Agnès SULEM

Directeur de Recherche
Scientific leader of the Inria Project Team MATHRISK

Centre de Recherche Inria Paris
2 rue Simone Iff
CS 42112 - 75589 Paris Cedex 12 - France
agnes.sulem@inria.fr
Assistant : Derya Gök +33 (0)1 80 49 40 50

Research themes

  • Financial mathematics
  • Stochastic Control
  • Stochastic analysis for risk modeling
  • Systemic risk
  • Numerical methods
  • Numerical software for quantitative finance: Premia

Editorship

Associate editor of
  • Journal of Mathematical Analysis and Applications (JMAA)
  • SIAM Journal on Financial Mathematics (SIFIN)

Teaching

Université du Luxembourg, Master in Mathematics: "Numerical Methods in Finance"

Publications

Books
[B1] B. Øksendal and A. Sulem. Applied Stochastic Control of Jump Diffusions. 3rd edition (436 pages) 2019, Universitext,Springer Verlag, Berlin, Heidelberg, New York. (Second Edition, 257 pages,2007. (1st edition 2005, 208 pages).
    https://www.springer.com/gp/book/9783030027797
[B2] B. Lapeyre, A. Sulem and D. Talay, Simulation of Financial Models: Mathematical Foundations and Applications.Cambridge University Press, (400 pages), to appear.

Edited books and journals
[E1] B. Jourdain and A. Sulem, guest editors for the Special Issue "Systemic Risk" of Statistics & Risk Model-ing, March 2014.
    http://hal.inria.fr/hal-01110659
[E2] A. Sulem (ed). A special issue of the Journal Bankers, Markets and Investors, dedicated to “Numerical MethodsImplemented in the Premia Software”, Introduction by A. Sulem and A. Zanette, 172 p.;Vol 99, March-April 2009,
    http://www.revue-banque.fr.
[E3] D. Lamberton, B. Lapeyre and A.Sulem (eds). “Application of Malliavin Calculus to Finance”, special issue of Mathe-matical Finance, January 2003.
[E4] J.L. Menaldi, E. Rofman and A. Sulem (eds). Optimal Control and Partial Differential Equations - Innovations &Applications, Essays in the honor of Alain Bensoussan, IOS Press, Amsterdam, 2001, 569 pp. ISBN 1-586-03096-5
    http://www.ercim.eu/publication/Ercim_News/enw45/sulem.html
[E5] A. Shiryaev and A. Sulem (eds). Mathematical Finance, Workshop Inria June 1998.

Lecture Notes
[L1] J.-Ph. Chancelier and A. Sulem. Méthodes numériques en Contrôle Stochastique. Lectures Notes, 2005 (152 pages),
    http://cermics.enpc.fr/~jpc/livre.pdf

Articles submitted for publication
[S1] Amini, H., Minca, A. and Sulem, A., A Dynamic Contagion Risk Model With Recovery Features, 2019,in revision for Mathematics of Operations Research,
    https://ssrn.com/abstract=3435257
[S2] R. Chen, R. Dumitrescu, A. Minca and A. Sulem: Mean Field BSDEs and Global Dynamic Risk Measures, 2019, in re-vision for SIAM J. Financial Mathematics,
    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3446360
[S3] M. Grigorova, M.C. Quenez and A. Sulem : American options in a non-linear incomplete market model with default,2019, in revision for Stochastic Processes and their Applications
    https://www.semanticscholar.org/paper/American-options-in-a-non-linear-incomplete-market-Grigorova-Quenez

International conferences with review
[1] H. Amini, R. Chen, A. Minca and A. Sulem: A Dynamic Contagion Risk Model With Recovery Features, 2019.
    Complex Networks 2919, December 10-12, 2019, Lisbon.

