42 citations · 163 across the 29 of their papers we have counts for
44 papers
Aggregation of value processes for semi-martingale BSDEs with jumps
Dylan Possamaï, Marco Rodrigues, Alexandros Saplaouras
We construct a measurable aggregator for the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale b…
Equilibrium prices under hidden Markov fundamentals
Henri Pagès, Dylan Possamaï, Mateo Rodriguez Polo
We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift. We allow the price-dividend ratio to contain an additional posi…
Forcing and duality-corrected contracts for volatility control
Alessandro Chiusolo, Emma Hubert, Dylan Possamaï +1
In this paper, we revisit the construction of optimal incentives in continuous-time principal-agent problems with drift and volatility control. Originally, a general approach relyi…
Closed-loop equilibria for Stackelberg games: a story about stochastic targets
Camilo Hernández, Nicolás Hernández Santibáñez, Emma Hubert +1
We provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem with…
Golden parachutes under the threat of accidents
Dylan Possamaï, Chiara Rossato
This paper addresses a continuous-time contracting model that extends the problem introduced by Sannikov and later rigorously analysed by Possamaï and Touzi. In our model, a princi…
Randomisation with moral hazard: a path to existence of optimal contracts
Daniel Kršek, Dylan Possamaï
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and…
On the population size in stochastic differential games
Dylan Possamaï, Ludovic Tangpi
Commuters looking for the shortest path to their destinations, the security of networked computers, hedge funds trading on the same stocks, governments and populations acting to mi…
Mean-field games of optimal stopping: master equation and weak equilibria
Dylan Possamaï, Mehdi Talbi
We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimi…
Randomness and early termination: what makes a game exciting?
Gaoyue Guo, Sam D. Howison, Dylan Possamaï +1
In this paper we revisit an open problem posed by Aldous on the max-entropy win-probability martingale: given two players of equal strength, such that the win-probability is a mart…
Time-inconsistent contract theory
Camilo Hernández, Dylan Possamaï
This paper investigates the moral hazard problem in finite horizon with both continuous and lump-sum payments, involving a time-inconsistent sophisticated agent and a standard util…
Pollution regulation for electricity generators in a transmission network
Nicolás Hernández Santibáñez, Alejandro Jofré, Dylan Possamaï
In this paper we study a pollution regulation problem in an electricity market with a network structure. The market is ruled by an independent system operator (ISO for short) who h…
Stability of backward stochastic differential equations: the general case
Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergen…
Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs
Dylan Possamaï, Ludovic Tangpi
This work is mainly concerned with the so-called limit theory for mean-field games. Adopting the weak formulation paradigm put forward by Carmona and Lacker, we consider a fully no…
Incentives, lockdown, and testing: from Thucydides's analysis to the COVID-19 pandemic
Emma Hubert, Thibaut Mastrolia, Dylan Possamaï +1
In this work, we provide a general mathematical formalism to study the optimal control of an epidemic, such as the COVID-19 pandemic, via incentives to lockdown and testing. In par…
Is there a Golden Parachute in Sannikov's principal-agent problem?
Dylan Possamaï, Nizar Touzi
This paper provides a complete review of the continuous-time optimal contracting problem introduced by Sannikov, in the extended context allowing for possibly different discount ra…
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
Camilo Hernández, Dylan Possamaï
We develop a theory for continuous-time non-Markovian stochastic control problems which are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman…
Stability results for martingale representations: the general case
Antonis Papapantoleon, Dylan Possamai, Alexandros Saplaouras
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its…
Corrigendum for "Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty"
Anis Matoussi, Dylan Possamaï, Chao Zhou
The aim of this short note is to fill in a gap in our earlier paper [16] on 2BSDEs with reflections, and to explain how to correct the subsequent results in the second paper [15].…
An adverse selection approach to power pricing
Clémence Alasseur, Ivar Ekeland, Romuald Elie +2
We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problems…
On a class of path-dependent singular stochastic control problems
Romuald Elie, Ludovic Moreau, Dylan Possamaï
This paper studies a class of nonMarkovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem…
Bank monitoring incentives under moral hazard and adverse selection
Nicolás Hernández Santibáñez, Dylan Possamaï, Chao Zhou
In this paper, we extend the optimal securitisation model of Pagès [50] and Possamaï and Pagès [51] between an investor and a bank to a setting allowing both moral hazard and adver…
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…
Existence and uniqueness results for BSDEs with jumps: the whole nine yards
Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration…
Contracting theory with competitive interacting agents
Romuald Elie, Dylan Possamaï
In a framework close to the one developed by Holmström and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each hired Agent is in char…