153 citations · 427 across the 46 of their papers we have counts for
11 papers · 1 filter
Mean-field reflected backward stochastic differential equations
Boualem Djehiche, Romuald Elie, Said Hamadène
In this paper, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the distribution of…
Mean-field moral hazard for optimal energy demand response management
Romuald Elie, Emma Hubert, Thibaut Mastrolia +1
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a comm…
A tale of a Principal and many many Agents
Romuald Elie, Thibaut Mastrolia, Dylan Possamaï
In this paper, we investigate a moral hazard problem in finite time with lumpsum and continuous payments, involving infinitely many Agents with mean field type interactions, hir…
BSDEs with mean reflection
Philippe Briand, Romuald Elie, Ying Hu
In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expec…
Regularity of BSDEs with a convex constraint on the gains-process
Bruno Bouchard, Romuald Elie, Ludovic Moreau
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the ter…
On the expectation of normalized Brownian functionals up to first hitting times
Romuald Elie, Mathieu Rosenbaum, Marc Yor
Let B be a Brownian motion and T its first hitting time of the level 1. For U a uniform random variable independent of B, we study in depth the distribution of T^{-1/2}B_{UT}, that…