Articles in journals with review
[2] M. Grigorova, M.C. Quenez and A. Sulem: European options in a non-linear incomplete market model with default, SIAM J. Finan. Math., 11(3), 849–880. 2020.
    https://doi.org/10.1137/20M1318018
    https://hal.archives-ouvertes.fr/INRIA/hal-02025833v1
[3] R. Dumitrescu, M.-C. Quenez, A. Sulem: American options in an imperfect complete market with default, 2018, ESAIM Proc. and Surveys 64, 93–110,
    https://doi.org/10.1051/proc/201864093
[4] R. Dumitrescu, B. Øksendal, A. Sulem: Stochastic control for Mean-Field Stochastic Partial Differential Equations with jumps, Journal of Optimization Theory and Applications (JOTA) 176(3): 559–584 (2018)
    https://hal.inria.fr/hal-01527225
[5] R. Chen, A. Minca and A. Sulem: Optimal connectivity for a large financial network, ESAIM Proc. and Surveys, September 2017, Vol.59, p. 43–55.
    http://hal.inria.fr/hal-01618701
[6] H. Amini, A. Minca and A. Sulem: Optimal equity infusions in interbank network, Journal of Financial Stability, Vo.31, August 2017, pages 1–17.
    https://hal.inria.fr/hal-01614759
[7] R. Dumitrescu M.C. Quenez and A. Sulem : Game options in an imperfect market with default, SIAM Journal of Fin. Math., 2017, Vol.8, pp 532-559.
    https://hal.inria.fr/hal-01614758
[8] Y. Hu, B. Øksendal, A. Sulem: Singular mean-field control games, Stochastic Analysis and Applications, Vol. 35(5), 2017 , pp. 823-851.
    http://hal.inria.fr/hal-01614747
[9] R. Dumitrescu, M.C. Quenez and A. Sulem : Generalized Dynkin games and double barrier reflected BSDEs with jumps, Electronic Journal of Probability, (2016), 21(4), pp 1–32, DOI = 10.1214/16-EJP4568.
    http://hal.inria.fr/hal-01388022
[10] R. Dumitrescu M.C. Quenez and A. Sulem : A Weak Dynamic Programming Principle for Combined Optimal Stop- ping/Stochastic Control with E f −conditional Expectations, SIAM J. Control and Optimization, (2016) Vol. 54, No. 4,pp. 2090–2115.
    https://hal.inria.fr/hal-01370425
[11] R. Dumitrescu M.C. Quenez and A. Sulem : Mixed generalized Dynkin game and stochastic control in a Markovian framework, Stochastics (2016), pp1-30,
    https://hal.inria.fr/hal-01417203
[12] B. Øksendal, A. Sulem : Dynamic robust duality in utility maximisation, Appl. Math. Optim. (2016), pp. 1- 31,
    https://hal.inria.fr/hal-01406663,
[13] H. Amini, A. Minca, A. Sulem : Control of interbank contagion under partial information, (2015), SIAM Journal of Financial Mathematics, 6(1), pp. 1195-1219
    http://hal.inria.fr/hal-01027540
[14] R. Dumitrescu, M.C. Quenez and A. Sulem : Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems, Journal Optimization Theory and Applications, Volume 167, Issue 1 (2015), 219–242.
    http://hal.inria.fr/hal-01096501
[15] B. Øksendal, A. Sulem : Risk minimization in financial markets modeled by Itô-Lévy processes, Afrika Mathematika, (2015) 26:939-979,
    https://hal.inria.fr/hal-01096870
[16] C. Fontana, B. Øksendal and A. Sulem: Market viability and martingale measures under partial information, Method- ology and Computing in Applied Probability, (2015) 17: 15-39,
    http://hal.inria.fr/hal-00789517
[17] M.C. Quenez and A. Sulem: Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps, Stochastic Processes and their Applications., (2014), Vol 124 (9), 3031–3054.
    https://hal.inria.fr/hal-00773708
[18] A. Minca and A. Sulem: Optimal control of interbank contagion under complete information, Statistics and Risk Modeling, 31(1), March 2014, 23–48.
    https://hal.inria.fr/hal-00916695
[19] B. Øksendal and A. Sulem: Stochastic Control of Itô Lévy processes with Applications to Finance. Communications on Stochastic Analysis (COSA), Vol 8 (1), 1–15, March 2014.
    https://hal.inria.fr/hal-01096879
