Optimal electricity demand response contracting with responsiveness incentives, 2018. ,

An Extended Mean Field Game for Storage in Smart Grids ,

URL : https://hal.archives-ouvertes.fr/hal-01740707

A quartet of semigroups for model specification, robustness, prices of risk, and model detection, Journal of the European Economic Association, vol.1, pp.68-123, 2003. ,

Credit risk premia and quadratic BSDEs with a single jump, International Journal of Theoretical and Applied Finance, vol.13, pp.1103-1129, 2010. ,

URL : https://hal.archives-ouvertes.fr/hal-00402313

Backward-forward stochastic differential equations, The Annals of Applied Probability, vol.3, pp.777-793, 1993. ,

Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration, 2018. ,

Quadratic BSDEs with L 2 -terminal data ,

, Krylov's inequality, Itô-Krylov's formula and some existence results, Annals of Probability, 2016.

Backward stochastic differential equations with stochastic monotone coefficients, International Journal of Stochastic Analysis, vol.4, pp.317-335, 2004. ,

Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient, Stochastic Processes and their Applications, vol.115, pp.1107-1129, 2005. ,

Backward stochastic differential equations and integral-partial differential equations, Stochastics: An International Journal of Probability and Stochastic Processes, vol.60, pp.57-83, 1997. ,

On convergence of semimartingales, Séminaire de Probabilités XXIV 1988/89, pp.188-193, 1990. ,

Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs, The Annals of Probability, vol.41, pp.1831-1863, 2013. ,

URL : https://hal.archives-ouvertes.fr/hal-00560153

Quadratic reflected BSDEs with unbounded obstacles, Stochastic processes and their applications, vol.122, pp.1155-1203, 2012. ,

On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples, 2016. ,

Bounded solutions to backward sdes with jumps for utility optimization and indifference hedging, The Annals of Applied Probability, vol.16, issue.4, pp.2027-2054, 2006. ,

BSDEs with stochastic lipschitz condition, CoFE Discussion Paper, 2000. ,

Mean field games and mean field type control theory, vol.101, 2013. ,

Conjugate Convex Functions in Optimal Stochastic Control, The Annals of Probability, vol.44, pp.384-404, 1973. ,

A stochastic control approach to a robust utility maximization problem, Stochastic analysis and applications, pp.125-151, 2007. ,

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations, Stochastic Processes and their applications, vol.111, pp.175-206, 2004. ,

URL : https://hal.archives-ouvertes.fr/hal-00103046

BSDEs with polynomial growth generators, International Journal of Stochastic Analysis, vol.13, pp.207-238, 2000. ,

URL : https://hal.archives-ouvertes.fr/hal-01547366

BSDEs with stochastic lipschitz condition and quadratic PDEs in hilbert spaces, Stochastic Processes and their Applications, vol.118, pp.818-838, 2008. ,

URL : https://hal.archives-ouvertes.fr/hal-00385595

BSDE with quadratic growth and unbounded terminal value, Probability Theory and Related Fields, vol.136, pp.604-618, 2006. ,

URL : https://hal.archives-ouvertes.fr/hal-00004619

Quadratic BSDEs with convex generators and unbounded terminal conditions, Probability Theory and Related Fields, vol.141, pp.543-567, 2008. ,

URL : https://hal.archives-ouvertes.fr/hal-00136605

Mean-field backward stochastic differential equations: a limit approach, The Annals of Probability, vol.37, pp.1524-1565, 2009. ,

Mean-field backward stochastic differential equations and related partial differential equations, Stochastic Processes and their Applications, vol.119, pp.3133-3154, 2009. ,

Notes on mean field games. notes from from P.-L. Lions' lectures at the college de france, 2012. ,

Second order mean field games with degenerate diffusion and local coupling, Nonlinear Differential Equations and Applications NoDEA, vol.22, pp.1287-1317, 2015. ,

URL : https://hal.archives-ouvertes.fr/hal-01049834

Probabilistic Theory of Mean Field Games with Applications I-II, 2018. ,

Reflected BSDEs with nonpositive jumps, and controller-and-stopper games, Stochastic Processes and their Applications, vol.125, pp.597-633, 2015. ,

URL : https://hal.archives-ouvertes.fr/hal-00853988

Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison, The Annals of Applied Probability, vol.18, pp.2041-2069, 2008. ,

Backward stochastic differential equations with reflection and Dynkin games, Ann. Probab, vol.24, issue.4, pp.2024-2056, 1996. ,

On the existence and uniqueness of solutions to FBSDEs in a nondegenerate case. Stochastic processes and their applications, vol.99, pp.209-286, 2002. ,

Backward SDEs with superquadratic growth, Probability Theory and Related Fields, vol.150, pp.145-192, 2011. ,

