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Dive into the research topics where Roxana Dumitrescu is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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A propagation of chaos result for weakly interacting nonlinear Snell envelopes
Djehiche, B., Dumitrescu, R. & Zeng, J., 1 Oct 2025, In: Stochastic Processes and their Applications. 188, 104669.Research output: Contribution to journal › Article › peer-review
Open Access -
A Mean-Field Game Model of Electricity Market Dynamics
Bassière, A., Dumitrescu, R. & Tankov, P., 1 Jan 2024, Quantitative Energy Finance: Recent Trends and Developments. Springer Nature, p. 181-219 39 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
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Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
Dumitrescu, R., Leutscher, M. & Tankov, P., 1 Aug 2024, In: Mathematics and Financial Economics. 18, 2-3, p. 233-274 42 p.Research output: Contribution to journal › Article › peer-review
Open Access -
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts
Alasseur, C., Campi, L., Dumitrescu, R. & Zeng, J., 1 May 2024, In: Annals of Operations Research. 336, 1-2, p. 541-569 29 p.Research output: Contribution to journal › Article › peer-review
Open Access -
A new Mertens decomposition of Yg,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times
Dumitrescu, R., Elie, R., Sabbagh, W. & Zhou, C., 1 Oct 2023, In: Stochastic Processes and their Applications. 164, p. 183-205 23 p.Research output: Contribution to journal › Article › peer-review
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Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
Dumitrescu, R., Leutscher, M. & Tankov, P., 1 Mar 2023, In: Mathematical Modelling and Numerical Analysis. 57, 2, p. 953-990 38 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Mean-field BSDEs with jumps and dual representation for global risk measures
Chen, R., Dumitrescu, R., Minca, A. & Sulem, A., 1 Jan 2023, In: Probability, Uncertainty and Quantitative Risk. 8, 1, p. 33-52 20 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Technological change in water use: A mean-field game approach to optimal investment timing
Bouveret, G., Dumitrescu, R. & Tankov, P., 1 Jan 2022, In: Operations Research Perspectives. 9, 100225.Research output: Contribution to journal › Article › peer-review
Open Access -
Approximation Schemes for Mixed Optimal Stopping and Control Problems with Nonlinear Expectations and Jumps
Dumitrescu, R., Reisinger, C. & Zhang, Y., 1 Jun 2021, In: Applied Mathematics & Optimization. 83, 3, p. 1387-1429 43 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Control and optimal stopping Mean Field Games: a linear programming approach
Dumitrescu, R., Leutscher, M. & Tankov, P., 1 Jan 2021, In: Electronic Journal of Probability. 26, 157.Research output: Contribution to journal › Article › peer-review
Open Access