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Author ID: possamai.dylan Recent zbMATH articles by "Possamaï, Dylan"
Published as: Possamaï, Dylan; Possamai, Dylan
External Links: ORCID

Publications by Year

Citations contained in zbMATH Open

45 Publications have been cited 503 times in 307 Documents Cited by Year
Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model. Zbl 1335.91067
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao
41
2015
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
40
2018
Stochastic control for a class of nonlinear kernels and applications. Zbl 1393.60064
Possamaï, Dylan; Tan, Xiaolu; Zhou, Chao
35
2018
A tale of a principal and many, many agents. Zbl 1443.91198
Elie, Romuald; Mastrolia, Thibaut; Possamaï, Dylan
26
2019
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
24
2015
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations. Zbl 1434.60134
Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu; Zhou, Chao
22
2018
Existence and uniqueness results for BSDE with jumps: the whole nine yards. Zbl 1406.60064
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros
18
2018
On the robust superhedging of measurable claims. Zbl 1297.93188
Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar
17
2013
McKean-Vlasov optimal control: the dynamic programming principle. Zbl 1491.49018
Djete, Mao Fabrice; Possamaï, Dylan; Tan, Xiaolu
17
2022
Contracting theory with competitive interacting agents. Zbl 1411.91354
Elie, Romuald; Possamaï, Dylan
16
2019
Second order reflected backward stochastic differential equations. Zbl 1303.60049
Matoussi, Anis; Possamai, Dylan; Zhou, Chao
16
2013
Utility maximization with random horizon: a BSDE approach. Zbl 1337.91155
Jeanblanc, Monique; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
15
2015
Quadratic BSDEs with jumps: a fixed-point approach. Zbl 1321.60129
Possamai, Dylan; Kazi-Tani, Nabil; Zhou, Chao
13
2015
Second-order BSDEs with general reflection and game options under uncertainty. Zbl 1330.60074
Matoussi, Anis; Piozin, Lambert; Possamaï, Dylan
12
2014
Second-order BSDEs with jumps: formulation and uniqueness. Zbl 1325.60091
Kazi-Tani, Nabil; Possamaï, Dylan; Zhou, Chao
12
2015
Second order backward stochastic differential equations with quadratic growth. Zbl 1292.60059
Possamaï, Dylan; Zhou, Chao
12
2013
A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems. Zbl 1343.60050
Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu
10
2016
Moral hazard under ambiguity. Zbl 1418.91278
Mastrolia, Thibaut; Possamaï, Dylan
10
2018
A mathematical treatment of bank monitoring incentives. Zbl 1307.60098
Pagès, Henri; Possamaï, Dylan
9
2014
Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs. Zbl 1321.60125
Kazi-Tani, Nabil; Possamaï, Dylan; Zhou, Chao
9
2015
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents. Zbl 1525.60073
Hernández, Camilo; Possamaï, Dylan
9
2023
On the Malliavin differentiability of BSDEs. Zbl 1361.60046
Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
8
2017
Quadratic BSDEs with jumps: related nonlinear expectations. Zbl 1339.60070
Kazi-Tani, Nabil; Possamaï, Dylan; Zhou, Chao
8
2016
Stability results for martingale representations: the general case. Zbl 1447.60059
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros
8
2019
Zero-sum path-dependent stochastic differential games in weak formulation. Zbl 1462.35410
Possamaï, Dylan; Touzi, Nizar; Zhang, Jianfeng
8
2020
McKean-Vlasov optimal control: limit theory and equivalence between different formulations. Zbl 1505.93284
Djete, Mao Fabrice; Possamaï, Dylan; Tan, Xiaolu
8
2022
Second-order backward stochastic differential equations under a monotonicity condition. Zbl 1282.60059
Possamaï, Dylan
8
2013
Mean-field moral hazard for optimal energy demand response management. Zbl 1522.91170
Élie, Romuald; Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan
8
2021
A unified approach to well-posedness of type-I backward stochastic Volterra integral equations. Zbl 1470.45021
Hernández, Camilo; Possamaï, Dylan
7
2021
Density analysis of BSDEs. Zbl 1462.60079
Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
6
2016
Optimal make-take fees in a multi market-maker environment. Zbl 1465.91105
Baldacci, Bastien; Possamaï, Dylan; Rosenbaum, Mathieu
6
2021
Optimal electricity demand response contracting with responsiveness incentives. Zbl 1498.91235
Aïd, René; Possamaï, Dylan; Touzi, Nizar
6
2022
Weak approximation of second-order BSDEs. Zbl 1325.60117
Possamaï, Dylan; Tan, Xiaolu
5
2015
An adverse selection approach to power pricing. Zbl 1443.91193
Alasseur, Clémence; Ekeland, Ivar; ÉLie, Romuald; Hernández Santibáñez, Nicolás; Possamaï, Dylan
5
2020
Probabilistic interpretation for solutions of fully nonlinear stochastic pdes. Zbl 1447.60116
Matoussi, Anis; Possamaï, Dylan; Sabbagh, Wissal
4
2019
Equilibrium asset pricing with transaction costs. Zbl 1461.91327
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan
4
2021
On a class of path-dependent singular stochastic control problems. Zbl 1401.60111
Elie, Romuald; Moreau, Ludovic; Possamaï, Dylan
3
2018
Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic. Zbl 1487.92043
Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan; Warin, Xavier
3
2022
Large liquidity expansion of super-hedging costs. Zbl 1263.91017
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
3
2012
Bank monitoring incentives under moral hazard and adverse selection. Zbl 1433.60070
Hernández Santibáñez, Nicolás; Possamaï, Dylan; Zhou, Chao
3
2020
General indifference pricing with small transaction costs. Zbl 1366.35195
Possamaï, Dylan; Royer, Guillaume
2
2017
A note on the Malliavin-Sobolev spaces. Zbl 1329.60170
Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
2
2016
Corrigendum to: “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”. Zbl 1489.60103
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao
2
2021
Governmental incentives for Green bonds investment. Zbl 1497.91270
Baldacci, Bastien; Possamaï, Dylan
2
2022
Pollution regulation for electricity generators in a transmission network. Zbl 1514.91101
Hernández-Santibáñez, Nicolás; Jofré, Alejandro; Possamaï, Dylan
1
2023
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents. Zbl 1525.60073
Hernández, Camilo; Possamaï, Dylan
9
2023
Pollution regulation for electricity generators in a transmission network. Zbl 1514.91101
Hernández-Santibáñez, Nicolás; Jofré, Alejandro; Possamaï, Dylan
1
2023
McKean-Vlasov optimal control: the dynamic programming principle. Zbl 1491.49018
Djete, Mao Fabrice; Possamaï, Dylan; Tan, Xiaolu
17
2022
McKean-Vlasov optimal control: limit theory and equivalence between different formulations. Zbl 1505.93284
Djete, Mao Fabrice; Possamaï, Dylan; Tan, Xiaolu
8
2022
Optimal electricity demand response contracting with responsiveness incentives. Zbl 1498.91235
Aïd, René; Possamaï, Dylan; Touzi, Nizar
6
2022
Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic. Zbl 1487.92043
Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan; Warin, Xavier
3
2022
Governmental incentives for Green bonds investment. Zbl 1497.91270
Baldacci, Bastien; Possamaï, Dylan
2
2022
Mean-field moral hazard for optimal energy demand response management. Zbl 1522.91170
Élie, Romuald; Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan
8
2021
A unified approach to well-posedness of type-I backward stochastic Volterra integral equations. Zbl 1470.45021
Hernández, Camilo; Possamaï, Dylan
7
2021
Optimal make-take fees in a multi market-maker environment. Zbl 1465.91105
Baldacci, Bastien; Possamaï, Dylan; Rosenbaum, Mathieu
6
2021
Equilibrium asset pricing with transaction costs. Zbl 1461.91327
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan
4
2021
Corrigendum to: “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”. Zbl 1489.60103
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao
2
2021
Zero-sum path-dependent stochastic differential games in weak formulation. Zbl 1462.35410
Possamaï, Dylan; Touzi, Nizar; Zhang, Jianfeng
8
2020
An adverse selection approach to power pricing. Zbl 1443.91193
Alasseur, Clémence; Ekeland, Ivar; ÉLie, Romuald; Hernández Santibáñez, Nicolás; Possamaï, Dylan
5
2020
Bank monitoring incentives under moral hazard and adverse selection. Zbl 1433.60070
Hernández Santibáñez, Nicolás; Possamaï, Dylan; Zhou, Chao
3
2020
A tale of a principal and many, many agents. Zbl 1443.91198
Elie, Romuald; Mastrolia, Thibaut; Possamaï, Dylan
26
2019
Contracting theory with competitive interacting agents. Zbl 1411.91354
Elie, Romuald; Possamaï, Dylan
16
2019
Stability results for martingale representations: the general case. Zbl 1447.60059
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros
8
2019
Probabilistic interpretation for solutions of fully nonlinear stochastic pdes. Zbl 1447.60116
Matoussi, Anis; Possamaï, Dylan; Sabbagh, Wissal
4
2019
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
40
2018
Stochastic control for a class of nonlinear kernels and applications. Zbl 1393.60064
Possamaï, Dylan; Tan, Xiaolu; Zhou, Chao
35
2018
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations. Zbl 1434.60134
Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu; Zhou, Chao
22
2018
Existence and uniqueness results for BSDE with jumps: the whole nine yards. Zbl 1406.60064
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros
18
2018
Moral hazard under ambiguity. Zbl 1418.91278
Mastrolia, Thibaut; Possamaï, Dylan
10
2018
On a class of path-dependent singular stochastic control problems. Zbl 1401.60111
Elie, Romuald; Moreau, Ludovic; Possamaï, Dylan
3
2018
On the Malliavin differentiability of BSDEs. Zbl 1361.60046
Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
8
2017
General indifference pricing with small transaction costs. Zbl 1366.35195
Possamaï, Dylan; Royer, Guillaume
2
2017
A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems. Zbl 1343.60050
Bouchard, Bruno; Possamaï, Dylan; Tan, Xiaolu
10
2016
Quadratic BSDEs with jumps: related nonlinear expectations. Zbl 1339.60070
Kazi-Tani, Nabil; Possamaï, Dylan; Zhou, Chao
8
2016
Density analysis of BSDEs. Zbl 1462.60079
Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
6
2016
A note on the Malliavin-Sobolev spaces. Zbl 1329.60170
Imkeller, Peter; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
2
2016
Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model. Zbl 1335.91067
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao
41
2015
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
24
2015
Utility maximization with random horizon: a BSDE approach. Zbl 1337.91155
Jeanblanc, Monique; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
15
2015
Quadratic BSDEs with jumps: a fixed-point approach. Zbl 1321.60129
Possamai, Dylan; Kazi-Tani, Nabil; Zhou, Chao
13
2015
Second-order BSDEs with jumps: formulation and uniqueness. Zbl 1325.60091
Kazi-Tani, Nabil; Possamaï, Dylan; Zhou, Chao
12
2015
Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs. Zbl 1321.60125
Kazi-Tani, Nabil; Possamaï, Dylan; Zhou, Chao
9
2015
Weak approximation of second-order BSDEs. Zbl 1325.60117
Possamaï, Dylan; Tan, Xiaolu
5
2015
Second-order BSDEs with general reflection and game options under uncertainty. Zbl 1330.60074
Matoussi, Anis; Piozin, Lambert; Possamaï, Dylan
12
2014
A mathematical treatment of bank monitoring incentives. Zbl 1307.60098
Pagès, Henri; Possamaï, Dylan
9
2014
On the robust superhedging of measurable claims. Zbl 1297.93188
Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar
17
2013
Second order reflected backward stochastic differential equations. Zbl 1303.60049
Matoussi, Anis; Possamai, Dylan; Zhou, Chao
16
2013
Second order backward stochastic differential equations with quadratic growth. Zbl 1292.60059
Possamaï, Dylan; Zhou, Chao
12
2013
Second-order backward stochastic differential equations under a monotonicity condition. Zbl 1282.60059
Possamaï, Dylan
8
2013
Large liquidity expansion of super-hedging costs. Zbl 1263.91017
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
3
2012
all top 5

Cited by 401 Authors

34 Possamaï, Dylan
16 Zhou, Chao
12 Touzi, Nizar
11 Muhle-Karbe, Johannes
11 Tan, Xiaolu
9 Mastrolia, Thibaut
8 Bartl, Daniel
8 Kupper, Michael
8 Neufeld, Ariel David
7 Hu, Mingshang
7 Nutz, Marcel
7 Pham, Huyên
7 Ren, Zhenjie
6 Bouchard, Bruno
6 Elie, Romuald
6 Wang, Falei
5 Bayraktar, Erhan
5 Carmona, René A.
5 Djete, Mao Fabrice
5 Ekren, Ibrahim
5 Hernández-Santibáñez, Nicolás
5 Kim, Mun Chŏl
5 Lin, Yiqing
5 Popier, Alexandre
5 Yang, Junjian
4 Baldacci, Bastien
4 Cardaliaguet, Pierre
4 Fu, Guanxing
4 Kazi-Tani, Nabil
4 Kharroubi, Idris
4 Laurière, Mathieu
4 Matoussi, Anis
4 O, Hun
4 Ouknine, Youssef
4 Soner, Halil Mete
4 Sun, Yabing
4 Tangpi, Ludovic
4 Yong, Jiongmin
4 Zhang, Jianfeng
4 Zhao, Weidong
3 Bandini, Elena
3 Beiglböck, Mathias
3 Biagini, Francesca
3 Confortola, Fulvia
3 Cosso, Andrea
3 Dayanıklı, Gökçe
3 Fujii, Masaaki
3 Grigorova, Miryana
3 Hernández, Camilo
3 Horst, Ulrich
3 Hubert, Emma
3 Imkeller, Peter
3 Ji, Shaolin
3 Kim, Kon-Gun
3 Li, Hanwu
3 Luo, Peng
3 Nadtochiy, Sergey
3 Nendel, Max
3 Nie, Tianyang
3 Papapantoleon, Antonis
3 Quenez, Marie-Claire
3 Rosenbaum, Mathieu
3 Safdari, Mohammad
3 Saplaouras, Alexandros
3 Šikić, Mario
3 Wang, Hanxiao
3 Xiong, Dewen
3 Yao, Song
3 Zhang, Yuchong
2 Alasseur, Clemence
2 Altarovici, Albert
2 Aurell, Alexander
2 Bank, Peter
2 Becherer, Dirk
2 Bergault, Philippe
2 Bichuch, Maxim
2 Chen, Xinfu
2 Choukroun, Sébastien
2 Cvitanić, Jakša
2 Dai, Min
2 Delong, Łukasz
2 Di Tella, Paolo
2 dos Reis, Gonçalo
2 Firoozi, Dena
2 Gao, Guichen
2 Guasoni, Paolo
2 Han, Xinxin
2 Henry-Labordère, Pierre
2 Herdegen, Martin
2 Herrmann, Sebastian
2 Hu, Ying
2 Jaimungal, Sebastian
2 Kentia, Klebert
2 Khelfallah, Nabil
2 Kruse, Thomas
2 Lacker, Daniel
2 Langrené, Nicolas
2 Li, Bin
2 Li, Chao
2 Lionnet, Arnaud
...and 301 more Authors
all top 5

