208 citations · 1.2k across the 48 of their papers we have counts for
61 papers
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…
Viscosity Solutions for HJB Equations on the Process Space
Jianjun Zhou, Nizar Touzi, Jianfeng Zhang
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic…
Impact of carbon market on production emissions
Arash Fahim, Nizar Touzi
The aim of this paper is to address the effect of the carbon emission allowance market on the production policy of a large polluter production firm. We investigate this effect in t…
Mean field game of mutual holding with defaultable agents, and systemic risk
Mao Fabrice Djete, Gaoyue Guo, Nizar Touzi
We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity proc…
A Principal-Agent Model for Optimal Incentives in Renewable Investments
René Aïd, Annika Kemper, Nizar Touzi
We investigate the optimal regulation of energy production in alignment with the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to fos…
From finite population optimal stopping to mean field optimal stopping
Mehdi Talbi, Nizar Touzi, Jianfeng Zhang
This paper analyzes the convergence of the finite population optimal stopping problem towards the corresponding mean field limit. Building on the viscosity solution characterizatio…