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Agnès Sulem
Agnès Sulem
Other namesAgnes Sulem, Agnes Sulem Bialobroda
Directeur de Recherche
Verified email at inria.fr - Homepage
Title
Cited by
Cited by
Year
Stochastic Control of jump diffusions
B Øksendal, A Sulem
Applied Stochastic Control of Jump Diffusions, 93-155, 2019
21762019
On an investment-consumption model with transaction costs
M Akian, JL Menaldi, A Sulem
SIAM Journal on control and Optimization 34 (1), 329-364, 1996
2861996
Optimal consumption and portfolio with both fixed and proportional transaction costs
B Oksendal, A Sulem
SIAM Journal on control and optimization 40 (6), 1765-1790, 2002
2542002
Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
NC Framstad, B Øksendal, A Sulem
Journal of optimization theory and applications 121, 77-98, 2004
2322004
Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
NC Framstad, B Øksendal, A Sulem
Journal of Mathematical Economics 35 (2), 233-257, 2001
1882001
Some solvable stochastic control problems with delay
I Elsanosi, B Øksendal, A Sulem
Stochastics: An International Journal of Probability and Stochastic …, 2000
1882000
A maximum principle for optimal control of stochastic systems with delay, with applications to finance.
B Øksendal, A Sulem
Preprint series. Pure mathematics http://urn. nb. no/URN: NBN: no-8076, 2000
1672000
BSDEs with jumps, optimization and applications to dynamic risk measures
MC Quenez, A Sulem
Stochastic Processes and their Applications 123 (8), 3328-3357, 2013
1542013
Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
B Øksendal, A Sulem, T Zhang
Advances in Applied Probability 43 (2), 572-596, 2011
1532011
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
F Biagini, B Øksendal, A Sulem, N Wallner
Proceedings of the Royal Society of London. Series A: Mathematical, Physical …, 2004
1492004
Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
M Akian, A Sulem, MI Taksar
Mathematical Finance 11 (2), 153-188, 2001
1382001
Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
B Øksendal, A Sulem
SIAM Journal on Control and Optimization 48 (5), 2945-2976, 2010
1372010
A solvable one-dimensional model of a diffusion inventory system
A Sulem
Mathematics of Operations Research 11 (1), 125-133, 1986
1301986
Forward–backward stochastic differential games and stochastic control under model uncertainty
B Øksendal, A Sulem
Journal of Optimization Theory and Applications 161, 22-55, 2014
922014
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
MC Quenez, A Sulem
Stochastic Processes and their Applications 124 (9), 3031-3054, 2014
882014
A stochastic maximum principle for processes driven by fractional Brownian motion
F Biagini, Y Hu, B Øksendal, A Sulem
Stochastic processes and their applications 100 (1-2), 233-253, 2002
852002
Time-to-build and capacity choice
A Bar-Ilan, A Sulem, A Zanello
Journal of Economic Dynamics and Control 26 (1), 69-98, 2002
812002
Utility maximization in an insider influenced market
A Kohatsu‐Higa, A Sulem
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006
802006
Optimal consumption and portfolio in a Black–Scholes market driven by fractional Brownian motion
Y Hu, B Øksendal, A Sulem
Infinite dimensional analysis, quantum probability and related topics 6 (04 …, 2003
782003
Combined stochastic control and optimal stopping, and application to numerical approximation of combined stochastic and impulse control
JP Chancelier, B Øksendal, A Sulem
Труды Математического института имени ВА Стеклова 237 (0), 149-172, 2002
692002
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