47 citations · 47 across the 8 of their papers we have counts for
6 papers · 1 filter
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…
Itō and Itō-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach
Assil Fadle, Mehdi Talbi, Nizar Touzi
We provide a general Itō\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along…
Mean Field Game of Mutual Holding with common noise
Leila Bassou, Mao Fabrice Djete, Nizar Touzi
We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common n…
Dual formulation of the utility maximization problem: the case of nonsmooth utility
B. Bouchard, N. Touzi, A. Zeghal
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing…