フォロー
Dylan Possamaï
Dylan Possamaï
Full Professor, ETH Zürich, Mathematics
確認したメール アドレス: math.ethz.ch - ホームページ
タイトル
引用先
引用先
年
Dynamic programming approach to principal–agent problems
J Cvitanić, D Possamaï, N Touzi
Finance and Stochastics 22 (1), 1–37, 2018
1552018
Moral hazard in dynamic risk management
J Cvitanić, D Possamaï, N Touzi
Management Science 63 (10), 3328–3346, 2017
1192017
Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
A Matoussi, D Possamaï, C Zhou
Mathematical Finance 25 (2), 258–287, 2015
1152015
A tale of a principal and many, many agents
R Élie, T Mastrolia, D Possamaï
Mathematics of Operations Research 44 (2), 440–467, 2019
1112019
McKean–Vlasov optimal control: the dynamic programming principle
MF Djete, D Possamaï, X Tan
The Annals of Probability 50 (2), 791–833, 2022
1052022
Stochastic control for a class of nonlinear kernels and applications
D Possamaï, X Tan, C Zhou
The Annals of Probability 46 (1), 551–603, 2018
862018
Contracting theory with competitive interacting agents
R Élie, D Possamaï
SIAM Journal on Control and Optimization 57 (2), 1157–1188, 2019
752019
McKean–Vlasov optimal control: limit theory and equivalence between different formulations
MF Djete, D Possamaï, X Tan
Mathematics of Operations Research 47 (4), 2891–2930, 2022
702022
Homogenization and asymptotics for small transaction costs: the multidimensional case
D Possamaï, HM Soner, N Touzi
Communications in Partial Differential Equations 40 (11), 2005–2046, 2015
632015
Optimal electricity demand response contracting with responsiveness incentives
R Aïd, D Possamaï, N Touzi
Mathematics of Operations Research 47 (3), 2112–2137, 2022
60*2022
Mean-field moral hazard for optimal energy demand response management
R Élie, E Hubert, T Mastrolia, D Possamaï
Mathematical Finance 31 (1), 399–473, 2021
602021
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
B Bouchard, D Possamaï, X Tan, C Zhou
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54 (1 …, 2018
602018
Existence and uniqueness results for BSDE with jumps: the whole nine yards
A Papapantoleon, D Possamaï, A Saplaouras
Electronic Journal of Probability 23 (121), 1–68, 2018
592018
On the robust superhedging of measurable claims
D Possamaï, G Royer, N Touzi
Electronic Communications in Probability 18 (95), 1–13, 2013
572013
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
C Hernández, D Possamaï
The Annals of Applied Probability 33 (2), 1396–1458, 2023
562023
Second order reflected backward stochastic differential equations
A Matoussi, D Possamaï, C Zhou
The Annals of Applied Probability 23 (6), 2420–2457, 2013
442013
Utility maximization with random horizon: a BSDE approach
M Jeanblanc, T Mastrolia, D Possamaï, A Réveillac
International Journal of Theoretical and Applied Finance 18 (07), 1550045, 2015
422015
Quadratic BSDEs with jumps: a fixed-point approach
D Possamaï, N Kazi-Tani, C Zhou
Electronic Journal of Probability 20 (66), 1–28, 2015
422015
Second order backward stochastic differential equations with quadratic growth
D Possamaï, C Zhou
Stochastic Processes and their Applications 123 (10), 3770–3799, 2013
412013
Efficient simulation of the double Heston model
P Gauthier, D Possamaï
The IUP Journal of Computational Mathematics 4 (3), 23–73, 2011
382011
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