Biography
Roxana Dumitrescu joined the Mathematics Department in November 2016 as a Lecturer in Financial Mathematics.
Before that, she was a Postdoc researcher in the Department of Mathematics at Humboldt University (Berlin) and a member of the Research Training Group "Stochastic Analysis with Applications in Finance, Physics and Biology" (2015-2016).
She defended her PhD in Mathematics at University Dauphine in Paris (September 2015). During her PhD studies, she was a member of the research team in Financial Mathematics - "Mathrisk" - (the National French Institute for Research in Computer Science and Automatic Control, INRIA Paris).
Research interests
Her research interests mainly focus on stochastic control, optimal stopping, backward stochastic differential equations, Lévy processes and numerical methods.
Further information
Research profile & publications
Personal Website
-
Bouveret, G., Dumitrescu, R. & Tankov, P., 7 Feb 2022, (E-pub ahead of print) In: Operations Research Perspectives. 9, 100225. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.orp.2022.100225
-
Dumitrescu, R., Leutscher, M. & Tankov, P., 2021, In: Electronic Journal Of Probability. 26, 157. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1214/21-EJP713
-
Bouveret, G., Dumitrescu, R. & Tankov, P., 6 Jul 2020, In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION. 58, 4, p. 1795–1821 27 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1137/18M1233480
-
Bouveret, G., Dumitrescu, R. & Tankov, P., 6 Jul 2020, (E-pub ahead of print) In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION. 58, 4, p. 1795-1821 27 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1137/18M1233480
-
Dumitrescu, R-L., Quenez, M-C. & Sulem, A., 24 Aug 2016, In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1137/15M1027012
-
Dumitrescu, R-L., Quenez, M-C. & Sulem, A., 25 Oct 2016, (E-pub ahead of print) In: Electronic Journal Of Probability. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1214/16-EJP4568
-
Bouveret, G., Dumitrescu, R. & Tankov, P., 14 Dec 2018, (E-pub ahead of print) p. 1795–1821, 27 p. (SIAM Journal on Control and Optimization). Research output: Working paper/Preprint › Working paper
-
Dumitrescu, R., Reisinger, C. & Zhang, Y., 5 Jul 2019, (E-pub ahead of print) In: APPLIED MATHEMATICS AND OPTIMIZATION. 2019, 43 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1007/s00245-019-09591-0
-
Dumitrescu, R., Grigorova, M., Quenez, M. C. & Sulem, A., 14 Jan 2018, (E-pub ahead of print) Computation and Combinatorics in Dynamics, Stochastics and Control. Springer, Cham, Vol. 13. p. 233-263 31 p. Research output: Chapter in Book/Report/Conference proceeding › Conference paper › peer-review. DOIs: https://doi.org/10.1007/978-3-030-01593-0_9
-
Dumitrescu, R., Øksendal, B. & Sulem, A., Mar 2018, In: Journal of Optimization Theory and Applications. 176, 3, p. 549-584 26 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1007/s10957-018-1243-3