M. Quenez

发表

Reflected solutions of backward SDE's, and related obstacle problems for PDE's

S. Peng, N. Karoui, É. Pardoux, 1997 .

Exponential Utility Maximization in an Incomplete Market with Defaults

M. Quenez, T. Lim, 2011 .

Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

N. Karoui, M. Quenez, 1995 .

Backward Stochastic Differential Equations in Finance

S. Peng, N. El Karoui, N. Karoui, 1997 .

Optimal Portfolio in Partially Observed Stochastic Volatility Models

H. Pham, M. Quenez, 2001 .

Utility maximization in incomplete markets with default

Thomas Lim, Marie-Claire Quenez, M. Quenez, 2008 .

American options in an imperfect market with default

M. Quenez, A. Sulem, Roxana Dumitrescu, 2017, 1708.08675.

Non-linear pricing theory and backward stochastic differential equations

N. Karoui, M. Quenez, 1997 .

A dynamic maximum principle for the optimization of recursive utilities under constraints

S. Peng, N. Karoui, M. Quenez, 2001 .

Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

M. Quenez, A. Sulem, 2012, 1212.6744.

BSDEs with jumps, optimization and applications to dynamic risk measures

M. Quenez, A. Sulem, 2013 .

Generalized Dynkin games and doubly reflected BSDEs with jumps

M. Quenez, A. Sulem, Roxana Dumitrescu, 2013, 1310.2764.

Optimal Portfolio in a Multiple-Priors Model

M. Quenez, 2004 .

Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case

P. Imkeller, M. Quenez, Y. Ouknine, 2017, 1704.00625.

Numerical Methods in Finance: Reflected Backward SDEs and American Options

N. El Karoui, Etienne Pardoux, N. Karoui, 1997 .

Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs

M. Quenez, Miryana Grigorova, 2017, 1705.03724.

American Options in an Imperfect Complete Market with Default

M. Quenez, A. Sulem, Roxana Dumitrescu, 2018 .

Electron. Commun. Probab. 25 (2020), article no. 49, https://doi.org/10.1214/20-ECP328

P. Imkeller, M. Quenez, Y. Ouknine, 2020 .

Exponential utility maximization and indifference price in an incomplete market with defaults

M. Quenez, T. Lim, 2010 .

Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

M. Quenez, A. Sulem, Roxana Dumitrescu, 2014, Journal of Optimization Theory and Applications.

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN FINANCE N. EL KAROUI

M. Quenez, 1997 .

Superhedging prices of European and American options in a non-linear incomplete market with default

M. Quenez, Miryana Grigorova, A. Sulem, 2019 .

A Development of a 40-Gb/s Readout Interface STARE for the AGATA Project

L. Gibelin, N. Karkour, D. Linget, 2020, IEEE Transactions on Nuclear Science.

A Generalized Stochastic Differential Utility

Marie Claire Quenez, Ali Lazrak, A. Lazrak, 2003, Math. Oper. Res..

A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with Ef-expectations

Agnès Sulem, Roxana Dumitrescu, Marie Claire Quenez, 2016, SIAM J. Control. Optim..

A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with $\mathcal{E}^f$- expectations

M. Quenez, A. Sulem, Roxana Dumitrescu, 2014, 1407.0416.

Dynkin games in a general framework

M. Quenez, M. Kobylanski, Marc Roger de Campagnolle, 2012, 1202.1930.

Optimal multiple stopping time problem

Marie-Claire Quenez, M. Quenez, M. Kobylanski, 2009, 0910.2788.

Dynamic Programming Principle for Combined Optimal Stopping / Stochastic Control with f-Expectations

M. Quenez, A. Sulem, Roxana Dumitrescu, 2015 .

American options in a non-linear incomplete market model with default

Agnès Sulem, Marie-Claire Quenez, Miryana Grigorova, 2021, Stochastic Processes and their Applications.

European Options in a Nonlinear Incomplete Market Model with Default

Agnès Sulem, Marie-Claire Quenez, Miryana Grigorova, 2020, SIAM J. Financial Math..

Non-linear non-zero-sum Dynkin games with Bermudan strategies

M. Quenez, Miryana Grigorova, Yuan Peng, 2023, 2311.01086.

Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems

Agnès Sulem, Roxana Dumitrescu, Marie-Claire Quenez, 2014, J. Optim. Theory Appl..

Double barrier reflected BSDEs with jumps and generalized Dynkin games

M. Quenez, A. Sulem, Roxana Dumitrescu, 2013 .

Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities

M. Quenez, A. Sulem, Roxana Dumitrescu, 2013 .

backward stochastic dierential equations with jumps and partial integro-dierenti al variational inequalities

M. Quenez, Roxana Dumitrescu, 2013 .

Mixed generalized Dynkin game and stochastic control in a Markovian framework

M. Quenez, A. Sulem, Roxana Dumitrescu, 2015, 1508.02742.

Numerical Methods in Finance: Imperfect Markets and Backward Stochastic Differential Equations

N. Karoui, M. Quenez, 1997 .

Optimal stopping time problem in a general framework

M. Quenez, M. Kobylanski, 2012 .

Optimal stopping in a general framework

M. Quenez, M. Kobylanski, 2010 .

Optimal stopping in a general framework

M. Quenez, M. Kobylanski, 2010, 1009.3862.