Mean-field backward stochastic differential equations and applications, 2019. ,
A unified approach to systemic risk measures via acceptance sets, Mathematical Finance, vol.29, issue.1, pp.329-367, 2019. ,
The phase transition in inhomogeneous random graphs, Random Structures & Algorithms, vol.31, issue.1, pp.3-122, 2007. ,
Mean-field backward stochastic differential equations. A limit approach, The Annals of Probability, vol.37, issue.4, 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. ,
, Mean field games and systemic risk, 2013.
Interbank tiering and money center banks, Journal of Financial Intermediation, 2014. ,
, Probabilité et Potentiel, Chap. I-IV, 1975.
Reflected backward SDEs and American options, Numerical methods in finance, vol.13, pp.215-231, 1997. ,
Stability in a model of interbank lending, SIAM Journal on Financial Mathematics, vol.4, issue.1, pp.784-803, 2013. ,
Measures of systemic risk, SIAM Journal on Financial Mathematics, 8, vol.1, pp.672-708, 2017. ,
Large deviations for a mean field model of systemic risk, SIAM Journal on Financial Mathematics, vol.4, issue.1, pp.151-184, 2013. ,
URL : https://hal.archives-ouvertes.fr/hal-00839500
Diversification in financial networks may increase systemic risk, Handbook on Systemic Risk, p.432, 2013. ,
Reflected backward stochastic differential equation with jumps and random obstacle, Electronic Journal of Probability, vol.8, pp.1-20, 2003. ,
, Convex Analysis and Minimization Algorithms II Grundlehren der mathematischen Wissenchaften, p.306
Controlled mean-field backward stochastic differential equations with jumps involving the value function, Journal of Systems Science and Complexity, pp.1-31, 2016. ,
BSDEs with jumps, optimization and applications to dynamic risk measures, Stochastic Processes and Their Applications, vol.123, pp.0-29, 2013. ,
URL : https://hal.archives-ouvertes.fr/hal-00709632
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps, Stochastic Processes and Their Applications, vol.124, pp.3031-3054, 2014. ,
URL : https://hal.archives-ouvertes.fr/hal-00780175
Backward stochastic differential equations with jumps and related non-linear expectations, Stochastic Processes and Their Applications, vol.116, pp.1358-1376, 2006. ,
Necessary conditions for optimal control of stochastic systems with random jumps, SIAM Journal on Control and Optimization, vol.32, pp.1447-1475, 1994. ,
Survey of measurable selection theorems, SIAM Journal on Control and Optimization, pp.859-903, 1977. ,