Bibliography

Major publications by the team in recent years

• 1A. Al Gerbi, B. Jourdain, E. Clément.
  Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators, in: Monte Carlo Method and Applications, July 2016, vol. 22, n^o 3, pp. 197-228, https://arxiv.org/abs/1508.06492.
  https://hal-enpc.archives-ouvertes.fr/hal-01188675
• 2A. Alfonsi.
  Affine diffusions and related processes: simulation, theory and applications, Bocconi and Springer Series, Mathematics statistics, finance and economics, Springer, 2015.
• 3A. Alfonsi, P. Blanc.
  Dynamic optimal execution in a mixed-market-impact Hawkes price model, in: Finance and Stochastics, January 2016, https://arxiv.org/abs/1404.0648. [ DOI : 10.1007/s00780-015-0282-y ]
  https://hal-enpc.archives-ouvertes.fr/hal-00971369
• 4A. Alfonsi, B. Jourdain, A. Kohatsu-Higa.
  Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme, in: Electronic Journal of Probability, 2015, https://arxiv.org/abs/1405.7007.
  https://hal-enpc.archives-ouvertes.fr/hal-00997301
• 5H. Amini, A. Minca, A. Sulem.
  Control of interbank contagion under partial information, in: SIAM Journal on Financial Mathematics, December 2015, vol. 6, n^o 1, 24 p.
  https://hal.inria.fr/hal-01027540
• 6V. Bally, L. Caramellino.
  Convergence and regularity of probability laws by using an interpolation method, in: Annals of Probability, 2017, vol. 45, n^o 2, pp. 1110–1159.
  https://hal-upec-upem.archives-ouvertes.fr/hal-01109276
• 7A. Bouselmi, D. Lamberton.
  The critical price of the American put near maturity in the jump diffusion model, in: SIAM Journal on Financial Mathematics, May 2016, vol. 7, n^o 1, pp. 236–272, https://arxiv.org/abs/1406.6615. [ DOI : 10.1137/140965910 ]
  https://hal-upec-upem.archives-ouvertes.fr/hal-00979936
• 8R. Dumitrescu, M.-C. Quenez, A. Sulem.
  A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with $E^f$-Expectations, in: SIAM Journal on Control and Optimization, 2016, vol. 54, n^o 4, pp. 2090-2115. [ DOI : 10.1137/15M1027012 ]
  https://hal.inria.fr/hal-01370425
• 9R. Dumitrescu, M.-C. Quenez, A. Sulem.
  Game Options in an Imperfect Market with Default, in: SIAM Journal on Financial Mathematics, January 2017, vol. 8, n^o 1, pp. 532 - 559. [ DOI : 10.1137/16M1109102 ]
  https://hal.inria.fr/hal-01614758

Publications of the year

Doctoral Dissertations and Habilitation Theses

• 10R. Chen.
  Dynamic optimal control for distress large financial networks and Mean field systems with jumps, Université Paris-Dauphine, July 2019.
  https://hal.inria.fr/tel-02434108