[20] B Øksendal and A. Sulem: Forward-Backward Stochastic Differential games and stochastic control under model uncertainty, J. Optimization Theory and Applications, (2014), 161:22–55,
    http://hal.inria.fr/hal-01681150
[21] M.C. Quenez and A. Sulem : BSDEs with jumps, optimization and applications to dynamic risk measures, Stochastic Processes and their Applications, 123 (2013) 3328–3357.
    http://dx.doi.org/10.1016/j.spa.2013.02.016 [22] B Øksendal, A. Sulem and T. Zhang: Singular control of SPDEs and Backward SPDEs with reflection. Math. Oper. Research, (2013), pages 1–23.
    http://dx.doi.org/10.1287/moor.2013.0602,
[23] B. Øksendal and A. Sulem: Singular stochastic Control and Optimal stopping with partial information of Itô-Lévy processes; SIAM J. Control & Optim. (2012), 50(4), 2254–2287.
    https://www.rocq.inria.fr/mathfi/pdf-publications/100793931.pdf
[24] Z. Chen and A. Sulem. “An integral representation theorem of g-expectations”, Risk and Decision Analysis", (2011), Vol.2(4), 245–255, DOI 10.3233/RDA-2011-0047, IOS Press.
    https://www.rocq.inria.fr/mathfi/pdf-publications/Chen-Sulem-2011.pdf
[25] B. Øksendal and A. Sulem: Portfolio optimization under model uncertainty and BSDE games; Quantitative Finance, 11:11, 2011, 1665–1674. DOI: 10.1080/14697688.2011.615219
    https://hal.inria.fr/inria-00570532/fr//
[26] B. Øksendal, A. Sulem and T. Zhang : Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations, Advances in Applied Probability, Vol. 43, 572–596, 2011.
    https://www.rocq.inria.fr/mathfi/pdf-publications/OZS.pdf
[27] B. Øksendal and A. Sulem: Robust stochastic control and equivalent martingale measures, in Stochastic Analysis with Financial Applications, Series: Progress in Probability, Vol 65, 179–189, Eds A. Kohatsu-Higa, N. Privault, April2011.
    https://hal.inria.fr/inria-00573117/fr/
[28] B. Øksendal and A. Sulem: An anticipative stochastic calculus approach to pricing in markets driven by Lévy pro- cesses. Communications on Stochastic Analysis (COSA)(2010), Vol 4(2), (special issue in honor of Professor G.Kallianpur), 179-199.
    https://hal.inria.fr/inria-00439350/fr/
[29] B. Øksendal and A. Sulem: Maximum principles for optimal control of forward-backward stochastic differential equa- tions with jumps. SIAM J. Control Optimization, (2009), Vol. 48,5, 2845–2976.
    https://www.rocq.inria.fr/mathfi/pdf-publications/73978.pdf
[30] B. Øksendal and A. Sulem: Risk indifference pricing in jump diffusion markets. Mathematical Finance (2009), Vol. 19, 4, 619–637.
    https://www.rocq.inria.fr/mathfi/pdf-publications/risk-indiff15October2007.pdf
[31] B. Øksendal and A. Sulem: Optimal stochastic impulse control with delayed reaction, Applied Mathemat- ics and Optimization (2008) 58:243–255.
    https://www.researchgate.net/publication/226742399_Optimal_Stochastic_Impulse_Control_with_Delayed_Reaction
[32] B. Øksendal and A. Sulem: A game theoretic approach to martingale measures in incomplete markets, Surveys of Ap- plied and Industrial Mathematics, 15 (2008), 18 - 24.
    https://www.rocq.inria.fr/mathfi/pdf-publications/Game_theoryJan2007.pdf
[33] J.P. Chancelier, M. Messaoud and A.Sulem: A policy iteration algorithm for fixed point problems with nonexpansive operators. Mathematical Methods of Operations Research,65,2,April 2007, 239–259.
    https://www.researchgate.net/publication/226480579_A_policy_iteration_algorithm_for_fixed_point_problems_with_nonexpansive_operators
[34] M. N’zi, Y. Ouknine, and A. Sulem. “Regularity and representation of viscosity solutions of Partial differential equations via backward stochastic differential equations”, Stochastic processes and their applications, Volume 116, Issue 9,September 2006, 1319–1339.
    https://www.rocq.inria.fr/mathfi/pdf-publications/FINAL-NOS2ffb%5B1%5D.pdf
[35] A. Kohatsu-Higa and A. Sulem. "Utility maximization in an insider influenced market", Mathematical Finance. Vol 16, 1, January 2006, 153–179.