URL : https://hal.archives-ouvertes.fr/hal-00362685

Probabilités et potentiel, chapitres ia iv, hermann, 1975. ,

Stochastic differential utility, Econometrica: Journal of the Econometric Society, pp.353-394, 1992. ,

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles, Journal of Computational and Applied Mathematics, vol.296, pp.827-839, 2016. ,

URL : https://hal.archives-ouvertes.fr/hal-01114996

Generalized Dynkin games and doubly reflected BSDEs with jumps, Electronic Journal of Probability, vol.21, 2016. ,

URL : https://hal.archives-ouvertes.fr/hal-01388022

Backward stochastic differential equations and applications, Indifference pricing: theory and applications, pp.267-320, 2008. ,

A general result of existence and uniqueness of backward stochastic differential equations, Pitman Research Notes in Mathematics Series, pp.27-38, 1997. ,

Reflected solutions of backward SDE's, and related obstacle problems for PDE's. the Annals of Probability, pp.702-737, 1997. ,

Quadratic exponential semimartingales and application to BSDEs with jumps, 2016. ,

URL : https://hal.archives-ouvertes.fr/hal-01740692

Backward stochastic differential equations in finance, Mathematical finance, vol.7, pp.1-71, 1997. ,

Generalized BSDE driven by a Lévy process, International Journal of Stochastic Analysis, 2006. ,

Generalized bsde with two reflecting barriers. Random Operators and Stochastic Equations, vol.16, pp.357-382, 2008. ,

A tale of a Principal and Many, Many Agents. Mathematics of Operations Research, 2018. ,

URL : https://hal.archives-ouvertes.fr/hal-01481390

Optimal investment under relative performance concerns, Mathematical Finance, vol.25, pp.221-257, 2015. ,

Reflected backward stochastic differential equation with jumps and RCLL obstacle, Bulletin des sciences mathematiques, vol.132, pp.690-710, 2008. ,

General existence results for reflected BSDE and BSDE, Bulletin des Sciences Mathématiques, vol.135, pp.442-466, 2011. ,

Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth, Journal of Differential Equations, vol.254, pp.1500-1528, 2013. ,

Backward stochastic differential equation with two reflecting barriers and jumps, Stochastic Analysis and Applications, vol.23, pp.921-938, 2005. ,

Quadratic-exponential growth BSDEs with jumps and their Malliavin's differentiability. Stochastic Processes and their Applications, vol.128, pp.2083-2130, 2018. ,

A regression-based Monte Carlo method to solve backward stochastic differential equations, The Annals of Applied Probability, vol.15, pp.2172-2202, 2005. ,

A stochastic evans-aronsson problem, Transactions of the American Mathematical Society, vol.366, pp.903-929, 2014. ,

On the existence of classical solutions for stationary extended mean field games, Nonlinear Analysis: Theory, Methods & Applications, vol.99, pp.49-79, 2014. ,

A-priori estimates for stationary mean-field games, NHM, vol.7, issue.2, pp.303-314, 2012. ,

Mean field games and applications, Paris-Princeton lectures on mathematical finance, pp.205-266, 2010. ,

Robust utility maximization for complete and incomplete market models, Finance and Stochastics, vol.9, pp.151-176, 2005. ,

Double barrier backward SDEs with continuous coefficient, Pitman Research Notes in Mathematics Series, pp.161-176, 1997. ,

Equations différentielles stochastiques rétrogrades: Le cas localement lipschitzien, Ann. Inst. Henri Poincaré, vol.32, pp.645-659, 1996. ,

Backward-forward SDE's and stochastic differential games. Stochastic processes and their applications, vol.77, pp.1-15, 1998. ,

BSDE's with discontinuous barrier and application. Stochastics, An International Journal of Probability and Stochastic Processes, vol.74, pp.571-596, 2002. ,

BSDEs with two reflecting barriers: the general result, Probability theory and related fields, vol.132, pp.237-264, 2005. ,

Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis, Bulletin des sciences mathematiques, vol.134, pp.874-899, 2010. ,

Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator, International Journal of Stochastic Analysis, 2006. ,

Reflected BSDEs and mixed game problem. Stochastic processes and their applications, vol.85, pp.177-188, 2000. ,

Reflected backward SDEs with general jumps, Theory of Probability & Its Applications, vol.60, pp.263-280, 2016. ,

Reflected backward stochastic differential equation with jumps and random obstacle, Electronic Journal of Probability, vol.8, 2003. ,

Lp-solutions for reflected backward stochastic differential equations, Stochastics and Dynamics, vol.12, p.1150016, 2012. ,

BSDEs with two RCLL reflecting obstacles driven by brownian motion and poisson measure and a related mixed zero-sum game, Stochastic Processes and their Applications, vol.119, pp.2881-2912, 2009. ,

