42 citations · 163 across the 29 of their papers we have counts for
28 papers · 1 filter
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…
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…
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…
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].…
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…
Stochastic control for a class of nonlinear kernels and applications
Dylan Possamaï, Xiaolu Tan, Chao Zhou
We consider a stochastic control problem for a class of nonlinear kernels. More precisely, our problem of interest consists in the optimisation, over a set of possibly non-dominate…
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan +1
We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous. Unlike the previous related approach…
A general Doob-Meyer-Mertens decomposition for -supermartingale systems
Bruno Bouchard, Dylan Possamaï, Xiaolu Tan
We provide a general Doob-Meyer decomposition for -supermartingale systems, which does not require any right-continuity on the system. In particular, it generalizes the Doob-Mey…
A note on the Malliavin-Sobolev spaces
Peter Imkeller, Thibaut Mastrolia, Dylan Possamaï +1
In this paper, we provide a strong formulation of the stochastic G{â}teaux differentiability in order to study the sharpness of a new characterization, introduced in [6], of the Ma…
Probabilistic interpretation for solutions of fully Nonlinear Stochastic PDEs
Anis Matoussi, Dylan Possamai, Wissal Sabbagh
In this article, we propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE). We prove existence and uniqueness of the s…
Quadratic BSDEs with jumps: related non-linear expectations
M. Nabil Kazi-Tani, Dylan Possamaï, Chao Zhou
In this article, we follow the study of quadratic backward SDEs with jumps,that is to say for which the generator has quadratic growth in the variables (z; u), started in our accom…
Density analysis of BSDEs
Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac
In this paper, we study the existence of densities (with respect to the Lebesgue measure) for marginal laws of the solution to a quadratic growth BSDE. Using the (by now) w…
Weak approximation of second-order BSDEs
Dylan Possamaï, Xiaolu Tan
We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a co…
Second-order BSDEs with general reflection and game options under uncertainty
Anis Matoussi, Lambert Piozin, Dylan Possamaï
The aim of this paper is twofold. First, we extend the results of [33] concerning the existence and uniqueness of second-order reflected 2BSDEs to the case of two obstacles. Under…
Quadratic BSDEs with jumps: a fixed-point approach
M. Nabil Kazi-Tani, Dylan Possamaï, Chao Zhou
In this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z,…
Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs
M. Nabil Kazi-Tani, Dylan Possamaï, Chao Zhou
In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper [15]. We prove existence of these equations by a direct me…
Second-order BSDEs with jumps: Formulation and uniqueness
Nabil Kazi-Tani, Dylan Possamaï, Chao Zhou
In this paper, we define a notion of second-order backward stochastic differential equations with jumps (2BSDEJs for short), which generalizes the continuous case considered by Son…