42 citations · 163 across the 29 of their papers we have counts for
9 papers · 1 filter
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…
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…
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…
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…
Moral hazard under ambiguity
Thibaut Mastrolia, Dylan Possamaï
In this paper, we extend the Holmstroöm and Milgrom problem [47] by adding uncertainty about the volatility of the output for both the Agent and the Principal. We study more precis…
Dynamic programming approach to principal-agent problems
Jakša Cvitanić, Dylan Possamaï, Nizar Touzi
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach…
General indifference pricing with small transaction costs
Dylan Possamaï, Guillaume Royer
We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility fun…