    https://www.rocq.inria.fr/mathfi/pdf-publications/new-kohatsu-sulem.pdf
[36] M. Mnif and A. Sulem. “Optimal risk control and dividend policies under excess of loss reinsurance”, Stochastics and Stochastic Reports. Volume 77, Issue 5, October 2005, .455–476.
    https://www.rocq.inria.fr/mathfi/pdf-publications/revised-SSR-mnif-sulem.pdf
[37] T. Bielecki, J.Ph Chancelier, S. Pliska and A. Sulem. “Risk sensitive portfolio optimization with transaction costs”, Journal of Computational Finance, 8, (2004), 39–63.
    https://www.rocq.inria.fr/mathfi/pdf-publications/BCPS-10-sept-04-2.pdf
[38] N. C. Framstad, B. Øksendal and A. Sulem. "Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance", Journal of Optimization Theory and Applications,121,(2004),77-98.
    https://www.researchgate.net/publication/227037475_Sufficient_Stochastic_
    Maximum_Principle_for_the_Optimal_Control_of_Jump_Diffusions_and_Applications_to_Finance
[39] B. Øksendal and A. Sulem. Partial observation control in an anticipating environment. Russian Mathematical Sur- veys, 50, (2004), 355–375,
    http://www.mathnet.ru/php/archive.phtml?wshow=paper&jrnid=rm&paperid=723&option_lang=eng
[40] F. Biagini, B. Øksendal, A. Sulem and N. Wallner. “An Introduction to white noise theory and Malliavin Calculus for Fractional Brownian Motion”, Proc. Royal Society, special issue on stochastic analysis and applications, 460, (2004),347–372.
    http://rspa.royalsocietypublishing.org/content/460/2041/347
[41] Y. Hu, B. Øksendal and A. Sulem. "Optimal consumption and portfolio in a Black-Scholes market driven by fractional Brownian motion", Infinite Dimensional Analysis, Quantum Probability and Related Topics, 6, (2003) 519-536.
[42] B. Øksendal and A. Sulem. “Optimal Consumption and Portfolio with both fixed and proportional transac- tion costs: A Combined Stochastic Control and Impulse Control Model”, SIAM J. Control and Optim., 40, (2002), 1765–1790.
    https://www.researchgate.net/publication/263796616_Optimal_consumption_and_portfolio_in_a_Black-Scholes_market_driven_by_fractional_Brownian_motion
[43] F. Biagini, Y. Hu, B. Øksendal and A. Sulem. “A stochastic maximum principle for processes driven by Fractional Brow- nian Motion”, Stochastic Processes and their applications, 100 (2002), 233 - 253.
    https://www.sciencedirect.com/science/article/pii/S0304414902001059
[44] A. Bar-Ilan, A. Sulem and A. Zanello. “Time to build and Capacity choice”, Journal of Economic Dynamics and Control, 26, (2002), 69-98.
    https://www.sciencedirect.com/science/article/abs/pii/S016518890000018X
[45] J-Ph. Chancelier, B. Øksendal and A. Sulem. “Combined stochastic control and optimal stopping, and application to numerical approximation of combined stochastic and impulse control”, Tr. Mat. Inst. Steklova, 237:149 –172, 2002.translation in Proc. Steklov Inst. Math. 2002, no. 2 (237), 140–163.
    https://www.duo.uio.no/handle/10852/42574
[46] N. C. Framstad, B. Øksendal and A. Sulem. “Optimal Consumption and Portfolio in a Jump Diffusion Market with Proportional Transaction Costs” “Journal of Mathematical Economics”, 35, (2001), 233-257.
    https://www.sciencedirect.com/science/article/abs/pii/S0304406800000677
[47] M. Akian, A. Sulem and M. Taksar. "Dynamic optimisation of long term growth rate for a portfolio with trans- action costs - The logarithmic utility case.” Mathematical Finance, 11, (2001), 153–188, (2001).
    https://hal.archives-ouvertes.fr/inria-00073050/
[48] I. Elsanosi B. Øksendal and A. Sulem. “Some Solvable Stochastic control Problems with Delay”, Stochas- tics and Stochastics Reports, (2000), 69–89.
    https://www.researchgate.net/publication/233368179_Some_Solvable_Stochastic_Control_Problems_With_Delay
