36 citations · 36 across the 5 of their papers we have counts for
5 papers
Gaussian Agency problems with memory and Linear Contracts
Eduardo Abi Jaber, Stéphane Villeneuve
Can a principal still offer optimal dynamic contracts that are linear in end-of-period outcomes when the agent controls a process that exhibits memory? We provide a positive answer…
Swarm gradient dynamics for global optimization: the density case
Jérôme Bolte, Laurent Miclo, Stéphane Villeneuve
Using jointly geometric and stochastic reformulations of nonconvex problems and exploiting a Monge-Kantorovich gradient system formulation with vanishing forces, we formally extend…
A Class of Explicit optimal contracts in the face of shutdown
Jessica Martin, Stéphane Villeneuve
What type of delegation contract should be offered when facing a risk of the magnitude of the pandemic we are currently experiencing and how does the likelihood of an exogenous ear…
On a Monotone Dynamic Approach to Optimal Stopping Problems for Continuous-Time Markov Chains
Laurent Miclo, Stéphane Villeneuve
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We intr…
A mixed singular/switching control problem for a dividend policy with reversible technology investment
Vathana Ly Vath, Huyên Pham, Stéphane Villeneuve
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem co…