Edit Profile El Karoui, Nicole Compute Distance To: Compute Author ID: el-karoui.nicole Published as: El Karoui, N.; El Karoui, Nicole; El Karoui, Nicole; El-Karoui, N.; El-Karoui, Nicole; Karoui, N.; Karoui, N. El; Karoui, Nicole; Karoui, Nicole El Homepage: http://www.cmap.polytechnique.fr/~elkaroui/elkaroui2.html External Links: MGP · Wikidata · dblp · GND Documents Indexed: 111 Publications since 1970, including 7 Books Biographic References: 1 Publication all top 5 Co-Authors 13 single-authored 13 Jeanblanc, Monique 10 Reinhard, Hervé 9 Barrieu, Pauline M. 9 Karatzas, Ioannis 8 Quenez, Marie-Claire 7 Jiao, Ying 6 Loisel, Stéphane 6 Roynette, Bernard 5 Lepeltier, Jean-Pierre 3 Bonami, Aline 3 Gobet, Emmanuel 3 Marchal, Bernard 3 Nguyen Huu Du 3 Pardoux, Etienne 3 Peng, Shige 3 Salhi, Yahia 2 Arnold, Séverine 2 Bensusan, Harry 2 Blanchet-Scalliet, Christophette 2 Bouchaud, Jean-Philippe 2 Boumezoued, Alexandre 2 Cont, Rama 2 Costantini, Cristina 2 Geman, Hélyette 2 Hamadene, Saïd 2 Hardy, Héloïse Labit 2 Kurtz, David C. 2 Lacoste, Vincent 2 Martellini, Lionel 2 Mazliak, Laurent 2 Meziou, Asma 2 Mrad, Mohamed 2 Potters, Marc 2 Ravanelli, Claudia 2 Rochet, Jean-Charles 2 Sagna, Nicolas 2 Yor, Marc 1 Bank, Peter 1 Barreiu, P. 1 Benaïm, Michel 1 Biais, Bruno 1 Bickel, Peter John 1 Björk, Tomas 1 Blake, David 1 Bouchard, Bruno 1 Carraro, Laurent 1 Cazanave, Nicolas 1 Chaleyat-Maurel, Mireille 1 Cvitanić, Jakša 1 Durrleman, Valdo 1 Föllmer, Hans 1 Gerardi, Anna 1 Hillairet, Caroline 1 Huang, Shujiao 1 Jouini, Elyès 1 Kaakaï, Sarah 1 Kapoudjian, Christophe 1 MacMinn, Richard D. 1 Matoussi, Anis 1 Méléard, Sylvie 1 Meyer, Paul-André 1 Millet, Annie 1 Obloj, Jan K. 1 Prigent, Jean-Luc 1 Roelly, Sylvie 1 Rouge, Richard 1 Shreve, Steven E. 1 Touzi, Nizar 1 Vedani, Julien 1 Weidenfeld, Gerard 1 Zargari, Behnaz all top 5 Serials 8 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A 6 The Annals of Probability 5 Insurance Mathematics & Economics 5 Stochastic Processes and their Applications 5 Mathematical Finance 4 The Annals of Applied Probability 3 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique 3 Finance and Stochastics 3 Comptes Rendus. Mathématique. Académie des Sciences, Paris 3 SIAM Journal on Financial Mathematics 2 SIAM Journal on Control and Optimization 2 Journal of Economic Dynamics & Control 2 Comptes Rendus de l’Académie des Sciences. Série I 2 Stochastics and Stochastics Reports 2 Quantitative Finance 2 Lecture Notes in Mathematics 1 Stochastics 1 Applied Mathematics and Optimization 1 Journal of Applied Probability 1 Journal of Mathematical Economics 1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 1 Probability and Mathematical Statistics 1 Stochastic Analysis and Applications 1 Acta Applicandae Mathematicae 1 Probability Theory and Related Fields 1 Proceedings of the National Academy of Sciences of the United States of America 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational and Applied Mathematics 1 Applied Mathematical Finance 1 Applied Stochastic Models in Business and Industry 1 Scandinavian Actuarial Journal 1 Astérisque 1 The Journal of Computational Finance 1 European Actuarial Journal all top 5 Fields 81 Probability theory and stochastic processes (60-XX) 48 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 24 Systems theory; control (93-XX) 7 Calculus of variations and optimal control; optimization (49-XX) 7 Statistics (62-XX) 6 General and overarching topics; collections (00-XX) 6 Operations research, mathematical programming (90-XX) 5 Partial differential equations (35-XX) 2 Functional analysis (46-XX) 1 Potential theory (31-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 94 Publications have been cited 3,020 times in 2,227 Documents Cited by ▼ Year ▼ Backward stochastic differential equations in finance. Zbl 0884.90035El Karoui, N.; Peng, S.; Quenez, M. C. 849 1997 Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Zbl 0899.60047El