[49] Y. Hu, B. Øksendal, A. Sulem. Optimal portfolio in a fractional Black & Scholes market, In S.Albeverio et al (ed- itors): Mathematical Physics and Stochastic Analysis. Essays in Honour of Ludwig Streit. World Scientific 2000,267-279.
    https://www.researchgate.net/publication/264950073_Optimal_portfolio_in_a_fractional_Black_Scholes_market
[50] A. Sulem. “Dynamic Optimisation for a mixed Portfolio with transaction costs” Numerical methods in Finance, edited by L.C.G. Rogers and D.Talay, Cambridge University Press, Publications of the Newton Institute, (1997), 165-180.
[51] M. Akian, J.L. Menaldi and A. Sulem. “On an Investment-Consumption model with transaction costs”, SIAM J. Control and Optim., 34, (1996), 329-364
    https://digitalcommons.wayne.edu/mathfrp/36/
[52] F. Bonnans and A. Sulem. “Pseudopower Expansion of Solutions of Generalized Equations and Constrained Opti- mization Problems”, Mathematical Programming , 70, (1995), 123-148.
[53] A.Bar-Ilan and A. Sulem. “Explicit solution of inventory problems with delivery lags”, Mathematics of Operations Research, 20, (1995), 709-720.
[54] M. Akian and A. Sulem. “Multi-asset portfolio selection problem with transaction costs”, Mathematics and Computers in simulation, Elsevier eds, (1995), 163-172.
[55] A.Sulem and C. Tapiero. “ Computational Aspects in Applied Stochastic Control”, Computational Economics, 7, Kluwer academic publishers, (1994), 109-146.
[56] A.Sulem. “Quasi-Variational Inequalities and Impulse Control Problems”, dans Optimal Pricing and Cost of Adjust- ment, E. Sheshinsky and Y. Weiss (eds), M.I.T. press, (1993), 57-95.
[57] A.Sulem and C. Tapiero. “Supply delays and the inventory stocking policy”, International Journal of Production Eco- nomics, Elsevier, 32, (1993), 83-90.
[58] M. Akian and A. Sulem. “Application of Pandore, an expert system in stochastic control, to portfolio selection prob- lems”, Artificial Intelligence, Expert Systems and Symbolic Computing Elsevier, (1992), 389-398.
[59] A. Sulem. “ An Expert System for stochastic control problems : Automatic report generation”, Computer Science in Economics and Management, 2, Kluwer Academic Publishers, (1989), 65–82.
[60] J.P. Chancelier and A. Sulem. “MacroTeX : A LATEX Code Generator in Macsyma, MACSYMA Newsletter.” , Vol V n0 3, (1988), 11-14.
[61] J.P. Chancelier, C. Gomez, J.P. Quadrat and A.Sulem. “Automatic study in stochastic control”, IMA Volumes in Math- ematics and its Applications, 10, Springer Verlag (1987), 79-86,
[62] F. Delebecque, C. Gomez, J.P. Quadrat and A.Sulem. “Manipulations symboliques en Contrôle stochastique”, Calcul formel et automatique, Editions du C.N.R.S., 1987.
[63] A. Sulem. “A solvable one-dimensional model of a diffusion inventory system”, Mathematics of Operations Research, 11, (1986), 125-133.
[64] A. Sulem. “Explicit solution of a two dimensional deterministic inventory problem”, Mathematics of Operations Re- search, 11, (1986), 134-146.
[65] G.Blankenship, J.P. Chancelier, C. Gomez, A. La Vigna, D.C. McEnany, J.P.Quadrat and A.Sulem. “An expert system for control and signal processing with automatic Fortran program generation”, Theory and Applications of NonlinearControl Systems, North-Holland, (1986).
[66] J.P. Chancelier, C. Gomez, J.P. Quadrat and A.Sulem. “Pandore”, Advanced Computing Concepts and Techniques in Control Engineering. NATO ASI Series. Series F: Computer and Systems Sciences, M.J. Denham and A.J. Laub(eds), 47, (1986), 81-125.
[67] C. Gomez, J.P. Quadrat and A.Sulem. “ Computer Algebra as a tool for solving optimal control problems”, Applications of Computer Algebra, R.Pavelle (ed.), Kluwer Academic Publishers, (1985), 241-261.
[68] A. Sulem et Théosys, “Commande Optimale de Systèmes Stochastiques”, R.A.I.R.O. Automatique/ Systems Analysis and Control, 18, (1984), pp 225-250.

