7

Quadratic BSDEs with jumps: Related nonlinear expectations

Kazi-Tani, Nabil, Possamaï, Dylan, Zhou, Chao
Journal:
Stochastics and Dynamics
Year:
2015
Language:
english
File:
PDF, 397 KB
english, 2015
8

Moral Hazard in Dynamic Risk Management

Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar
Journal:
Management Science
Year:
2016
Language:
english
File:
PDF, 427 KB
english, 2016
9

Density analysis of BSDEs

Mastrolia, Thibaut, Possamaï, Dylan, Réveillac, Anthony
Journal:
The Annals of Probability
Year:
2016
Language:
english
File:
PDF, 372 KB
english, 2016
11

Dynamic programming approach to principal–agent problems

Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar
Journal:
Finance and Stochastics
Year:
2017
Language:
english
File:
PDF, 1020 KB
english, 2017
12

Stochastic control for a class of nonlinear kernels and applications

Possamaï, Dylan, Tan, Xiaolu, Zhou, Chao
Journal:
The Annals of Probability
Year:
2018
Language:
english
File:
PDF, 504 KB
english, 2018
14

Efficient Simulation of the Double Heston Model

Gauthier, Pierre, Possamai, Dylan
Journal:
SSRN Electronic Journal
Year:
2010
Language:
english
File:
PDF, 674 KB
english, 2010
15

A mathematical treatment of bank monitoring incentives

Henri Pagès, Dylan Possamaï
Journal:
Finance and Stochastics
Year:
2014
Language:
english
File:
PDF, 1.08 MB
english, 2014
19

Second order reflected backward stochastic differential equations

Matoussi, Anis, Possamai, Dylan, Zhou, Chao
Journal:
The Annals of Applied Probability
Year:
2013
Language:
english
File:
PDF, 344 KB
english, 2013
20

A note on the Malliavin–Sobolev spaces

Imkeller, Peter, Mastrolia, Thibaut, Possamaï, Dylan, Réveillac, Anthony
Journal:
Statistics & Probability Letters
Year:
2015
Language:
english
File:
PDF, 431 KB
english, 2015
21

Second-order BSDEs with jumps: Formulation and uniqueness

Kazi-Tani, Nabil, Possamaï, Dylan, Zhou, Chao
Journal:
The Annals of Applied Probability
Year:
2015
Language:
english
File:
PDF, 373 KB
english, 2015
22

Weak approximation of second-order BSDEs

Possamaï, Dylan, Tan, Xiaolu
Journal:
The Annals of Applied Probability
Year:
2015
Language:
english
File:
PDF, 322 KB
english, 2015
23

Quadratic BSDEs with jumps: a fixed-point approach

Possamai, Dylan, Kazi-Tani, Nabil, Zhou, Chao
Journal:
Electronic Journal of Probability
Year:
2015
Language:
english
File:
PDF, 341 KB
english, 2015
25

On the robust superhedging of measurable claims

Possamaï, Dylan, Royer, Guillaume, Touzi, Nizar
Journal:
Electronic Communications in Probability
Year:
2013
Language:
english
File:
PDF, 334 KB
english, 2013
26

Moral Hazard Under Ambiguity

Mastrolia, Thibaut, Possamaï, Dylan
Journal:
Journal of Optimization Theory and Applications
Year:
2018
Language:
english
File:
PDF, 726 KB
english, 2018
28

A Tale of a Principal and Many, Many Agents

Elie, Romuald, Mastrolia, Thibaut, Possamaï, Dylan
Journal:
Mathematics of Operations Research
Year:
2018
Language:
english
File:
PDF, 510 KB
english, 2018
30

Contracting Theory with Competitive Interacting Agents

Elie, Romuald, Possamaï, Dylan
Journal:
SIAM Journal on Control and Optimization
Year:
2019
Language:
english
File:
PDF, 375 KB
english, 2019
31

Equilibrium Asset Pricing with Transaction Costs

Herdegen, Martin, Muhle-Karbe, Johannes, Possamaï, Dylan
Journal:
SSRN Electronic Journal
Year:
2019
Language:
english
File:
PDF, 624 KB
english, 2019
32

Optimal Electricity Demand Response Contracting With Responsiveness Incentives

Aid, Rene, Possamaï, Dylan, Touzi, Nizar
Journal:
SSRN Electronic Journal
Year:
2018
Language:
english
File:
PDF, 3.93 MB
english, 2018