Karoui, N.; Kapoudjian, C.; Pardoux, E.; Peng, S.; Quenez, M. C. 249 1997 Changes of numéraire, changes of probability measure and option pricing. Zbl 0829.90007Geman, Hélyette; El Karoui, Nicole; Rochet, Jean-Charles 169 1995 Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010El Karoui, Nicole; Quenez, Marie-Claire 152 1995 Pricing via utility maximization and entropy. Zbl 1052.91512Rouge, Richard; El Karoui, Nicole 110 2000 Robustness of the Black and Scholes formula. Zbl 0910.90008El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 102 1998 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037Barrieu, Pauline; El Karoui, Nicole 100 2005 Les aspects probabilistes du contrôle stochastique. Zbl 0472.60002El Karoui, N. 100 1981 BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534El-Karoui, N.; Hamadène, S. 66 2003 Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique 64 1987 A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064El Karoui, N.; Huang, S. J. 63 1997 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038El Karoui, N.; Peng, S.; Quenez, M. C. 61 2001 Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200Barrieu, Pauline; El Karoui, Nicole 48 2009 Optimization of consumption with labor income. Zbl 0930.60050El Karoui, Nicole; Jeanblanc-Picqué, Monique 48 1998 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111El Karoui, Nicole; Ravanelli, Claudia 43 2009 Optimal derivatives design under dynamic risk measures. Zbl 1070.91019Barrieu, Pauline; El Karoui, Nicole 42 2004 Reflected backward SDEs and American options. Zbl 0898.90033El Karoui, N.; Pardoux, E.; Quenez, M. C. 42 1997 Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel 41 2008 Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B. 39 1980 Propriétés de martingales, explosion et représentation de Lévy- Khintchine d’une classe de processus de branchement à valeurs mesures. (Martingale properties, explosions and Levy-Khinchine representation of measure valued branching processes). Zbl 0743.60081El Karoui, Nicole; Roelly, Sylvie 37 1991 What happens after a default: the conditional density approach. Zbl 1194.91187El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 36 2010 Optimal portfolio management with American capital guarantee. Zbl 1202.91295El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent 36 2005 Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052Barrieu, Pauline; El Karoui, Nicole 35 2013 Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia 30 2012 Martingale measures and stochastic calculus. Zbl 0694.60041El Karoui, N.; Méléard, S. 30 1990 Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010El Karoui, N.; Quenez, M. C. 28 1997 Backward stochastic differential equations. Zbl 0866.00052El Karoui, Nicole (ed.); Mazliak, Laurent (ed.) 28 1997 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046El Karoui, Nicole; Karatzas, Ioannis 26 1991 A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022Bank, Peter; El Karoui, Nicole 23 2004 Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065El Karoui, Nicole; Lepeltier, Jean-Pierre 18 1977 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique 17 1988 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 16 2013 On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. Zbl 1239.60031Carraro, Laurent; El Karoui, Nicole; Obłój, Jan 16 2012 Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078Karoui, Nicole El; Karatzas, Ioannis 16 1988 Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel 15 2005 Backward stochastic differential equations. A general introduction. Zbl 0886.60054El Karoui, N. 13 1997 BSDEs and applications. Zbl 1168.60030El Karoui, Nicole; Hamadène, Said; Matoussi, Anis 12 2009 Phenomenology of the interest rate curve. Zbl 1009.91036Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc 12 1999 Dynamic allocation problems in continuous time. Zbl 0831.93069El Karoui, Nicole; Karatzas, Ioannis 12 1994 Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242Boumezoued, Alexandre; Hardy, Héloïse Labit; El Karoui, Nicole; Arnold, Séverine 10 2018 Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Zbl 1128.91022El Karoui, Nicole; Meziou, Asma 10 2006 A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034El Karoui, N.; Lepeltier, J.