Book chapters with review
[69] Dumitrescu, R., Grigorova, M., Quenez M.C., Sulem A. (2018), BSDEs with default jump, in Computation and Com- binatorics in Dynamics, Stochastics and Control - Abel Symposium, August 2016, E. Celledoni et al. (Eds) vol 13.Springer, p. 233–263,
https://doi.org/10.1007/978-3-030-01593-0_9,
    https://hal.inria.fr/hal-01799335/document
[70] B. Øksendal, A. Sulem : Optimal control of Predictive Mean-Field Equations and Applications to Finance, F.E. Benth and G. Di Nunno (eds.), Stochastics of environmental and financial economics, Springer Proceedings in Mathematicsand Statistics 138, (2016).
    http://hal.inria.fr/hal-01406649
[71] B. Øksendal, A. Sulem and T. Zhang : A stochastic HJB equation for optimal control of forward-backward SDEs, A. Veraart, M. Podolskij, R. Stelzer and S. Thorbjørnsen (editors): The Fascination of Probability, Statistics and TheirApplications, In honor of Ole E. Barndorff-Nielsen on his 80th birthday. Springer (2016), pp 435 - 446
    http://hal.inria.fr/hal-01406655
[72] B. Øksendal, A. Sulem and T. Zhang. A comparison theorem for backward SPDEs with jumps, Festschrift Masatoshi Fukushima. In honor of Masatoshi Fukushima Sanju. ISBN: 978-981-4596-52-7 Editors: Zhen-Qing Chen, NielsJacob, Masatoshi Takeda and Toshihiro Uemura. Publisher: World Scientific. 2015, pp. 479-487.
    http://hal.inria.fr/hal-01260074
[73] B. Øksendal, A. Sulem : Applications of stochastic analysis, The Princeton Companion to Applied Mathematics, edited by Nicholas J. Higham, ISBN:9781400874477, Princeton University Press, 2015, pp. 319-327. (invited contri-bution)
    http://press.princeton.edu/titles/10592.html
    http://hal.inria.fr/hal-01260035
[74] B. Øksendal, A. Sulem and T. Zhang: Optimal partial ionformation control of SPDEs with delay and time-advanced backward SPDEs; Stochastic Analysis and Applications to Finance: Essays in Honour of Jia-an Yan, (InterdisciplinaryMathematical Sciences), Vol. 13, Publisher: World Scientific, Editors: Tusheng Zhang and Xunyu Zhou, pp. 355-383,2012.
    https://www.worldscientific.com/doi/abs/10.1142/9789814383585_0018
[75] G. Di Nunno, A. Kohatsu-Higa, T. Meyer-Brandis, B. Øksendal, F. Proske, A. Sulem: "Anticipative stochastic control for Lévy processes with application to insider trading", Mathematical Modelling and Numerical Methods in Finance”,Vol. 15, Series: Handbook of Numerical Analysis, Ed. A.Bensoussan, Q. Zhang and Ph. Ciarlet, Elsevier, NorthHolland. 573–593, 2009.
    http://www.math.uio.no/eprint/pure_math/2005/pure_2005.html
[76] L. Shepp, A. Shiryaev and A. Sulem. ‘”A barrier version of the Russian option", in Advances in Finance and Stochas- tics, Essays in Honour of Dieter Sondermann, Springer, Sandmann and Schönbucher eds, (2002), 271–284.
[77] B. Øksendal and A. Sulem. "A maximum principle for optimal control of stochastic systems with delay, with applica- tions to finance", In Optimal Control and PDE, Essays in Honour of Alain Bensoussan, eds J.L. Menaldi, E. Rofmanand A. Sulem, IOS Press, Amsterdam, (2001), 64-79

