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math.OC2023
The value of the information in the Moral Hazard setting
Ishak Hajjej, Caroline Hillairet, Mohamed Mnif
This article studies the problem of evaluating the information that a Principal lacks when establishing an incentive contract with an Agent whose effort is not observable. The Prin…
math.OC2021
Nonzero-sum stochastic impulse games with an application in competitive retail energy markets
René Aïd, Lamia Ben Ajmia, M'hamed Gaïgi +1
We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total exp…
math.OC2010★ 1 cited
Optimal insurance demand under marked point processes shocks: a dynamic programming duality approach
Mohamed Mnif
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a…