-P.; Millet, A. 10 1992 Programmation dynamique et évaluation des actifs contingents en marché incomplet. (Dynamic programming and pricing of contingent claims in an incomplete market). Zbl 0736.90009El Karoui, Nicole; Quenez, Marie-Claire 10 1991 Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc 8 2017 Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043Costantini, C.; Gobet, E.; El Karoui, N. 8 2006 Maturity randomization for stochastic control problems. Zbl 1177.93097Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar 8 2005 Processus de diffusion associé à un opérateur elliptique dégénéré. (Diffusion process associated with an elliptic degenerate operator). Zbl 0234.60094Bonami, A.; Karoui, N.; Roynette, B.; Reinhard, H. 8 1971 Density approach in modeling successive defaults. Zbl 1350.91018El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 7 2015 Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole 5 2008 Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance. Zbl 1152.60038El Karoui, Nicole; Meziou, Asma 5 2008 A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058El Karoui, Nicole; Föllmer, Hans 5 2005 Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. Zbl 1378.62044El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia 4 2017 Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177El Karoui, Nicole; Jiao, Ying; Kurtz, David 4 2008 The optimal stopping problem for a general American put-option. Zbl 0841.90051El Karoui, Nicole; Karatzas, Ioannis 4 1995 Correction: A new approach to the Skorohod problem, and its applications. Zbl 0739.60079El Karoui, N.; Karatzas, I. 4 1991 Ecole d’ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin. Zbl 0455.00015Bickel, Peter J.; Karoui, N. El; Yor, M. 4 1981 Processus de reflexion dans \(R^n\). Zbl 0325.60044El Karoui, Nicole 4 1975 Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063El Karoui, N.; Jiao, Y. 3 2009 Coupling smiles. Zbl 1152.91505Durrleman, Valdo; El Karoui, Nicole 3 2008 Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives). Zbl 1044.91021Barrieu, Pauline; El Karoui, Nicole 3 2003 General Gittins index processes in discrete time. Zbl 0783.60046El Karoui, Nicole; Karatzas, Ioannis 3 1993 Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065El Karoui, Nicole; Jeanblanc-Picqué, Monique 3 1988 Processus de diffusion dans R\(^n\). Zbl 0282.60049Karoui, N.; Reinhard, H. 3 1973 Conditional default probability and density. Zbl 1418.91570El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B. 2 2014 Random walks. Zbl 1196.60001Benaïm, Michel; El Karoui, Nicole 2 2004 Optimal design of derivatives in illiquid markets. Zbl 1405.91584Barrieu, Pauline; El Karoui, Nicole 2 2002 Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171El Karoui, Nicole; Karatzas, Ioannis 2 1997 Nonlinear evolution equations and functionals of measure-valued branching processes. Zbl 0587.60083El Karoui, Nicole 2 1985 Optimal stopping of controlled Markov processes. Zbl 0495.93063El Karoui, Nicole; Lepeltier, Jean-Pierre; Marchal, Bernard 2 1982 Temps local et balayage des semi-martingales. Zbl 0411.60077El Karoui, Nicole 2 1979 Arret optimal previsible. Zbl 0406.60035El Karoui, Nicole 2 1978 Compactification et balayage de processus droits. Zbl 0325.60067El Karoui, Nicole; Reinhard, Herve 2 1975 Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 07343455El Karoui, Nicole; Mrad, Mohamed 1 2021 How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. Zbl 1427.91234Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold, Séverine; El Karoui, Nicole 1 2019 Dynamics