Proceedings with review
[78] A. Kohatsu-Higa and A. Sulem. A large trader-insider model, in Stochastic Processes and Applications to Mathematical Finance, World Scientific, Eds J. Akahori, S. Ogawa, S. Watanabe, 2006, 101-124. (Pro-ceedings Ritsumeikan International Symposium, Japan, March 2005)
    https://www.rocq.inria.fr/mathfi/pdf-publications/ritsumeikan1.pdf
[79] D. Lefèvre, B. Øksendal and A. Sulem. An introduction to optimal consumption with partial observation. in M.Kohlman and S. Tang, editors, Mathematical Finance, pages 239–249, Basel, Switzerland, 2001. Birkhauser. Proceedings ofthe Workshop on Mathematical Finance, October 2000, University of Konstanz, Germany.
[80] N. C. Framstad, B. Øksendal and A. Sulem “Optimal Consumption and Portfolio in a Jump Diffusion Market” Discus- sion Paper, Norwegian School of Economics and Business Administration, 5/99, March 99, and Proceedings of theWorkshop on Mathematical Finance, INRIA, Paris 1998.
[81] Akian M., Sulem A. and Séquier P., A finite horizon multidimensional portfolio selection problem with singular trans- actions, Proceedings CDC New Orleans, Dec. 1995 Vol.3, 2193-2198.
[82] Akian M., Sulem A., Taksar M., Maximisation of a long term growth rate for a mixed portfolio with transaction costs, Proceedings 17th IFIP Conf. Prague, Juillet 1995 pp, 132-135.
[83] Akian M., Sulem A., Séquier P., Aboulalaa A. “A finite horizon portfolio selection problem with multi risky assets and transaction costs: the domestic asset allocation example ”, Actes Association Française de Finance, Bordeaux, Juin1995.
[84] A. Sulem. “Numerical analysis of variational inequalities associated to multi-asset portfolio selection problems”, Pro- ceedings Conf. on “Computational methods in Economics and Finance”,IFAC, Amsterdam, 1994.
[85] A. Sulem. “Pandore : An Expert System in Dynamic Optimization. Examples of Applications”, Proceedings IMACS’91, 13th World Congress on Computation and Applied Mathematics. Dublin, 1045- 1046, 1991.
[86] O. Akhrif, G. Blankenship, C. Gomez, J.P. Quadrat and A.Sulem. “Integration of symbolic and numerical processing in control engineering design”, IEEE Compcon Conference. San Francisco. 1988.
[87] J.P. Chancelier, C. Gomez, J.P. Quadrat and A.Sulem. “Vers un système expert pour l’optimisation et l’identification de systèmes dynamiques”, Actes du septième colloque international sur les méthodes de calcul scientifique et tech-nique, Versailles, North Holland, 1985.
[88] G. Blankenship, C. Gomez, J.P. Quadrat, A.Sulem and I. Yan, “An Expert System for Stochastic Control and signal processing”, MTNS conf., Stockholm, 1985
[89] C. Gomez, J.P. Quadrat and A.Sulem. “Towards an Expert System in Stochastic Control: the Hamilton-Jacobi equa- tion part”, Lecture Notes in Control and Information Sciences,63, Springer Verlag, Proceedings Sixth InternationalConf. on Analysis and Optimization of Systems, Nice, 1984,
[90] C. Gomez, J.P. Quadrat and A.Sulem. “Towards an Expert System in Stochastic Control: Optimization in the class of Local Feedbacks”, Lecture Notes in Mathematics, 1119, Springer-Verlag, Proceedings Conf. on Stochastic Control,Rome, 1984.
[91] C. Gomez, J.P. Quadrat and A.Sulem. “An Expert System for Stochastic Control : the stochastic gradient part”, Proceedings International Conf. on Stochastic Optimization, Kiev, 1984.
[92] G. Blankenship, C. Gomez, J.P. Quadrat, A.Sulem and I. Yan, “An Expert System for Stochastic Control and non-linear filtering”, Proceedings 23rd IEEE Conf. on Decision and Control, Las Vegas, 1984.
[93] S. Belbas and A.Sulem. ”Explicit solution of Certain Deterministic Optimal Control Problems with Costly Switchings”, Proceedings Conf. Information Sci. Systems, Baltimore, 1983.
[94] A.Sulem. “Explicit solution of a two-dimensional Quasi-Variational Inequality associated to the management of a two- product inventory system”, Proceedings of the 21st IEEE Conf. on Decision and Control, Orlando, Florida, 458-463,1982.
[95] A.Sulem. “Détermination explicite de la frontière libre d’un problème de contrôle impulsionnel en gestion de stock,” Lecture Notes in Control and Information Sciences, Springer Verlag Vol. 44, 303-319. Proceedings Fifth International Conf. on Analysis and Optimization of Systems, Versailles. 1982.