Articles in International Peer-Reviewed Journals

• 11A. Alfonsi, J. Corbetta, B. Jourdain.
  Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds, in: International Journal of Theoretical and Applied Finance, 2019, vol. 22, n^o 3, This paper is an updated version of a part of the paper https://hal.archives-ouvertes.fr/hal-01589581 (or https://arxiv.org/pdf/1709.05287.pdf ). [ DOI : 10.1142/S021902491950002X ]
  https://hal-enpc.archives-ouvertes.fr/hal-01963507
• 12A. Alfonsi, J. Corbetta, B. Jourdain.
  Sampling of probability measures in the convex order by Wasserstein projection, in: Annales de l'IHP - Probabilités et Statistiques, 2019, https://arxiv.org/abs/1709.05287, forthcoming.
  https://hal.archives-ouvertes.fr/hal-01589581
• 13V. Bally.
  Upper bounds for the function solution of the homogenuous 2D Boltzmann equation with hard potential, in: Annals of Applied Probability, 2019, vol. 29, pp. 1929 - 1961, https://arxiv.org/abs/1710.00695. [ DOI : 10.1214/18-AAP1451 ]
  https://hal-upec-upem.archives-ouvertes.fr/hal-02429468
• 14V. Bally, L. Caramellino.
  Total variation distance between stochastic polynomials and invariance principles, in: Annals of Probability, 2019, vol. 47, pp. 3762 - 3811, https://arxiv.org/abs/1705.05194 . [ DOI : 10.1214/19-AOP1346 ]
  https://hal-upec-upem.archives-ouvertes.fr/hal-02429560
• 15V. Bally, L. Caramellino, G. Poly.
  Non universality for the variance of the number of real roots of random trigonometric polynomials, in: Probability Theory and Related Fields, 2019, vol. 174, n^o 3-4, pp. 887-927, https://arxiv.org/abs/1711.03316. [ DOI : 10.1007/s00440-018-0869-2 ]
  https://hal.archives-ouvertes.fr/hal-01634848
• 16O. Bencheikh, B. Jourdain.
  Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean, in: ESAIM: Proceedings and Surveys, April 2019, vol. 65, pp. 219-235, https://arxiv.org/abs/1809.06838 - 14 pages. [ DOI : 10.1051/proc/201965219 ]
  https://hal.archives-ouvertes.fr/hal-01877002
• 17M. Briani, L. Caramellino, G. Terenzi, A. Zanette.
  Numerical stability of a hybrid method for pricing options, in: International Journal of Theoretical and Applied Finance, September 2019, 1950036 p. [ DOI : 10.1142/S0219024919500365 ]
  https://hal.archives-ouvertes.fr/hal-02380723
• 18L. Goudenège, A. Molent, A. Zanette.
  Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models, in: Computational Management Science, February 2019, vol. 16, n^o 1-2, pp. 217-248. [ DOI : 10.1007/s10287-018-0304-2 ]
  https://hal.archives-ouvertes.fr/hal-01940715
• 19H. Gérard, M. De Lara, J.-P. Chancelier.
  Equivalence Between Time Consistency and Nested Formula, in: Annals of Operations Research, May 2019, pp. 1-21, https://arxiv.org/abs/1711.08633. [ DOI : 10.1007/s10479-019-03276-1 ]
  https://hal-enpc.archives-ouvertes.fr/hal-01645564
• 20B. Jourdain, A. Kebaier.
  Non-asymptotic error bounds for The Multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient, in: Electronic Journal of Probability, 2019, vol. 24, n^o 12, pp. 1-34, https://arxiv.org/abs/1708.07064. [ DOI : 10.1214/19-EJP271 ]
  https://hal.archives-ouvertes.fr/hal-01577874
• 21B. Jourdain, A. Zhou.
  Existence of a calibrated Regime Switching Local Volatility model, in: Mathematical Finance, 2019, https://arxiv.org/abs/1607.00077, forthcoming. [ DOI : 10.1111/mafi.12231 ]
  https://hal.archives-ouvertes.fr/hal-01341212
• 22D. Lamberton, G. Terenzi.
  Variational formulation of American option prices in the Heston Model, in: SIAM Journal on Financial Mathematics, April 2019, vol. 10, n^o 1, pp. 261-368, https://arxiv.org/abs/1711.11311.
  https://hal-upec-upem.archives-ouvertes.fr/hal-01649496

Scientific Books (or Scientific Book chapters)

• 23B. Øksendal, A. Sulem.
  Applied Stochastic Control of Jump Diffusions, Springer, Universitext, 2019, 436 p, 3rd edition. [ DOI : 10.1007/978-3-030-02781-0 ]
  https://hal.archives-ouvertes.fr/hal-02411121