of multivariate default system in random environment. Zbl 1415.91300El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 1 2017 Measuring mortality heterogeneity with multi-state models and interval-censored data. Zbl 1394.91192Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane 1 2017 Stochastic filtering at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 876 (1981) and 1464 (1991). Zbl 1397.60010El Karoui, Nicole; Pardoux, Etienne; Yor, Marc 1 2012 Dynamic financial risk management. Zbl 1272.91060Barrieu, Pauline; El Karoui, Nicole 1 2006 Feynman-Kac’s representation in time-space domains and sensitivity with respect to the domain. Zbl 1033.60076Costantini, Cristina; El Karoui, Nicole; Gobet, Emmanuel 1 2003 On the role of state variables in interest rates models. Zbl 0974.62096El Karoui, Nicole; Geman, Helyette; Lacoste, Vincent 1 2000 Imperfect markets and backward stochastic differential equations. Zbl 0898.90032El Karoui, N.; Quenez, M. C. 1 1997 Stochastic control methods in optimal design of life testing. Zbl 0815.62070El Karoui, N.; Gerardi, A.; Mazliak, L. 1 1994 Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042El Karoui, Nicole; Karatzas, Ioannis 1 1989 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0588.60075El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique 1 1986 Théorie du potentiel et contrôle stochastique. Zbl 0562.60047El Karoui, Nicole 1 1984 Nisio semi-group associated to the control of Markov processes. Zbl 0503.93072El Karoui, N.; Lepeltier, J. P.; Marchal, B. 1 1982 Les changements de temps en théorie générale des processus. Zbl 0433.60036El Karoui, Nicole; Meyer, P. A. 1 1977 Théorie générale et changement de temps. Zbl 0433.60035El Karoui, Nicole; Weidenfeld, Gerard 1 1977 Balayage et changement de temps. Zbl 0352.60023Karoui, Nicole El 1 1975 Processus de Poisson ponctuel associe à un processus ponctuel, représentation des martingales de carre intégrable, quasi-continue à gauche. Zbl 0339.60046El Karoui, Nicole; Lepeltier, Jean-Pierre 1 1975 Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030El Karoui, Nicole 1 1971 Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Propriétés du processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43701Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 07343455El Karoui, Nicole; Mrad, Mohamed 1 2021 How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. Zbl 1427.91234Kaakaï, Sarah; Labit Hardy, Héloïse; Arnold, Séverine; El Karoui, Nicole 1 2019 Cause-of-death mortality: what can be learned from population dynamics? Zbl 1400.91242Boumezoued, Alexandre; Hardy, Héloïse Labit; El Karoui, Nicole; Arnold, Séverine 10 2018 Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc 8 2017 Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. Zbl 1378.62044El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia 4 2017 Dynamics of multivariate default system in random environment. Zbl 1415.91300El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 1 2017 Measuring mortality heterogeneity with multi-state models and interval-censored data. Zbl 1394.91192Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane 1 2017 Density approach in modeling successive defaults. Zbl 1350.91018El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 7 2015 Conditional default probability and density. Zbl 1418.91570El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B. 2 2014 Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs. Zbl 1312.60052Barrieu, Pauline; El Karoui, Nicole 35 2013 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 16 2013 Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia 30 2012 On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. Zbl 1239.60031Carraro, Laurent; El Karoui, Nicole; Obłój, Jan 16 2012 Stochastic filtering at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 876 (1981) and 1464 (1991). Zbl 1397.60010El Karoui, Nicole; Pardoux, Etienne; Yor, Marc 