Research Preprints and Technical Reports
[R1] M. Grigorova, M.C. Quenez and A. Sulem : Superhedging prices of European and American options in a non-linear incomplete market model with default", Center for Mathematical Economics Working paper 607, Bielefeld University,November 2018.
    https://pub.uni-bielefeld.de/record/2933147
[R2] M. Mnif and A. Sulem. Optimal risk control under excess of loss reinsurance. Research Report RR 4317, INRIA, Rocquencourt, 2001.
[R3] J.P. Chancelier, C. Gomez, J.P. Quadrat et A.Sulem. “PANDORE: Un système expert pour l’optimisation des systèmes dynamiques”, Les Avancées en Programmation Bigre 70, Actes journées Afcet-Groplan, 113-124, 1990.
[R4] A. Sulem. “Application of stochastic control to portfolio selection with transaction costs”, Rapport de recherche INRIA 1062, 1989.
[R5] MacroTeX : J.P. Chancelier et A.Sulem. “Un générateur de code LATEX implémenté en MACSYMA”, Cahiers Gutenberg 3, 1989.
[R6] J.P. Chancelier, C. Gomez, J.P. Quadrat et A.Sulem. “Un environnement de Calcul Formel et Numérique pour l’Automatique,” Rapport final Convention DRET, 1989.
[R7] J.P. Chancelier and A.Sulem. “ MacroTeX : A LATEX code generator in Macsyma”, Rapport technique INRIA 93, 1987.
[R8] J.P. Chancelier, C. Gomez, J.P. Quadrat et A.Sulem. “PANDORE : Exemple de commande optimale automatisée,” Rapport technique. R.G. 6., Greco de Programmation. 1986.

Invited contributions and dissemination of scientific knowledge
[I1] A.Sulem and A. Zanette. Premia: A Numerical Platform for Pricing Financial Derivatives, Ercim News, 78, July 2009.
[I2] A. Sulem. Mathématiques financières; des modèles de plus en plus complexes, la Recherche, Avril 2009.
    http://hal.inria.fr/inria-00527579/fr/
[I3] Interstices "A propos des mathématiques financières", Mars 2008,
    http://interstices.info/jcms/c_16682/a-propos-des-mathematiques-financieres

PhD and Habilitation dissertations
[T1] A. Sulem. Etude et mise en œuvre de méthodes analytiques et numériques en Contrôle Stochastique et en Optimi-sation - Applications en gestion, Thèse d’habilitation à diriger des recherches, Université Paris IX-Dauphine, 1993.
[T2] A. Sulem. Résolution explicite d’Inéquations Quasi-Variationnelles associées à des problèmes de gestion de stock,Thèse de Doctorat de 3ème cycle de Mathématiques, Université Paris IX-Dauphine, 1983.