Other Publications

• 24A. Alfonsi, V. Bally.
  A generic construction for high order approximation schemes of semigroups using random grids, December 2019, https://arxiv.org/abs/1905.08548 - working paper or preprint.
  https://hal-enpc.archives-ouvertes.fr/hal-02406433
• 25A. Alfonsi, A. Cherchali, J. A. I. Acevedo.
  A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula, December 2019, https://arxiv.org/abs/1908.00811 - working paper or preprint.
  https://hal-enpc.archives-ouvertes.fr/hal-02406439
• 26A. Alfonsi, R. Coyaud, V. Ehrlacher, D. Lombardi.
  Approximation of Optimal Transport problems with marginal moments constraints, May 2019, https://arxiv.org/abs/1905.05663 - working paper or preprint.
  https://hal.archives-ouvertes.fr/hal-02128374
• 27H. Amini, R. Chen, A. Minca, A. Sulem.
  A dynamic contagion risk model with recovery features, 2019, working paper or preprint. [ DOI : 10.2139/ssrn.3435257 ]
  https://hal.inria.fr/hal-02421342
• 28V. Bally, L. Caramellino.
  Transfer of regularity for Markov semigroups, January 2020, working paper or preprint.
  https://hal-upec-upem.archives-ouvertes.fr/hal-02429530
• 29V. Bally, L. Caramellino, G. Poly.
  Regularization lemmas and convergence in total variation, January 2020, working paper or preprint.
  https://hal-upec-upem.archives-ouvertes.fr/hal-02429512
• 30O. Bencheikh, B. Jourdain.
  Weak and strong error analysis for mean-field rank based particle approximations of one dimensional viscous scalar conservation law, October 2019, https://arxiv.org/abs/1910.11237 - 47 pages.
  https://hal.archives-ouvertes.fr/hal-02332760
• 31R. Chen, R. Dumitrescu, A. Minca, A. Sulem.
  Mean field BSDEs and global dynamic risk measures, December 2019, working paper or preprint. [ DOI : 10.2139/ssrn.3446360 ]
  https://hal.inria.fr/hal-02421316
• 32M. Grigorova, M.-C. Quenez, A. Sulem.
  American options in a non-linear incomplete market model with default, February 2019, working paper or preprint.
  https://hal.archives-ouvertes.fr/hal-02025835
• 33M. Grigorova, M.-C. Quenez, A. Sulem.
  European options in a non-linear incomplete market model with default, February 2019, working paper or preprint.
  https://hal.archives-ouvertes.fr/hal-02025833
• 34B. Jourdain, T. Lelièvre, P.-A. Zitt.
  Convergence of metadynamics: discussion of the adiabatic hypothesis, April 2019, https://arxiv.org/abs/1904.08667 - working paper or preprint.
  https://hal.archives-ouvertes.fr/hal-02104961
• 35B. Jourdain, G. Pagès.
  Convex order, quantization and monotone approximations of ARCH models, October 2019, https://arxiv.org/abs/1910.00799 - working paper or preprint.
  https://hal.archives-ouvertes.fr/hal-02304190
• 36B. Lapeyre, J. Lelong.
  Neural network regression for Bermudan option pricing, December 2019, https://arxiv.org/abs/1907.06474 - working paper or preprint.
  http://hal.univ-grenoble-alpes.fr/hal-02183587

