8 papers
Backward SDE characterization of the finite horizon Principal-Agent problem
Nizar Touzi, Yuxing Huang
We consider the finite horizon continuous-time Principal--Agent problem under deterministic discount factors. Following the Sannikov reduction to a stochastic control problem, we p…
Forward Hedging Reshapes Incentive Provision
René Aïd, Nizar Touzi, Stéphane Villeneuve
We study how forward hedging reshapes incentive provision inside the firm. We consider a risk-averse producer facing demand and production risk that can either operate in-house or…
Particle system approximation of Nash equilibria in large games
Ludovic Tangpi, Nizar Touzi
We develop a probabilistic framework to approximate Nash equilibria in symmetric -player games in the large population regime, via the analysis of associated mean field games (M…
On Approximate Nash Equilibria in Mean Field Games
Mao Fabrice Djete, Nizar Touzi
In the context of large population symmetric games, approximate Nash equilibria are introduced through equilibrium solutions of the corresponding mean field game in the sense that…
ItÅ and ItÅ-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach
Assil Fadle, Mehdi Talbi, Nizar Touzi
We provide a general ItÅ\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along…
First order Martingale model risk and semi-static hedging
Nathan Sauldubois, Nizar Touzi
We investigate model risk distributionally robust sensitivities for functionals on the Wasserstein space when the underlying model is constrained to the martingale class and/or is…