2 citations · 2 across the 8 of their papers we have counts for
3 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…
Equilibrium prices under hidden Markov fundamentals
Henri Pagès, Dylan Possamaï, Mateo Rodriguez Polo
We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift. We allow the price-dividend ratio to contain an additional posi…
Forcing and duality-corrected contracts for volatility control
Alessandro Chiusolo, Emma Hubert, Dylan Possamaï +1
In this paper, we revisit the construction of optimal incentives in continuous-time principal-agent problems with drift and volatility control. Originally, a general approach relyi…