References in notes

• 37A. Ahdida, A. Alfonsi, E. Palidda.
  Smile with the Gaussian term structure model, in: Journal of Computational Finance, 2017, https://arxiv.org/abs/1412.7412.
  https://hal.archives-ouvertes.fr/hal-01098554
• 38A. Al Gerbi, B. Jourdain, E. Clément.
  Asymptotics for the normalized error of the Ninomiya-Victoir scheme, in: Stochastic Processes and their Applications, 2018, vol. 128, n^o 6, pp. 1889-1928.
  https://hal-enpc.archives-ouvertes.fr/hal-01259915
• 39A. Al Gerbi, B. Jourdain, E. Clément.
  Ninomiya-Victoir scheme : Multilevel Monte-Carlo estimators and discretization of the involved Ordinary Differential Equations, in: ESAIM: Proceedings and Surveys, November 2017, vol. 59, pp. 1-14, https://arxiv.org/abs/1612.07017.
  https://hal.archives-ouvertes.fr/hal-01421337
• 40A. Alfonsi, P. Blanc.
  Extension and calibration of a Hawkes-based optimal execution model, in: Market microstructure and liquidity, August 2016, https://arxiv.org/abs/1506.08740. [ DOI : 10.1142/S2382626616500052 ]
  https://hal-enpc.archives-ouvertes.fr/hal-01169686
• 41A. Alfonsi, J. Corbetta, B. Jourdain.
  Evolution of the Wasserstein distance between the marginals of two Markov processes, in: Bernoulli, 2018, vol. 24, n^o 4A, pp. 2461-2498.
  https://hal.archives-ouvertes.fr/hal-01390887
• 42A. Alfonsi, M. Hayashi, A. Kohatsu-Higa.
  Parametrix Methods for One-Dimensional Reflected SDEs, in: Modern Problems of Stochastic Analysis and StatisticsSelected Contributions In Honor of Valentin Konakov, Springer, November 2017, vol. Springer Proceedings in Mathematics & Statistics, n^o 208.
  https://hal-enpc.archives-ouvertes.fr/hal-01670011
• 43A. Alfonsi, A. Kebaier, C. Rey.
  Maximum Likelihood Estimation for Wishart processes, in: Stochastic Processes and their Applications, November 2016, https://arxiv.org/abs/1508.03323. [ DOI : 10.1016/j.spa.2016.04.026 ]
  https://hal-enpc.archives-ouvertes.fr/hal-01184310
• 44A. Alfonsi, A. Schied, F. Klöck.
  Multivariate transient price impact and matrix-valued positive definite functions, in: Mathematics of Operations Research, March 2016, https://arxiv.org/abs/1310.4471. [ DOI : 10.1287/moor.2015.0761 ]
  https://hal-enpc.archives-ouvertes.fr/hal-00919895
• 45H. Amini, R. Cont, A. Minca.
  Resilience to Contagion in Financial Networks, in: Mathematical Finance, 2013.
• 46H. Amini, A. Minca, A. Sulem.
  Optimal equity infusions in interbank networks, in: Journal of Financial Stability, August 2017, vol. 31, pp. 1 - 17. [ DOI : 10.1016/j.jfs.2017.05.008 ]
  https://hal.inria.fr/hal-01614759
• 47A. Arnold, E. Carlen, Q. Ju.
  Large-time behavior of non-symmetric Fokker-Planck type equations, in: Communications on Stochastic Analysis, 2008, vol. 2, n^o 1, pp. 153-175.
• 48R. Assaraf, B. Jourdain, T. Lelièvre, R. Roux.
  Computation of sensitivities for the invariant measure of a parameter dependent diffusion, in: Stochastics and Partial Differential Equations: Analysis and Computations, October 2017, pp. 1-59, https://arxiv.org/abs/1509.01348. [ DOI : 10.1007/s40072-017-0105-6 ]
  https://hal.archives-ouvertes.fr/hal-01192862
• 49V. Bally, L. Caramellino.
  Asymptotic development for the CLT in total variation distance, in: Bernoulli, 2016, vol. 22, pp. 2442-2485.
  https://hal-upec-upem.archives-ouvertes.fr/hal-01104866
• 50V. Bally, L. Caramellino.
  Regularity of Wiener functionals under a Hörmander type condition of order one, in: Annals of Probability, 2017, vol. 45, n^o 3, pp. 1488-1511.
  https://hal-upec-upem.archives-ouvertes.fr/hal-01413556
• 51V. Bally, L. Caramellino, P. Pigato.
  Diffusions under a local strong Hörmander condition. Part I: density estimates, December 2016, preprint.
  https://hal-upec-upem.archives-ouvertes.fr/hal-01413546
• 52V. Bally, L. Caramellino, P. Pigato.
  Diffusions under a local strong Hörmander condition. Part II: tube estimates, July 2016, preprint.
  https://hal.archives-ouvertes.fr/hal-01407420
