Zobrazeno 1 - 10
of 27
pro vyhledávání: '"Djete, Mao Fabrice"'
Autor:
Djete, Mao Fabrice
In this paper, we address three Principal--Agent problems in a moral hazard context and show that they are connected. We start by studying the problem of Principal with multiple Agents in cooperation. The term cooperation is manifested here by the fa
Externí odkaz:
http://arxiv.org/abs/2410.15818
We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common noise. In contrast with \cite{DjeteTouzi}, the problem exhibits the sta
Externí odkaz:
http://arxiv.org/abs/2403.16232
Autor:
Djete, Mao Fabrice
In a situation of moral hazard, this paper investigates the problem of Principal with $n$ Agents when the number of Agents $n$ goes to infinity. There is competition between the Agents expressed by the fact that they optimize their utility functions
Externí odkaz:
http://arxiv.org/abs/2309.00640
We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity process. We provide an explicit solution of this mean field game. Moreover
Externí odkaz:
http://arxiv.org/abs/2303.07996
Autor:
Djete, Mao Fabrice
In order to deal with the question of the existence of a calibrated local stochastic volatility model in finance, we investigate a class of McKean--Vlasov equations where a minimal continuity assumption is imposed on the coefficients. Namely, the dri
Externí odkaz:
http://arxiv.org/abs/2208.09986
Autor:
Djete, Mao Fabrice
In the presence of a common noise, we study the convergence problems in mean field game (MFG) and mean field control (MFC) problem where the cost function and the state dynamics depend upon the joint conditional distribution of the controlled state a
Externí odkaz:
http://arxiv.org/abs/2108.02992
Autor:
Djete, Mao Fabrice, Touzi, Nizar
We introduce a mean field model for optimal holding of a representative agent of her peers as a natural expected scaling limit from the corresponding $N-$agent model. The induced mean field dynamics appear naturally in a form which is not covered by
Externí odkaz:
http://arxiv.org/abs/2104.03884
Autor:
Djete, Mao Fabrice
In this paper, we study the $extended$ mean field control problem, which is a class of McKean-Vlasov stochastic control problem where the state dynamics and the reward functions depend upon the joint (conditional) distribution of the controlled state
Externí odkaz:
http://arxiv.org/abs/2006.12996
Autor:
Djete, Mao Fabrice
In this paper, we investigate a class of mean field games where the mean field interactions are achieved through the joint (conditional) distribution of the controlled state and the control process. The strategies are of $open\;loop$ type, and the vo
Externí odkaz:
http://arxiv.org/abs/2006.12993
We study the McKean-Vlasov optimal control problem with common noise in various formulations, namely the strong and weak formulation, as well as the Markovian and non-Markovian formulations, and allowing for the law of the control process to appear i
Externí odkaz:
http://arxiv.org/abs/1907.08860