47 citations · 47 across the 8 of their papers we have counts for
10 papers
Backward SDE characterization of the finite horizon Principal-Agent problem
Nizar Touzi, Yuxing Huang
We consider the finite horizon continuous-time Principal--Agent problem under deterministic discount factors. Following the Sannikov reduction to a stochastic control problem, we p…
Forward Hedging Reshapes Incentive Provision
René Aïd, Nizar Touzi, Stéphane Villeneuve
We study how forward hedging reshapes incentive provision inside the firm. We consider a risk-averse producer facing demand and production risk that can either operate in-house or…
On Approximate Nash Equilibria in Mean Field Games
Mao Fabrice Djete, Nizar Touzi
In the context of large population symmetric games, approximate Nash equilibria are introduced through equilibrium solutions of the corresponding mean field game in the sense that…
Particle system approximation of Nash equilibria in large games
Ludovic Tangpi, Nizar Touzi
We develop a probabilistic framework to approximate Nash equilibria in symmetric -player games in the large population regime, via the analysis of associated mean field games (M…
Itô-Wentzell formulas for semimartingale conditional laws with applications to mean-field control
Nizar Touzi, Mehdi Talbi
The present paper is an extension of Fadle-Touzi (2024). Following the same methodology, merely based on Taylor expansions, we establish the Itô and Itô-Wentzell formulae for flows…
Sensitivity of functionals of McKean-Vlasov SDE's with respect to the initial distribution
Filippo de Feo, Salvatore Federico, Fausto Gozzi +1
We examine the sensitivity at the origin of the distributional robust optimization problem in the context of a model generated by a mean field stochastic differential equation. We…