1 2012 What happens after a default: the conditional density approach. Zbl 1194.91187El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying 36 2010 Pricing, hedging, and designing derivatives with risk measures. Zbl 1189.91200Barrieu, Pauline; El Karoui, Nicole 48 2009 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111El Karoui, Nicole; Ravanelli, Claudia 43 2009 BSDEs and applications. Zbl 1168.60030El Karoui, Nicole; Hamadène, Said; Matoussi, Anis 12 2009 Stein’s method and zero bias transformation for CDO tranche pricing. Zbl 1199.91063El Karoui, N.; Jiao, Y. 3 2009 Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel 41 2008 Closedness results for BMO semi-martingales and application to quadratic BSDEs. Zbl 1149.60024Barrieu, Pauline; Cazanave, Nicolas; El Karoui, Nicole 5 2008 Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance. Zbl 1152.60038El Karoui, Nicole; Meziou, Asma 5 2008 Gaussian and Poisson approximaton: application to CDO tranche pricing. Zbl 1175.91177El Karoui, Nicole; Jiao, Ying; Kurtz, David 4 2008 Coupling smiles. Zbl 1152.91505Durrleman, Valdo; El Karoui, Nicole 3 2008 Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Zbl 1128.91022El Karoui, Nicole; Meziou, Asma 10 2006 Boundary sensitivities for diffusion processes in time dependent domains. Zbl 1109.49043Costantini, C.; Gobet, E.; El Karoui, N. 8 2006 Dynamic financial risk management. Zbl 1272.91060Barrieu, Pauline; El Karoui, Nicole 1 2006 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037Barrieu, Pauline; El Karoui, Nicole 100 2005 Optimal portfolio management with American capital guarantee. Zbl 1202.91295El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent 36 2005 Dynamic asset pricing theory with uncertain time-horizon. Zbl 1198.91078Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel 15 2005 Maturity randomization for stochastic control problems. Zbl 1177.93097Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar 8 2005 A non-linear Riesz respresentation in probabilistic potential theory. Zbl 1078.60058El Karoui, Nicole; Föllmer, Hans 5 2005 Optimal derivatives design under dynamic risk measures. Zbl 1070.91019Barrieu, Pauline; El Karoui, Nicole 42 2004 A stochastic representation theorem with applications to optimization and obstacle problems. Zbl 1058.60022Bank, Peter; El Karoui, Nicole 23 2004 Random walks. Zbl 1196.60001Benaïm, Michel; El Karoui, Nicole 2 2004 BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. Zbl 1075.60534El-Karoui, N.; Hamadène, S. 66 2003 Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives). Zbl 1044.91021Barrieu, Pauline; El Karoui, Nicole 3 2003 Feynman-Kac’s representation in time-space domains and sensitivity with respect to the domain. Zbl 1033.60076Costantini, Cristina; El Karoui, Nicole; Gobet, Emmanuel 1 2003 Optimal design of derivatives in illiquid markets. Zbl 1405.91584Barrieu, Pauline; El Karoui, Nicole 2 2002 A dynamic maximum principle for the optimization of recursive utilities under constraints. Zbl 1040.91038El Karoui, N.; Peng, S.; Quenez, M. C. 61 2001 Pricing via utility maximization and entropy. Zbl 1052.91512Rouge, Richard; El Karoui, Nicole 110 2000 On the role of state variables in interest rates models. Zbl 0974.62096El Karoui, Nicole; Geman, Helyette; Lacoste, Vincent 1 2000 Phenomenology of the interest rate curve. Zbl 1009.91036Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc 12 1999 Robustness of the Black and Scholes formula. Zbl 0910.90008El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 102 1998 Optimization of consumption with labor income. Zbl 0930.60050El Karoui, Nicole; Jeanblanc-Picqué, Monique 48 1998 Backward stochastic differential equations in finance. Zbl 0884.90035El Karoui, N.; Peng, S.; Quenez, M. C. 849 1997 Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s. Zbl 0899.60047El Karoui, N.; Kapoudjian, C.; Pardoux, E.; Peng, S.; Quenez, M. C. 249 1997 A general