42 citations · 163 across the 29 of their papers we have counts for
4 papers · 1 filter
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].…
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…
Bank monitoring incentives under moral hazard and adverse selection
Nicolás Hernández Santibáñez, Dylan Possamaï, Chao Zhou
In this paper, we extend the optimal securitisation model of Pagès [50] and Possamaï and Pagès [51] between an investor and a bank to a setting allowing both moral hazard and adver…