Stochastic Graphon Games with Jumps and Approximate Nash Equilibria.

Agnès Sulem

Hamed Amini Zhongyuan Cao Agnès Sulem Stochastic Graphon Games with Jumps and Approximate Nash Equilibria. 2026 1859-1888 64 SIAM J. Control. Optim. 3 https://doi.org/10.1137/24m1709339 db/journals/siamco/siamco64.html#AminiCS26 streams/journals/siamco

Hamed Amini Zhongyuan Cao Agnès Sulem Central Limit Theorems for Price-Mediated Contagion in Stochastic Financial Networks. 1058-1103 2025 16 SIAM J. Financial Math. 3 https://doi.org/10.1137/24m1647655 db/journals/siamfm/siamfm16.html#AminiCS25 streams/journals/siamfm

Hamed Amini Zhongyuan Cao Agnès Sulem Limit Theorems for Default Contagion and Systemic Risk. 2652-2683 2024 49 Math. Oper. Res. 4 https://doi.org/10.1287/moor.2021.0283 db/journals/mor/mor49.html#AminiCS24 streams/journals/mor

Hamed Amini Zhongyuan Cao Agnès Sulem The Default Cascade Process in Stochastic Financial Networks. 227-234 2023 ICAIF https://doi.org/10.1145/3604237.3626845 conf/icaif/2023 db/conf/icaif/icaif2023.html#AminiCS23

Hamed Amini Andreea Minca Agnès Sulem A Dynamic Contagion Risk Model with Recovery Features. 1412-1442 2022 47 Math. Oper. Res. 2 https://doi.org/10.1287/moor.2021.1174 db/journals/mor/mor47.html#AminiMS22

Miryana Grigorova Marie Claire Quenez Agnès Sulem European Options in a Nonlinear Incomplete Market Model with Default. 849-880 2020 11 SIAM J. Financial Math. 3 https://doi.org/10.1137/20M1318018 db/journals/siamfm/siamfm11.html#GrigorovaQS20

Roxana Dumitrescu Bernt Øksendal Agnès Sulem Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps. 559-584 2018 176 J. Optim. Theory Appl. 3 https://doi.org/10.1007/s10957-018-1243-3 db/journals/jota/jota176.html#DumitrescuOS18

Roxana Dumitrescu Marie Claire Quenez Agnès Sulem Game Options in an Imperfect Market with Default. 532-559 2017 8 SIAM J. Financial Math. 1 https://doi.org/10.1137/16M1109102 db/journals/siamfm/siamfm8.html#DumitrescuQS17

Roxana Dumitrescu Marie Claire Quenez Agnès Sulem A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with <i>E</i><sup>f</sup>-expectations. 2090-2115 2016 54 SIAM J. Control. Optim. 4 https://doi.org/10.1137/15M1027012 db/journals/siamco/siamco54.html#DumitrescuQS16

Roxana Dumitrescu Marie Claire Quenez Agnès Sulem Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems. 219-242 2015 167 J. Optim. Theory Appl. 1 https://doi.org/10.1007/s10957-014-0635-2 db/journals/jota/jota167.html#DumitrescuQS15

Hamed Amini Andreea Minca Agnès Sulem Control of Interbank Contagion Under Partial Information. 1195-1219 2015 6 SIAM J. Financial Math. 1 https://doi.org/10.1137/140981538 db/journals/siamfm/siamfm6.html#AminiMS15

Bernt Øksendal Agnès Sulem Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty. 22-55 2014 161 J. Optim. Theory Appl. 1 https://doi.org/10.1007/s10957-012-0166-7 db/journals/jota/jota161.html#OksendalS14

Bernt Øksendal Agnès Sulem Tusheng Zhang Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection. 464-486 2014 39 Math. Oper. Res. 2 https://doi.org/10.1287/moor.2013.0602 db/journals/mor/mor39.html#OksendalSZ14

Bernt Øksendal Agnès Sulem Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes. 2254-2287 2012 50 SIAM J. Control. Optim. 4 https://doi.org/10.1137/100793931 db/journals/siamco/siamco50.html#OksendalS12

Zengjing Chen Agnès Sulem An integral representation theorem of g-expectations. 245-255 2011 2 Risk Decis. Anal. 4 https://doi.org/10.3233/RDA-2011-0047 db/journals/rda/rda2.html#ChenS11

Bernt Øksendal Agnès Sulem Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps. 2945-2976 2009 48 SIAM J. Control. Optim. 5 https://doi.org/10.1137/080739781 db/journals/siamco/siamco48.html#ksendalS09

Agnès Sulem Antonino Zanette Premia: A Numerical Platform for Pricing Financial Derivatives. 2009 2009 ERCIM News 78 http://ercim-news.ercim.eu/en78/special/premia-a-numerical-platform-for-pricing-financial-derivatives db/journals/ercim/ercim2009.html#SulemZ09

Jean-Philippe Chancelier Marouen Messaoud Agnès Sulem A policy iteration algorithm for fixed point problems with nonexpansive operators. 239-259 2007 65 Math. Methods Oper. Res. 2 https://doi.org/10.1007/s00186-006-0103-3 https://www.wikidata.org/entity/Q115149139 db/journals/mmor/mmor65.html#ChancelierMS07

Bernt Øksendal Agnès Sulem Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs. 1765-1790 2002 40 SIAM J. Control. Optim. 6 https://doi.org/10.1137/S0363012900376013 db/journals/siamco/siamco40.html#OksendalS02

Avner Bar-Ilan Agnès Sulem Explicit Solution of Inventory Problems with Delivery Lags. 709-720 1995 20 Math. Oper. Res. 3 https://doi.org/10.1287/moor.20.3.709 db/journals/mor/mor20.html#Bar-IlanS95

J. Frédéric Bonnans Agnès Sulem Pseudopower expansion of solutions of generalized equations and constrained optimization problems. 123-148 1995 70 Math. Program. https://doi.org/10.1007/BF01585932 db/journals/mp/mp70.html#BonnansS95

Agnès Sulem A Solvable One-Dimensional Model of a Diffusion Inventory System. 125-133 1986 11 Math. Oper. Res. 1 https://doi.org/10.1287/moor.11.1.125 db/journals/mor/mor11.html#Sulem86

Agnès Sulem Explicit Solution of a Two-Dimensional Deterministic Inventory Problem. 134-146 1986 11 Math. Oper. Res. 1 https://doi.org/10.1287/moor.11.1.134 db/journals/mor/mor11.html#Sulem86a

Hamed Amini Avner Bar-Ilan J. Frédéric Bonnans Zhongyuan Cao Jean-Philippe Chancelier Zengjing Chen Roxana Dumitrescu Miryana Grigorova Marouen Messaoud Andreea Minca Bernt Øksendal Marie Claire Quenez Antonino Zanette Tusheng Zhang