42 citations · 163 across the 29 of their papers we have counts for
5 papers · 1 filter
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…
Moral Hazard in Dynamic Risk Management
Jakša Cvitanić, Dylan Possamaï, Nizar Touzi
We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principa…
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…
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…