42 citations · 163 across the 29 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
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…