Robust control and model misspecification, Journal of Economic Theory, vol.128, issue.1, pp.45-90, 2006. ,

Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes, Journal of Computational and Applied Mathematics, vol.229, pp.230-239, 2009. ,

Utility maximization in incomplete markets, The Annals of Applied Probability, vol.15, pp.1691-1712, 2005. ,

Solution of forward-backward stochastic differential equations. Probability Theory and Related Fields, vol.103, pp.273-283, 1995. ,

An invariance principle in large population stochastic dynamic games, Journal of Systems Science and Complexity, vol.20, pp.162-172, 2007. ,

Large-population cost-coupled LQG problems with nonuniform agents: individual-mass behavior and decentralized \ varepsilon-Nash equilibria, IEEE transactions on automatic control, vol.52, pp.1560-1571, 2007. ,

Large population stochastic dynamic games: closed-loop Mckean-Vlasov systems and the nash certainty equivalence principle, Communications in Information & Systems, vol.6, issue.3, pp.221-252, 2006. ,

Robust utility maximization in a discontinuous filtration, 2012. ,

Optimal investment under multiple defaults risk: a BSDE-decomposition approach, The Annals of Applied Probability, vol.23, pp.455-491, 2013. ,

URL : https://hal.archives-ouvertes.fr/hal-00569230

On transforming the class of BMO-martingales by a change of law, Tohoku Mathematical Journal, Second Series, vol.31, pp.117-125, 1979. ,

A sufficient condition for the uniform integrability of exponential martingales, Mathematics reports, vol.2, pp.1-11, 1979. ,

Progressive enlargement of filtrations and backward stochastic differential equations with jumps, Journal of Theoretical Probability, vol.27, pp.683-724, 2014. ,

Reflected BSDEs with monotone generator, Electron. J. Probab, vol.17, pp.1-25, 2012. ,

Backward stochastic differential equations and partial differential equations with quadratic growth, Annals of Probability, pp.558-602, 2000. ,

, Reflected BSDE with superlinear quadratic coefficient. PROBABILITY AND MATHEMATICAL STATISTICS-WROCLAW UNIVERSITY, vol.22, pp.51-83, 2002.

Robust portfolio choice and indifference valuation, Mathematics of operations research, vol.39, pp.1109-1141, 2014. ,

Jeux à champ moyen. i-le cas stationnaire, Comptes Rendus Mathématique, vol.343, issue.9, pp.619-625, 2006. ,

Jeux à champ moyen. ii-horizon fini et contrôle optimal, Comptes Rendus Mathématique, vol.343, issue.10, pp.679-684, 2006. ,

Mean field games, Japanese journal of mathematics, vol.2, pp.229-260, 2007. ,

URL : https://hal.archives-ouvertes.fr/hal-00667356

Backward stochastic differential equations with continuous coefficient, Statistics & Probability Letters, vol.32, pp.425-430, 1997. ,

Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions, Advances in applied probability, vol.37, pp.134-159, 2005. ,

Penalization method for reflected backward stochastic differential equations with one rcll barrier, Statistics & probability letters, vol.75, pp.58-66, 2005. ,

Reflected BSDE with quadratic growth and unbounded terminal value, 2007. ,

Mean-field forward and backward SDEs with jumps and associated nonlocal quasilinear integral-PDEs, Stochastic Processes and their Applications, vol.128, pp.3118-3180, 2018. ,

Controlled mean-field backward stochastic differential equations with jumps involving the value function, Journal of Systems Science and Complexity, vol.29, pp.1238-1268, 2016. ,

Lp estimates for fully coupled FBSDEs with jumps, Stochastic Processes and their Applications, vol.124, pp.1582-1611, 2014. ,

Fully coupled mean-field FBSDEs with jumps and related optimal control problems, 2018. ,

Linear quadratic optimal control problems for mean-field backward stochastic differential equations, Applied Mathematics & Optimization, pp.1-28, 2017. ,

Cours au college de france, 2007. ,

Solving forward-backward stochastic differential equations explicitly-a four step scheme. Probability theory and related fields, vol.98, pp.339-359, 1994. ,

On well-posedness of forward-backward SDEs-a unified approach, The Annals of Applied Probability, vol.25, pp.2168-2214, 2015. ,

Mean-field forward-backward stochastic differential equations with jumps and storage problem in smart grids, 2019. ,

Reflected solutions of backward stochastic differential equations with continuous coefficient, Statistics & probability letters, vol.34, pp.347-354, 1997. ,

Exponential quadratic BSDEs with infinite activity jumps, 2019. ,

Stochastic quadratic BSDEs with jumps, 2019. ,

Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle, Abstract and Applied Analysis, 2014. ,

Quadratic semimartingale BSDEs under an exponential moments condition, Séminaire de Probabilités XLIV, pp.105-139, 2012. ,

