60 citations · 96 across the 9 of their papers we have counts for
10 papers
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…
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 Dynkin game on assets with incomplete information on the return
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first…
Numerical approximation of a cash-constrained firm value with investment opportunities
Erwan Pierre, Stéphane Villeneuve, Xavier Warin
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be t…
Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line
Erwan Pierre, Stéphane Villeneuve, Xavier Warin
This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm t…
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…
On the value of optimal stopping games
Erik Ekström, Stephane Villeneuve
We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping tim…