22 citations · 43 across the 21 of their papers we have counts for
3 papers · 1 filter
Moral hazard under ambiguity
Thibaut Mastrolia, Dylan Possamaï
In this paper, we extend the Holmstroöm and Milgrom problem [47] by adding uncertainty about the volatility of the output for both the Agent and the Principal. We study more precis…
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…
A note on the Malliavin-Sobolev spaces
Peter Imkeller, Thibaut Mastrolia, Dylan Possamaï +1
In this paper, we provide a strong formulation of the stochastic G{â}teaux differentiability in order to study the sharpness of a new characterization, introduced in [6], of the Ma…