.
Math. Methods Oper. Res.
Jean-Philippe Chancelier, Marouen Messaoud, Agnès Sulem
2002 J jnl
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs.
SIAM J. Control. Optim.
Bernt Øksendal, Agnès Sulem
1995 J jnl
Explicit Solution of Inventory Problems with Delivery Lags.
Math. Oper. Res.
Avner Bar-Ilan, Agnès Sulem
1995 J jnl
Pseudopower expansion of solutions of generalized equations and constrained optimization problems.
Math. Program.
J. Frédéric Bonnans, Agnès Sulem
1986 J jnl
A Solvable One-Dimensional Model of a Diffusion Inventory System.
Math. Oper. Res.
Agnès Sulem
1986 J jnl
Explicit Solution of a Two-Dimensional Deterministic Inventory Problem.
Math. Oper. Res.
Agnès Sulem