8 citations · 8 across the 2 of their papers we have counts for
12 papers
On Z-mean reflected BSDEs
Joffrey Derchu, Thibaut Mastrolia
In this paper we provide conditions for the existence of supersolutions to BSDEs with mean-reflections on the component. We show that, contrary to BSDEs with mean-reflections o…
AHEAD : Ad-Hoc Electronic Auction Design
Joffrey Derchu, Philippe Guillot, Thibaut Mastrolia +1
We introduce a new matching design for financial transactions in an electronic market. In this mechanism, called ad-hoc electronic auction design (AHEAD), market participants can t…
Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach
Bastien Baldacci, Iuliia Manziuk, Thibaut Mastrolia +1
We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fees policy to attra…
Scaling limit for stochastic control problems in population dynamics
Paul Jusselin, Thibaut Mastrolia
Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of s…
Regulation of renewable resource exploitation
Idris Kharroubi, Thomas Lim, Thibaut Mastrolia
We investigate the impact of a regulation policy imposed on an agent exploiting a possibly renewable natural resource. We adopt a principal-agent model in which the Principal looks…
Optimal auction duration: A price formation viewpoint
Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum
We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of t…