Cited in 80 Serials

30 Stochastic Processes and their Applications
26 Finance and Stochastics
25 The Annals of Applied Probability
23 SIAM Journal on Control and Optimization
19 Mathematical Finance
18 SIAM Journal on Financial Mathematics
13 Applied Mathematics and Optimization
9 Electronic Journal of Probability
8 Mathematics of Operations Research
8 Stochastics and Dynamics
7 Probability, Uncertainty and Quantitative Risk
6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
6 Stochastics
4 Journal of Mathematical Analysis and Applications
4 Journal of Differential Equations
4 Mathematics and Financial Economics
3 Journal of Optimization Theory and Applications
3 Systems & Control Letters
3 European Journal of Operational Research
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Potential Analysis
3 Bulletin des Sciences Mathématiques
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Mathematical Methods of Operations Research
3 Quantitative Finance
2 The Annals of Probability
2 Transactions of the American Mathematical Society
2 Statistics & Probability Letters
2 Probability Theory and Related Fields
2 MCSS. Mathematics of Control, Signals, and Systems
2 NoDEA. Nonlinear Differential Equations and Applications
2 Electronic Communications in Probability
2 Discrete Dynamics in Nature and Society
2 Journal of Industrial and Management Optimization
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Dynamic Games and Applications
2 S\(\vec{\text{e}}\)MA Journal
1 Journal of Mathematical Biology
1 Journal of Mathematical Physics
1 Mathematical Methods in the Applied Sciences
1 Mathematics of Computation
1 Theory of Probability and its Applications
1 Applied Mathematics and Computation
1 Automatica
1 Journal of Economic Theory
1 Mathematics and Computers in Simulation
1 Proceedings of the American Mathematical Society
1 Insurance Mathematics & Economics
1 Chinese Annals of Mathematics. Series B
1 Stochastic Analysis and Applications
1 Optimization
1 Revista Matemática Iberoamericana
1 Journal of Theoretical Probability
1 Asymptotic Analysis
1 Applications of Mathematics
1 Journal of Global Optimization
1 Numerical Algorithms
1 Journal of Nonlinear Science
1 Calculus of Variations and Partial Differential Equations
1 Economic Theory
1 Monte Carlo Methods and Applications
1 Journal of Combinatorial Optimization
1 International Journal of Theoretical and Applied Finance
1 Journal of the European Mathematical Society (JEMS)
1 Methodology and Computing in Applied Probability
1 Qualitative Theory of Dynamical Systems
1 Scandinavian Actuarial Journal
1 Decisions in Economics and Finance
1 Proceedings of the Steklov Institute of Mathematics
1 Frontiers of Mathematics in China
1 Discrete and Continuous Dynamical Systems. Series S
1 Advances in Applied Mathematics and Mechanics
1 Probability Surveys
1 Annals of Finance
1 Numerical Algebra, Control and Optimization
1 East Asian Journal on Applied Mathematics
1 Minimax Theory and its Applications
1 Computational and Mathematical Biophysics
1 Frontiers of Mathematical Finance
1 Graduate Journal of Mathematics

Citations by Year