22 citations · 43 across the 21 of their papers we have counts for
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math.PR2016
A tale of a Principal and many many Agents
Romuald Elie, Thibaut Mastrolia, Dylan Possamaï
In this paper, we investigate a moral hazard problem in finite time with lumpsum and continuous payments, involving infinitely many Agents with mean field type interactions, hir…
math.PR2016
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…