result of existence and uniqueness of backward stochastic differential equations. Zbl 0887.60064El Karoui, N.; Huang, S. J. 63 1997 Reflected backward SDEs and American options. Zbl 0898.90033El Karoui, N.; Pardoux, E.; Quenez, M. C. 42 1997 Nonlinear pricing theory and backward stochastic differential equations. Zbl 0904.90010El Karoui, N.; Quenez, M. C. 28 1997 Backward stochastic differential equations. Zbl 0866.00052El Karoui, Nicole (ed.); Mazliak, Laurent (ed.) 28 1997 Backward stochastic differential equations. A general introduction. Zbl 0886.60054El Karoui, N. 13 1997 Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171El Karoui, Nicole; Karatzas, Ioannis 2 1997 Imperfect markets and backward stochastic differential equations. Zbl 0898.90032El Karoui, N.; Quenez, M. C. 1 1997 Changes of numéraire, changes of probability measure and option pricing. Zbl 0829.90007Geman, Hélyette; El Karoui, Nicole; Rochet, Jean-Charles 169 1995 Dynamic programming and pricing of contingent claims in an incomplete market. Zbl 0831.90010El Karoui, Nicole; Quenez, Marie-Claire 152 1995 The optimal stopping problem for a general American put-option. Zbl 0841.90051El Karoui, Nicole; Karatzas, Ioannis 4 1995 Dynamic allocation problems in continuous time. Zbl 0831.93069El Karoui, Nicole; Karatzas, Ioannis 12 1994 Stochastic control methods in optimal design of life testing. Zbl 0815.62070El Karoui, N.; Gerardi, A.; Mazliak, L. 1 1994 General Gittins index processes in discrete time. Zbl 0783.60046El Karoui, Nicole; Karatzas, Ioannis 3 1993 A probabilistic approach to the reduite in optimal stopping. Zbl 0777.60034El Karoui, N.; Lepeltier, J.-P.; Millet, A. 10 1992 Propriétés de martingales, explosion et représentation de Lévy- Khintchine d’une classe de processus de branchement à valeurs mesures. (Martingale properties, explosions and Levy-Khinchine representation of measure valued branching processes). Zbl 0743.60081El Karoui, Nicole; Roelly, Sylvie 37 1991 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046El Karoui, Nicole; Karatzas, Ioannis 26 1991 Programmation dynamique et évaluation des actifs contingents en marché incomplet. (Dynamic programming and pricing of contingent claims in an incomplete market). Zbl 0736.90009El Karoui, Nicole; Quenez, Marie-Claire 10 1991 Correction: A new approach to the Skorohod problem, and its applications. Zbl 0739.60079El Karoui, N.; Karatzas, I. 4 1991 Martingale measures and stochastic calculus. Zbl 0694.60041El Karoui, N.; Méléard, S. 30 1990 Integration of the optimal risk in a stopping problem with absorption. Zbl 0731.60042El Karoui, Nicole; Karatzas, Ioannis 1 1989 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique 17 1988 Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078Karoui, Nicole El; Karatzas, Ioannis 16 1988 Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065El Karoui, Nicole; Jeanblanc-Picqué, Monique 3 1988 Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique 64 1987 Existence of an optimal Markovian filter for the control under partial observations. Zbl 0588.60075El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique 1 1986 Nonlinear evolution equations and functionals of measure-valued branching processes. Zbl 0587.60083El Karoui, Nicole 2 1985 Théorie du potentiel et contrôle stochastique. Zbl 0562.60047El Karoui, Nicole 1 1984 Optimal stopping of controlled Markov processes. Zbl 0495.93063El Karoui, Nicole; Lepeltier, Jean-Pierre; Marchal, Bernard 2 1982 Nisio semi-group associated to the control of Markov processes. Zbl 0503.93072El Karoui, N.; Lepeltier, J. P.; Marchal, B. 1 1982 Les aspects probabilistes du contrôle stochastique. Zbl 0472.60002El Karoui, N. 100 1981 Ecole d’ete de probabilités de Saint-Flour IX-1979. Ed. par P. L. Hennequin. Zbl 0455.00015Bickel, Peter J.; Karoui, N. El; Yor, M. 4 1981 Reflexion discontinue et systèmes stochastiques. Zbl 0448.60043Chaleyat-Maurel, M.; El Karoui, N.; Marchal, B. 