Agnès Sulem

Finance · 2000–2014

A researcher in the Science corpus: 17 papers; trusts 18 researchers and is trusted by 21 researchers here, as inferred from the citation graph.

Subfields

• Finance — 49 citations into it; #1,802 of 10,518 by trust here, #2,835 by citations
• Management Science and Operations Research — 25 citations into it; #4,004 of 11,946 by trust here, #5,548 by citations
• Economics and Econometrics — 24 citations into it; #6,751 of 23,481 by trust here, #12,444 by citations
• Demography — 15 citations into it; #963 of 4,236 by trust here, #2,507 by citations
• Computational Theory and Mathematics — 5 citations into it; #5,649 of 12,182 by trust here, #7,142 by citations

Whom Agnès Sulem trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Yasushi Ishikawa
2. Bernt Øksendal
3. Mingxin Xu
4. Hans Föllmer
5. Harold J. Kushner
6. Marco Frittelli
7. Sure Mataramvura
8. Espen Robstad Jakobsen
9. Shige Peng
10. Alexander Schied

Who trusts Agnès Sulem overall

1. Miryana Grigorova
2. B. Larssen
3. Bernt Øksendal
4. Simo Särkkä
5. Thomas Kruse
6. Peter Imkeller
7. Fred Espen Benth
8. Marianne Akian
9. Yasushi Ishikawa
10. Marie Claire Quenez

Papers from Agnès Sulem's perspective

Ordered by how strongly the researchers Agnès Sulem trusts endorse each paper. Same corpus, a different order for every researcher.

1. Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
2. User’s guide to viscosity solutions of second order partial differential equations
3. A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations
4. Dynamic programming in stochastic control of systems with delay
5. Some Solvable Stochastic Control Problems With Delay
6. Risk measure pricing and hedging in incomplete markets
7. When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
8. Numerical Methods for Stochastic Control Problems in Continuous Time
9. Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
10. Dynamic utility indierence valuation via convex risk measures

Their papers

• BSDEs with jumps, optimization and applications to dynamic risk measures (2013) — 153 citations
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs (2001) — 123 citations
• Some Solvable Stochastic Control Problems With Delay (2000) — 168 citations
• Optimal Stochastic Impulse Control with Delayed Reaction (2008) — 61 citations
• Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance (2004) — 174 citations
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps (2012) — 83 citations
• Applied Stochastic Control of Jump Diffusions (2004) — 872 citations
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (2003) — 66 citations
• Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility (2001) — 103 citations
• Risk minimization in financial markets modeled by Itô-Lévy processes (2014) — 67 citations
• Generalized Dynkin games and doubly reflected BSDEs with jumps (2013) — 56 citations
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations (2011) — 135 citations
• RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (2009) — 47 citations
• A stochastic maximum principle for processes driven by fractional Brownian motion (2002) — 78 citations
• Optimal consumption and portfolio in a jump diffusion market (2001) — 52 citations
• Combined stochastic control and optimal stopping, and application to numerical approximation of combined stochastic and impulse control (2000) — 60 citations
• A maximum principle for optimal control of stochastic systems with delay, with applications to finance. (2000) — 143 citations