Utility maximization in a jump market model, Stochastics: An International Journal of Probability and Stochastics Processes, vol.81, pp.1-27, 2009. ,

URL : https://hal.archives-ouvertes.fr/hal-01835198

A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem. Stochastic processes and their applications, vol.120, pp.1966-1995, 2010. ,

Maximum principles for optimal control of forwardbackward stochastic differential equations with jumps, SIAM Journal on Control and Optimization, vol.48, pp.2945-2976, 2009. ,

Forward-backward stochastic differential games and stochastic control under model uncertainty, Journal of Optimization Theory and Applications, vol.161, pp.22-55, 2014. ,

URL : https://hal.archives-ouvertes.fr/hal-01681150

BSDEs, weak convergence and homogenization of semilinear PDEs. In Nonlinear analysis, differential equations and control, pp.503-549, 1999. ,

Adapted solution of a backward stochastic differential equation, Systems Control Letters, vol.14, pp.55-61, 1990. ,

Forward-backward stochastic differential equations and quasilinear parabolic PDEs. Probability Theory and Related Fields, vol.114, pp.123-150, 1999. ,

Generalized BSDEs and nonlinear Neumann boundary value problems, Probability Theory and Related Fields, vol.110, pp.535-558, 1998. ,

Fully coupled forward-backward stochastic differential equations and applications to optimal control, SIAM Journal on Control and Optimization, vol.37, pp.825-843, 1999. ,

Quadratic BSDEs with jumps: a fixedpoint approach, Electronic Journal of Probability, vol.20, 2015. ,

URL : https://hal.archives-ouvertes.fr/hal-01245360

Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for pdies with a nonlinear neumann boundary condition, Journal of computational and applied mathematics, vol.233, pp.2027-2043, 2010. ,

Generalized reflected BSDE and an obstacle problem for PDEs with a nonlinear Neumann boundary condition, Stochastic analysis and applications, vol.24, issue.5, pp.1013-1033, 2006. ,

Pricing via utility maximization and entropy, Mathematical Finance, vol.10, pp.259-276, 2000. ,

Backward stochastic differential equations with jumps and related non-linear expectations. Stochastic processes and their applications, vol.116, pp.1358-1376, 2006. ,

Lévy processes and infinitely divisible distributions, 1999. ,

Duality theory for optimal investments under model uncertainty, Statistics & Decisions, vol.23, pp.199-217, 2005. ,

Maxmin expected utility with non-unique prior, In Uncertainty in Economic Theory. Routledge, pp.141-151, 2004. ,

URL : https://hal.archives-ouvertes.fr/hal-00753237

Optimal consumption and portfolio selection with stochastic differential utility, Journal of Economic Theory, vol.89, pp.68-126, 1999. ,

Necessary conditions for optimal control of forward-backward stochastic systems with random jumps, International Journal of Stochastic Analysis, 2012. ,

Maximum principle for forward-backward stochastic control system with random jumps and applications to finance, Journal of Systems Science and Complexity, vol.23, pp.219-231, 2010. ,

Necessary conditions for optimal control of stochastic systems with random jumps, SIAM Journal on Control and Optimization, vol.32, pp.1447-1475, 1994. ,

Solvability of backward stochastic differential equations with quadratic growth. Stochastic processes and their Applications, vol.118, pp.503-515, 2008. ,

Lp solutions of BSDEs with stochastic Lipschitz condition, International Journal of Stochastic Analysis, 2007. ,

Fully coupled FBSDE with brownian motion and poisson process in stopping time duration, Journal of the Australian Mathematical Society, vol.74, pp.249-266, 2003. ,

Backward stochastic differential equations with reflection and weak assumptions on the coefficients. Stochastic processes and their applications, vol.118, pp.968-980, 2008. ,

The adapted solution and comparison theorem for backward stochastic differential equations with poisson jumps and applications, Journal of Mathematical Analysis and Applications, vol.346, pp.345-358, 2008. ,

On Solutions of Forward-Backward Stochastic Differential Equations with Poisson Jumps ,

Finding adapted solutions of forward-backward stochastic differential equations: method of continuation, Probability Theory and Related Fields, vol.107, pp.537-572, 1997. ,

Forward-backward stochastic differential equations with mixed initial-terminal conditions, Transactions of the American Mathematical Society, vol.362, pp.1047-1096, 2010. ,

The wellposedness of FBSDEs, DISCRETE AND CONTINUOUS DYNAMI-CAL SYSTEMS SERIES B, vol.6, issue.4, p.927, 2006. ,

Forward-backward stochastic differential equations with Brownian motion and Poisson process, Acta Mathematicae Applicatae Sinica, vol.15, pp.433-443, 1999. ,

Linear-quadratic nonzero-sum differential game of backward stochastic differential equations, 27th Chinese Control Conference, pp.562-566, 2008. ,