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Agnès Sulem

Applied Stochastic Control of Jump Diffusions
2005 · Øksendal, Bernt K. 1945-, Sulem, Agnès, et al. · Universitext · 883
Applied Stochastic Control of Jump Diffusions
2007 · Bernt Øksendal, Agnès Sulem · Springer eBooks · 596
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
2002 · Bernt Oksendal, Agnès Sulem · SIAM Journal on Control and Optimization · 184
On an Investment-Consumption Model with Transaction Costs
1996 · Marianne Akian, José Luis Menaldi, et al. · SIAM Journal on Control and Optimization · 180
Applied Stochastic Control of Jump Diffusions
2019 · Bernt Øksendal, Agnès Sulem · Universitext · 169
Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance
2004 · N. C. Framstad, B. Øksendal, et al. · Journal of Optimization Theory and Applications · 160
BSDEs with jumps, optimization and applications to dynamic risk measures
2013 · Marie-Claire Quenez, Agnès Sulem · Stochastic Processes and their Applications · 151
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Some Solvable Stochastic Control Problems With Delay
2000 · Ismail Elsanosi, Bernt Øksendal, et al. · Stochastics and stochastics reports · 149
Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
2009 · Bernt Øksendal, Agnès Sulem · SIAM Journal on Control and Optimization · 125
A maximum principle for optimal control of stochastic systems with delay, with applications to finance
2000 · Bernt Øksendal, Agnès Sulem · NORA - Norwegian Open Research Archives · 117
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Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
2011 · Bernt Øksendal, Agnès Sulem, et al. · Advances in Applied Probability · 113
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
2004 · Francesca Biagini, Bernt Øksendal, et al. · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 104
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Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
2001 · Nils Chr. Framstad, Bernt Øksendal, et al. · Journal of Mathematical Economics · 102
A Solvable One-Dimensional Model of a Diffusion Inventory System
1986 · Agnès Sulem · Mathematics of Operations Research · 95
Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
2001 · Marianne Akian, Agnès Sulem, et al. · Mathematical Finance · 86
Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty
2012 · Bernt Øksendal, Agnès Sulem · Journal of Optimization Theory and Applications · 73
A stochastic maximum principle for processes driven by fractional Brownian motion
2002 · Francesca Biagini, Yaozhong Hu, et al. · Stochastic Processes and their Applications · 68
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
2014 · Marie-Claire Quenez, Agnès Sulem · Stochastic Processes and their Applications · 61
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Optimal Consumption and Portfolio in a Black–scholes Market Driven by Fractional Brownian Motion
2003 · YAOZHONG HU, BERNT ØKSENDAL, et al. · Infinite Dimensional Analysis Quantum Probability and Related Topics · 56
Time-to-build and capacity choice
2002 · Avner Bar-Ilan, Agnès Sulem, et al. · Journal of Economic Dynamics and Control · 56
Optimal Stochastic Impulse Control with Delayed Reaction
2007 · Bernt Øksendal, Agnès Sulem · Applied Mathematics & Optimization · 51
Explicit Solution of Inventory Problems with Delivery Lags
1995 · Avner Bar-Ilan, Agnès Sulem · Mathematics of Operations Research · 48
Combined stochastic control and optimal stopping, and application to numerical approximation of combined stochastic and impulse control
2000 · Jean‐Philippe Chancelier, Bernt Øksendal, et al. · NORA - Norwegian Open Research Archives · 46
Utility Maximization in an Insider Influenced Market
2006 · Arturo Kohatsu‐Higa, Agnès Sulem · Mathematical Finance · 45
Generalized Dynkin games and doubly reflected BSDEs with jumps
2016 · Roxana Dumitrescu, Marie-Claire Quenez, et al. · Electronic Journal of Probability · 42
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Works count: 209
Citation count: 4,730
H-index: 31
I10-index: 62
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