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Publikováno v:
Mathematics of Operations Research. 47:2891-2930
We study a McKean–Vlasov optimal control problem with common noise in order to establish the corresponding limit theory as well as the equivalence between different formulations, including strong, weak, and relaxed formulations. In contrast to the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a12f23c628923c194f8b66abb5b0fd5a
https://doi.org/10.1287/moor.2021.1232
https://doi.org/10.1287/moor.2021.1232
Publikováno v:
Mathematical Finance
Mathematical Finance, Wiley, 2021, 31 (1), pp.399-473. ⟨10.1111/mafi.12291⟩
Mathematical Finance, Wiley, 2021, 31 (1), pp.399-473. ⟨10.1111/mafi.12291⟩
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a common noise. We formulate the problem as a Principal-Agent problem with m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::020d2a79465f07b2132d6f685fb7fb8f
https://doi.org/10.1111/mafi.12291
https://doi.org/10.1111/mafi.12291
Publikováno v:
The Annals of Probability. 50
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9d515771474e90a5e507f4fae2643ab6
https://doi.org/10.1214/21-aop1548
https://doi.org/10.1214/21-aop1548
In this paper we study a pollution regulation problem in an electricity market with a network structure. The market is ruled by an independent system operator (ISO for short) who has the goal of reducing the pollutant emissions of the providers in th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::30fb5bb6256702832739f832642abe1f
https://hal.archives-ouvertes.fr/hal-03522267
https://hal.archives-ouvertes.fr/hal-03522267
Autor:
Romuald Elie, Dylan Possamaï
Publikováno v:
SIAM Journal on Control and Optimization
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2019, 57 (2), pp.1157-1188. ⟨10.1137/17M1121202⟩
SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics, 2019, 57 (2), pp.1157-1188. ⟨10.1137/17M1121202⟩
In a framework close to the one developed by Holmstr\"om and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each hired Agent is in charge of one project, and can make efforts towards managing his own pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7a5dc03fdfbeae446fe7f64f734a0468
https://doi.org/10.1137/17m1121202
https://doi.org/10.1137/17m1121202
Publikováno v:
Annals of Applied Probability
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2021, 31 (3), pp.1505-1522. ⟨10.1214/20-AAP1622⟩
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2021, 31 (3), pp.1505-1522. ⟨10.1214/20-AAP1622⟩
The aim of this short note is to fill in a gap in our earlier paper [16] on 2BSDEs with reflections, and to explain how to correct the subsequent results in the second paper [15]. We also provide more insight on the properties of 2RBSDEs, in the ligh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b72133b6f166194b07fdfe0dfbabc79d
https://doi.org/10.1214/20-aap1622
https://doi.org/10.1214/20-aap1622
Autor:
Camilo Hernández, Dylan Possamaï
Publikováno v:
Electronic Journal of Probability
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2021, 26 (89), pp.1-35. ⟨10.1214/21-EJP653⟩
Electronic Journal of Probability, 26
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2021, 26 (89), pp.1-35. ⟨10.1214/21-EJP653⟩
Electronic Journal of Probability, 26
We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite family of standard backward SDEs and establish its well-posedness, and we show that it is equivalent
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac5e405d83188d7e8a59a1d50efdc336
http://hdl.handle.net/10044/1/91794
http://hdl.handle.net/10044/1/91794
Autor:
Bastien Baldacci, Dylan Possamaï
Motivated by the recent studies on the green bond market, we build a model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same governmental entity. The government provides incentives to the bondholder i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d27fbfcdae7bfd51387a0a84e47366b
Publikováno v:
SIAM Journal on Financial Mathematics
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2021, 12 (1), pp.446-486. ⟨10.1137/19M1277412⟩
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2021, 12 (1), pp.446-486. ⟨10.1137/19M1277412⟩
Following the recent literature on make-take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::16fce0802ac3965bcda1bd81131db7c9
https://hal.archives-ouvertes.fr/hal-03522247
https://hal.archives-ouvertes.fr/hal-03522247