• 53V. Bally, L. Caramellino, G. Poly.
  Convergence in distribution norms in the CLT for non identical distributed random variables, January 2017, preprint.
  https://hal-upec-upem.archives-ouvertes.fr/hal-01413548
• 54V. Bally, A. Kohatsu-Higa.
  A probabilistic interpretation of the parametrix method, in: Annals of Applied Probability, 2015, vol. 25, pp. 3095-3138.
  https://hal.archives-ouvertes.fr/hal-00926479
• 55V. Bally, V. Rabiet.
  Asymptotic behavior for multi-scale PDMP's, April 2015, preprint.
  https://hal.archives-ouvertes.fr/hal-01144107
• 56V. Bally, C. Rey.
  Approximation of Markov semigroups in total variation distance, in: Electronic Journal of Probability, 2016, vol. 21, n^o 12.
  https://hal-upec-upem.archives-ouvertes.fr/hal-01110015
• 57M. Beiglböck, P.-H. Labordère, F. Penkner.
  Model-independent bounds for option prices - a mass transport approach, in: Finance Stoch., 2013, vol. 17, n^o 3, pp. 477-501.
• 58R. Chen, A. Minca, A. Sulem.
  Optimal connectivity for a large financial network, in: ESAIM: Proceedings and Surveys, 2017, vol. 59, pp. 43 - 55, Editors : B. Bouchard, E. Gobet and B. Jourdain.
  https://hal.inria.fr/hal-01618701
• 59Q. Dai, K. J. Singleton.
  Specification Analysis of Affine Term Structure Models, in: The Journal of Finance, 2000, vol. 55, n^o 5, pp. 1943–1978.
  http://dx.doi.org/10.1111/0022-1082.00278
• 60D. Duffie, D. Filipović, W. Schachermayer.
  Affine processes and applications in finance, in: Ann. Appl. Probab., 2003, vol. 13, n^o 3, pp. 984–1053.
  http://dx.doi.org/10.1214/aoap/1060202833
• 61R. Dumitrescu, M. Grigorova, M.-C. Quenez, A. Sulem.
  BSDEs with default jump, in: Computation and Combinatorics in Dynamics, Stochastics and Control - The Abel Symposium, Rosendal, Norway August 2016, E. Celledoni, G. D. Nunno, K. Ebrahimi-Fard, H. Munthe-Kaas (editors), The Abel Symposia book series, Springer, 2018, vol. 13. [ DOI : 10.1007/978-3-030-01593-0 ]
  https://hal.inria.fr/hal-01799335
• 62R. Dumitrescu, C. Labart.
  Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles, in: Journal of Mathematical Analysis and applications, October 2016, vol. 442, n^o 1, pp. 206-243, https://arxiv.org/abs/1406.3612.
  https://hal.archives-ouvertes.fr/hal-01006131
• 63R. Dumitrescu, C. Labart.
  Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles, in: Journal of Computational and Applied Mathematics, April 2016, vol. 296, pp. 827-839, https://arxiv.org/abs/1502.02888.
  https://hal.archives-ouvertes.fr/hal-01114996
• 64R. Dumitrescu, M.-C. Quenez, A. Sulem.
  Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems, in: Journal of Optimization Theory and Applications, 2015, vol. 167, n^o 1, 23 p. [ DOI : 10.1007/s10957-014-0635-2 ]
  https://hal.inria.fr/hal-01096501
• 65R. Dumitrescu, M.-C. Quenez, A. Sulem.
  Generalized Dynkin games and doubly reflected BSDEs with jumps, in: Electronic Journal of Probability, 2016. [ DOI : 10.1214/16-EJP4568 ]
  https://hal.inria.fr/hal-01388022
• 66R. Dumitrescu, M.-C. Quenez, A. Sulem.
  Mixed generalized Dynkin game and stochastic control in a Markovian framework, in: Stochastics, 2016, vol. 89, n^o 1, 30 p.
  https://hal.inria.fr/hal-01417203
• 67R. Dumitrescu, M.-C. Quenez, A. Sulem.
  American Options in an Imperfect Complete Market with Default, in: ESAIM: Proceedings and Surveys, 2018, pp. 93–110. [ DOI : 10.1051/proc/201864093 ]
  https://hal.inria.fr/hal-01614741
• 68N. El Karoui, V. Lacoste.
  Multifactor models of the term structure of interest rates, 1992, Preprint University of Paris 6.
• 69A. Figalli.
  Existence and uniqueness for martingale solutions of SDEs with rough or degenerate coefficients, in: Journal of Functional Analysis, 2008, vol. 254, pp. 109–153.
• 70C. Fontana, B. Øksendal, A. Sulem.
  Market viability and martingale measures under partial information, in: Methodology and Computing in Applied Probability, 2015, vol. 17, 24 p. [ DOI : 10.1007/s11009-014-9397-4 ]
  https://hal.inria.fr/hal-00789517
