Zobrazeno 1 - 10
of 380
pro vyhledávání: '"TOUZI, NIZAR"'
Autor:
Sauldubois, Nathan, Touzi, Nizar
We investigate model risk distributionally robust sensitivities for functionals on the Wasserstein space when the underlying model is constrained to the martingale class and/or is subject to constraints on the first marginal law. Our results extend t
Externí odkaz:
http://arxiv.org/abs/2410.06906
Autor:
Fadle, Assil, Touzi, Nizar
We provide a general It\=o\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along the flow of conditional distributions of another continuous semimart
Externí odkaz:
http://arxiv.org/abs/2404.11010
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
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second order pat
Externí odkaz:
http://arxiv.org/abs/2401.04920
Autor:
Fahim, Arash, Touzi, Nizar
The aim of this paper is to address the effect of the carbon emission allowance market on the production policy of a large polluter production firm. We investigate this effect in two cases; when the large polluter cannot affect the risk premium of th
Externí odkaz:
http://arxiv.org/abs/2312.03665
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
We investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand fo
Externí odkaz:
http://arxiv.org/abs/2302.12167
This paper analyzes the convergence of the finite population optimal stopping problem towards the corresponding mean field limit. Building on the viscosity solution characterization of the mean field optimal stopping problem of our previous papers [T
Externí odkaz:
http://arxiv.org/abs/2210.16004
This paper is a continuation of our accompanying paper [Talbi, Touzi and Zhang (2021)], where we characterized the mean field optimal stopping problem by an obstacle equation on the Wasserstein space of probability measures, provided that the value f
Externí odkaz:
http://arxiv.org/abs/2203.17162