9 citations · 16 across the 7 of their papers we have counts for
8 papers
One model to solve them all: 2BSDE families via neural operators
Takashi Furuya, Anastasis Kratsios, Dylan Possamaï +1
We introduce a mild generative variant of the classical neural operator model, which leverages Kolmogorov--Arnold networks to solve infinite families of second-order backward stoch…
Mind the jumps: well-posedness of semi-martingale 2BSDEs
Dylan Possamaï, Marco Rodrigues, Alexandros Saplaouras
We develop a well-posedness theory for second-order backward stochastic differential equations (2BSDEs) with jumps. This work covers two complementary notions of solution: an extri…
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 Malliavin differentiability of BSDEs
Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac
In this paper we provide new conditions for the Malliavin differentiability of solutions of Lipschitz or quadratic BSDEs. Our results rely on the interpretation of the Malliavin de…