• 71J. Fontbona, B. Jourdain.
  A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations, in: Annals of Probability, February 2016, vol. 44, n^o 1, pp. 131-170, https://arxiv.org/abs/1107.3300.
  https://hal.archives-ouvertes.fr/hal-00608977
• 72N. Fournier, B. Jourdain.
  Stochastic particle approximation of the Keller-Segel equation and two-dimensional generalization of Bessel processes, in: The Annals of Applied Probability : an official journal of the institute of mathematical statistics, November 2017, vol. 27, n^o 5, pp. 2807-2861, https://arxiv.org/abs/1507.01087.
  https://hal-enpc.archives-ouvertes.fr/hal-01171481
• 73J. Garnier, G. Papanicolaou, T. Yang.
  Large deviations for a mean field model of systemic risk, in: SIAM Journal on Financial Mathematics, 2013, vol. 41, n^o 1, pp. 151–184.
• 74J. Guyon, P. Henry-Labordère.
  Being particular about calibration, in: Risk, January 2012.
• 75Y. Hu, B. Øksendal, A. Sulem.
  Singular mean-field control games, in: Stochastic Analysis and Applications, June 2017, vol. 35, n^o 5, pp. 823 - 851. [ DOI : 10.1080/07362994.2017.1325745 ]
  https://hal.inria.fr/hal-01614747
• 76B. Jourdain, J. Reygner.
  The small noise limit of order-based diffusion processes, in: Electronic Journal of Probability, March 2014, vol. 19, n^o 29, pp. 1-36, https://arxiv.org/abs/1307.0490. [ DOI : 10.1214/EJP.v19-2906 ]
  https://hal-enpc.archives-ouvertes.fr/hal-00840185
• 77B. Jourdain, J. Reygner.
  Capital distribution and portfolio performance in the mean-field Atlas model, in: Annals of Finance, May 2015, vol. 11, n^o 2, pp. 151-198, https://arxiv.org/abs/1312.5660. [ DOI : 10.1007/s10436-014-0258-5 ]
  https://hal-enpc.archives-ouvertes.fr/hal-00921151
• 78B. Jourdain, J. Reygner.
  Optimal convergence rate of the multitype sticky particle approximation of one-dimensional diagonal hyperbolic systems with monotonic initial data, in: Discrete and Continuous Dynamical Systems - Series A, September 2016, vol. 36, n^o 9, pp. 4963-4996, https://arxiv.org/abs/1507.01085. [ DOI : 10.3934/dcds.2016015 ]
  https://hal-enpc.archives-ouvertes.fr/hal-01171261
• 79D. Lépingle.
  Euler scheme for reflected stochastic differential equations, in: Math. Comput. Simulation, 1995, vol. 38, n^o 1-3, pp. 119–126, Probabilités numériques (Paris, 1992).
  http://dx.doi.org/10.1016/0378-4754(93)E0074-F
• 80A. Minca.
  Modélisation mathématique de la contagion de défaut; Mathematical modeling of financial contagion, Université Pierre et Marie Curie, Paris 6, September 5 2011.
• 81A. Minca, A. Sulem.
  Optimal Control of Interbank Contagion Under Complete Information, in: Statistics and Risk Modeling, 2014, vol. 31, n^o 1, pp. 1001-1026. [ DOI : 10.1524/Strm.2014.5005 ]
  https://hal.inria.fr/hal-00916695
• 82S. Ninomiya, N. Victoir.
  Weak approximation of stochastic differential equations and application to derivative pricing, in: Applied Mathematical Finance, 2008, vol. 15, pp. 107-121.
• 83M.-C. Quenez, A. Sulem.
  Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps, in: Stochastic Processes and their Applications, September 2014, vol. 124, n^o 9, 23 p, https://arxiv.org/abs/1212.6744.
  https://hal.inria.fr/hal-00773708
• 84B. Øksendal, A. Sulem.
  Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty, in: Journal of Optimization Theory and Applications, April 2014, vol. 161, n^o 1, pp. 22 - 55. [ DOI : 10.1007/s10957-012-0166-7 ]
  https://hal.inria.fr/hal-01681150
• 85B. Øksendal, A. Sulem.
  Dynamic Robust Duality in Utility Maximization, in: Applied Mathematics and Optimization, 2016, pp. 1-31.
  https://hal.inria.fr/hal-01406663
• 86B. Øksendal, A. Sulem.
  Optimal control of predictive mean-field equations and applications to finance, in: Springer Proceedings in Mathematics & Statistics, Stochastic of Environmental and Financial Economics, Springer Verlag, 2016, vol. 138, pp. 301–320. [ DOI : 10.1007/978-3-319-23425-0 ]
  https://hal.inria.fr/hal-01406649