39 1980 Temps local et balayage des semi-martingales. Zbl 0411.60077El Karoui, Nicole 2 1979 Arret optimal previsible. Zbl 0406.60035El Karoui, Nicole 2 1978 Représentation des processus ponctuels multivaries à l’aide d’un processus de Poisson. Zbl 0359.60065El Karoui, Nicole; Lepeltier, Jean-Pierre 18 1977 Les changements de temps en théorie générale des processus. Zbl 0433.60036El Karoui, Nicole; Meyer, P. A. 1 1977 Théorie générale et changement de temps. Zbl 0433.60035El Karoui, Nicole; Weidenfeld, Gerard 1 1977 Processus de reflexion dans \(R^n\). Zbl 0325.60044El Karoui, Nicole 4 1975 Compactification et balayage de processus droits. Zbl 0325.60067El Karoui, Nicole; Reinhard, Herve 2 1975 Balayage et changement de temps. Zbl 0352.60023Karoui, Nicole El 1 1975 Processus de Poisson ponctuel associe à un processus ponctuel, représentation des martingales de carre intégrable, quasi-continue à gauche. Zbl 0339.60046El Karoui, Nicole; Lepeltier, Jean-Pierre 1 1975 Processus de diffusion dans R\(^n\). Zbl 0282.60049Karoui, N.; Reinhard, H. 3 1973 Processus de diffusion associé à un opérateur elliptique dégénéré. (Diffusion process associated with an elliptic degenerate operator). Zbl 0234.60094Bonami, A.; Karoui, N.; Roynette, B.; Reinhard, H. 8 1971 Diffusions avec condition frontière, associees à un opérateur elliptique dégénérée. Zbl 0252.60030El Karoui, Nicole 1 1971 Processus tués de processus de Hunt conservatifs et prolongements de processus standards. Zbl 0211.21001Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Propriétés du processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43701Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 Processus de diffusion associé à un opérateur elliptique dégénéré. Zbl 0208.43602Bonami, A.; Karoui, N.; Reinhard, H.; Roynette, B. 1 1970 all cited Publications top 5 cited Publications all top 5 Cited by 2,136 Authors 42 Wu, Zhen 31 Hu, Ying 30 Touzi, Nizar 27 El Karoui, Nicole 27 Ouknine, Youssef 27 Peng, Shige 24 Hamadene, Saïd 23 Zhang, Jianfeng 21 Jeanblanc, Monique 21 Tang, Shanjian 21 Yong, Jiongmin 20 Ji, Shaolin 20 Possamaï, Dylan 18 Bahlali, Khaled 18 Elliott, Robert James 18 Fan, Shengjun 18 Pham, Huyên 18 Ren, Yong 17 El Otmani, Mohamed 17 Matoussi, Anis 16 Gobet, Emmanuel 16 Jiang, Long 15 Bouchard, Bruno 15 Karatzas, Ioannis 15 Li, Juan 15 Ma, Jin 15 Quenez, Marie-Claire 14 Imkeller, Peter 14 Rutkowski, Marek 14 Siu, Tak Kuen 13 Chen, Zengjing 13 Djehiche, Boualem 13 Elie, Romuald 13 Ferrari, Giorgio 13 Klimsiak, Tomasz 13 Mezerdi, Brahim 13 Shi, Yufeng 12 Briand, Philippe 12 Buckdahn, Rainer 12 dos Reis, Gonçalo 12 Ekström, Erik 12 Hu, Mingshang 12 Jiao, Ying 12 Kharroubi, Idris 12 Kupper, Michael 12 Lepeltier, Jean-Pierre 12 Liang, Gechun 12 Obloj, Jan K. 12 Sulem, Agnès 12 Zariphopoulou, Thaleia 11 Pelsser, Antoon A. J. 11 Popier, Alexandre 11 Rosazza Gianin, Emanuela 11 Shen, Yang 11 Xu, Mingyu 11 Yao, Song 11 Yu, Zhiyong 10 Ceci, Claudia 10 Chassagneux, Jean-François 10 Essaky, El Hassan 10 Réveillac, Anthony 10 Russo, Francesco 10 Stadje, Mitja 10 Tan, Xiaolu 10 Wang, Guangchen 10 Zhou, Chao 9 Bayraktar, Erhan 9 Bender, Christian 9 Bielecki, Tomasz R. 9 Crepey, Stephane 9 Delbaen, Freddy 9 Fuhrman, Marco 9 Hassani, Mohammed 9 Hu, Feng 9 Hu, Yijun 9 Lin, Qian 9 Schweizer, Martin 9 Seifried, Frank Thomas 9 Shi, Jingtao 9 Słomiński, Leszek 9 Warin, Xavier 8 Barrieu, Pauline M. 8 Chala, Adel 8 Cohen, Samuel N. 8 Delong, Łukasz 8 Du, Kai 8 Hu, Lanying 8 Jia, Guangyan 8 Kohlmann, Michael 8 Luo, Peng 8 Madan, Dilip B. 8 Mania, Michael 8 Maticiuc, Lucian 8 Morlais, Marie-Amelie 8 Øksendal, Bernt Karsten 8 Rascanu, Aurel 8 Richou, Adrien 8 Takahashi, Akihiko 8 Tangpi, Ludovic 8 Tysk, Johan ...and 2,036 more Authors all top 5 Cited in 250 Serials 222 Stochastic Processes and their Applications 102 Insurance Mathematics & Economics 95 The Annals of Applied Probability 79 Finance and Stochastics 74 International Journal