42 citations · 163 across the 29 of their papers we have counts for
8 papers · 2 filters
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…
A mathematical treatment of bank monitoring incentives
Henri Pagès, Dylan Possamaï
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [17], with optimal contracting between competitive investors and an impatient bank…
Second Order Backward Stochastic Differential Equations with Quadratic Growth
Dylan Possamaï, Chao Zhou
We extend the wellposedness results for second order backward stochastic differential equations introduced by Soner, Touzi and Zhang \cite{stz} to the case of a bounded terminal co…
Robust utility maximization in non-dominated models with 2BSDEs
Anis Matoussi, Dylan Possamaï, Chao Zhou
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie…
Second order reflected backward stochastic differential equations
Anis Matoussi, Dylan Possamaï, Chao Zhou
In this article, we build upon the work of Soner, Touzi and Zhang [Probab. Theory Related Fields 153 (2012) 149-190] to define a notion of a second order backward stochastic differ…