22 citations · 43 across the 21 of their papers we have counts for
4 papers · 1 filter
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…