of Theoretical and Applied Finance 63 Statistics & Probability Letters 56 Mathematical Finance 53 Stochastic Analysis and Applications 53 Quantitative Finance 42 Journal of Mathematical Analysis and Applications 42 The Annals of Probability 41 Mathematics and Financial Economics 40 Applied Mathematics and Optimization 40 Journal of Economic Dynamics & Control 38 SIAM Journal on Control and Optimization 29 Applied Mathematical Finance 29 SIAM Journal on Financial Mathematics 28 Probability Theory and Related Fields 28 Stochastics 27 Stochastics and Dynamics 23 Journal of Applied Probability 23 Random Operators and Stochastic Equations 23 Comptes Rendus. 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Calcul des Probabilités et Statistique 8 Potential Analysis 8 Discrete Dynamics in Nature and Society 7 International Journal of Control 7 Journal of Economic Theory 7 Acta Applicandae Mathematicae 7 Journal of Applied Mathematics and Stochastic Analysis 7 Stochastics and Stochastics Reports 7 Electronic Communications in Probability 7 Journal of Inequalities and Applications 7 Methodology and Computing in Applied Probability 7 Afrika Matematika 6 Stochastics 6 Journal of Functional Analysis 6 Annals of Operations Research 6 Mathematical Programming. Series A. Series B 6 Applied Mathematics. Series B (English Edition) 6 Monte Carlo Methods and Applications 6 Discrete and Continuous Dynamical Systems 6 Advances in Difference Equations 6 International Journal of Stochastic Analysis 5 Lithuanian Mathematical Journal 5 Chaos, Solitons and Fractals 5 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 5 Operations Research Letters 5 Chinese Annals of Mathematics. Series B 5 Optimization 5 Discrete and Continuous Dynamical Systems. Series B 5 Stochastic Models 4 Computers & Mathematics with Applications 4 Theory of Probability and its Applications 4 Transactions of the American Mathematical Society 4 Applications of Mathematics 4 NoDEA. Nonlinear Differential Equations and Applications 4 Journal of Industrial and Management Optimization 4 Journal of the Korean Statistical Society 4 ALEA. Latin American Journal of Probability and Mathematical Statistics 4 Frontiers of Mathematics in China 4 Asian Journal of Control 4 Nonlinear Analysis. Theory, Methods & Applications 4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 3 Physica A ...and 150 more Serials all top 5 Cited in 37 Fields 1,568 Probability theory and stochastic processes (60-XX) 1,237 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 498 Systems theory; control (93-XX) 296 Calculus of variations and optimal control; optimization (49-XX) 192 Partial differential equations (35-XX) 139 Numerical analysis (65-XX) 118 Statistics (62-XX) 97 Operations research, mathematical programming (90-XX) 64 Ordinary differential equations (34-XX) 21 Functional analysis (46-XX) 21 Operator theory (47-XX) 16 Integral equations (45-XX) 13 Dynamical systems and ergodic theory (37-XX) 10 Measure and integration (28-XX) 9 Real functions (26-XX) 9 Potential theory (31-XX) 9 Biology and other natural sciences (92-XX) 7 Global analysis, analysis on manifolds (58-XX) 6 Approximations and expansions (41-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Difference and functional equations (39-XX) 5 Fluid mechanics (76-XX) 4 General and overarching topics; collections (00-XX) 4 Integral transforms, operational calculus (44-XX) 4 Computer science (68-XX) 4 Quantum theory (81-XX) 4 Information and communication theory, circuits (94-XX) 3 Convex and discrete geometry (52-XX) 2 Mathematical logic and foundations (03-XX) 2 Combinatorics (05-XX) 2 Abstract harmonic analysis (43-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Sequences, series, summability (40-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Mechanics of particles and systems (70-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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