9 citations · 9 across the 2 of their papers we have counts for
4 papers
A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
Camilo Hernández, Dylan Possamaï
We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard…
McKean-Vlasov optimal control: the dynamic programming principle
Mao Fabrice Djete, Dylan Possamaï, Xiaolu Tan
We study the McKean-Vlasov optimal control problem with common noise in various formulations, namely the strong and weak formulation, as well as the Markovian and non-Markovian for…
Utility maximization with random horizon: a BSDE approach
Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamaï +1
In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the…
On the Robust superhedging of measurable claims
Dylan Possamaï, Guillaume Royer, Nizar Touzi
The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that t…