22 citations · 43 across the 21 of their papers we have counts for
34 papers
When Should a Human Take Back Control? Optimal Delegation under Turbulent AI Risk
Haoze Yan, Julien Roze, Ved Upadhyay +2
Deploying AI systems requires deciding when to delegate tasks and when humans should intervene to monitor and mitigate risk induced by AI operations. These decisions are challengin…
Continuous-Time Reinforcement Learning for Controlled Hawkes Jump-Diffusions
Tomasz R. Bielecki, Thibaut Mastrolia, Haoze Yan
We study stochastic control of multivariate Hawkes-driven stochastic differential equations with machine learning algorithms in a non-Markovian setting. Due to the path dependence…
Signature Methods for Optimal Market Making
Alberto Gennaro, Thibaut Mastrolia, Francesca Primavera
We propose a signature-based method to solve the optimal market-making problem under a mean-variance criterion. By exploiting signature linearization techniques, we reduce the mark…
Deep ZakaiJ: Structured Filtering for Jump-Diffusion Time Series Forecasting
Yan Leng, Thibaut Mastrolia, Hao Wang
Time series driven by unobserved latent states frequently exhibit abrupt jump discontinuities whose timing and magnitude cannot be predicted from observed history alone. Classical…
Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPs
Isabel Agostino, Thibaut Mastrolia
We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that th…
Learning Optimal Liquidation with Closing Auctions
Julius Graf, Thibaut Mastrolia
We study liquidation when continuous trading is followed by a closing auction. The trader first sells through a limit-order book, then submits signed auction schedules to adjust th…
Delegation or competition: optimal liquidation across dark and lit pools with information privilege
Thibaut Mastrolia, Hao Wang
We study the optimal liquidation problem in both dark and lit pools for an investor delegating the execution of a large position to a broker, in a continuous-time setting with mark…
2BSDE with uncertain horizon and application to stochastic control in erratic environments
Alberto Gennaro, Thibaut Mastrolia
We investigate the existence and uniqueness of non-Markovian second-order backward stochastic differential equations with an uncertain terminal horizon and establish comparison pri…
Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats
Thibaut Mastrolia, Haoze Yan
We study an agency problem between a leader (the principal) seeking to design an optimal incentive scheme to a follower (the agent) to increase the value of a risky project subject…
Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets
Thibaut Mastrolia, Tianrui Xu
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a…
Optimal Impulse Control for Cyber Risk Management
Caroline Hillairet, Thibaut Mastrolia, Wissal Sabbagh
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compart…
Delegated portfolio management with random default
Alberto Gennaro, Thibaut Mastrolia
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Princip…
Clearing time randomization and transaction fees for auction market design
Thibaut Mastrolia, Tianrui Xu
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper…
Equilibria and incentives for illiquid auction markets
Joffrey Derchu, Dimitrios Kavvathas, Thibaut Mastrolia +1
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal str…
Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents
Thibaut Mastrolia, Jiacheng Zhang
We investigate the existence of an optimal policy to monitor a mean field systems of agents managing a risky project under moral hazard with accidents modeled by Lévy processes mag…
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…
Incentives, lockdown, and testing: from Thucydides's analysis to the COVID-19 pandemic
Emma Hubert, Thibaut Mastrolia, Dylan Possamaï +1
In this work, we provide a general mathematical formalism to study the optimal control of an epidemic, such as the COVID-19 pandemic, via incentives to lockdown and testing. In par…
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…
Mean-field moral hazard for optimal energy demand response management
Romuald Elie, Emma Hubert, Thibaut Mastrolia +1
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a comm…
Optimal make-take fees for market making regulation
Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum +1
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit…