8 citations · 9 across the 9 of their papers we have counts for
7 papers · 1 filter
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…
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…
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…
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…
Density analysis of non-Markovian BSDEs and applications to biology and finance
Thibaut Mastrolia
In this paper, we provide conditions which ensure that stochastic Lipschitz BSDEs admit Malliavin differentiable solutions. We investigate the problem of existence of densities for…