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A unified approach to well-posedness of type-I backward stochastic Volterra integral equations

 Camilo Hernández , Dylan Possamaï
Electronic Journal of Probability, 2021, 26 (89), pp.1-35. ⟨10.1214/21-EJP653⟩
Article dans une revue hal-03522249v1
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A tale of a principal and many many agents

 Romuald Elie , Thibaut Mastrolia , Dylan Possamaï
Mathematics of Operations Research, 2019, 44 (2), pp.440-467. ⟨10.1287/moor.2018.0931⟩
Article dans une revue hal-01481390v1

Homogenization and asymptotics for small transaction costs: the multidimensional case

 Dylan Possamaï , Mete H. Soner , Nizar Touzi
Communications in Partial Differential Equations, 2015, 40 (11), pp.2005-2046. ⟨10.1080/03605302.2015.1053916⟩
Article dans une revue hal-01245363v1
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Contracting theory with competitive interacting agents

 Romuald Elie , Dylan Possamaï
SIAM Journal on Control and Optimization, 2019, 57 (2), pp.1157-1188. ⟨10.1137/17M1121202⟩
Article dans une revue hal-01481381v1

Equilibrium asset pricing with transaction costs

 Martin Herdegen , Johannes Muhle-Karbe , Dylan Possamaï
Finance and Stochastics, 2021, 25 (2), pp.231-275. ⟨10.1007/s00780-021-00449-4⟩
Article dans une revue hal-03522246v1
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A general Doob-Meyer-Mertens decomposition for g-supermartingale systems

 Bruno Bouchard , Dylan Possamaï , Xiaolu Tan
Electronic Journal of Probability, 2016, 21 (36), ⟨10.1214/16-EJP4527⟩
Article dans une revue hal-01148307v2

Second order BSDEs with jumps: formulation and uniqueness

 Mohamed Nabil Kazi-Tani , Dylan Possamaï , Chao Zhou
The Annals of Applied Probability, 2015, 25 (5), pp.2867-2908. ⟨10.1214/14-AAP1063⟩
Article dans une revue hal-01102791v1
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On a class of path-dependent singular stochastic control problems

 Romuald Elie , Ludovic Moreau , Dylan Possamaï
SIAM Journal on Control and Optimization, 2018, 56 (5), pp.3260-3295. ⟨10.1137/17M1114235⟩
Article dans une revue hal-01481393v1
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Density analysis of BSDEs

 Thibaut Mastrolia , Dylan Possamaï , Anthony Réveillac
Annals of Probability, 2016, 44 (4), pp.2817 - 2857. ⟨10.1214/15-AOP1035⟩
Article dans une revue hal-01432980v1
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A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations

 Bruno Bouchard , Dylan Possamaï , Xiaolu Tan , Chao Zhou
Annales de l'Institut Henri Poincaré, 2018, 54 (1), pp.154-172. ⟨10.1214/16-AIHP798⟩
Article dans une revue hal-01179817v1

Efficient simulation of the double Heston model

 Pierre Gauthier , Dylan Possamaï
The IUP Journal of Computational Mathematics, 2011, IV (3), pp.23-73
Article dans une revue hal-03522254v1

Non-asymptotic convergence rates for mean-field games: weak formulation and McKean--Vlasov BSDEs

 Dylan Possamaï , Ludovic Tangpi
2022
Pré-publication, Document de travail hal-03522264v1

On the robust superhedging of measurable claims

 Dylan Possamaï , Guillaume Royer , Nizar Touzi
Electronic Communications in Probability, 2013, 18 (95), pp.1-13. ⟨10.1214/ECP.v18-2739⟩
Article dans une revue hal-01067272v1
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Moral hazard under ambiguity

 Thibaut Mastrolia , Dylan Possamaï
Journal of Optimization Theory and Applications, 2018, 179, pp.452-500. ⟨10.1007/s10957-018-1230-8⟩
Article dans une revue hal-01220331v1

Second order reflected backward stochastic differential equations

 Anis Matoussi , Dylan Possamaï , Chao Zhou
The Annals of Applied Probability, 2013, 23 (6), pp.2420-2457. ⟨10.1214/12-AAP906⟩
Article dans une revue hal-00919119v1

Stability of backward stochastic differential equations: the general case

 Antonis Papapantoleon , Dylan Possamaï , Alexandros Saplaouras
2022
Pré-publication, Document de travail hal-03522266v1

Pollution regulation for electricity generators in a transmission network

 Nicolás Hernández Santibáñez , Alejandro Jofré , Dylan Possamaï
2022
Pré-publication, Document de travail hal-03522267v1

Stability results for martingale representations: the general case

 Antonis Papapantoleon , Dylan Possamaï , Alexandros Saplaouras
Transactions of the American Mathematical Society, 2019, 372 (8), pp.5891-5946. ⟨10.1090/tran/7880⟩
Article dans une revue hal-03522240v1

Incentives, lockdown, and testing: from Thucydides's analysis to the COVID-19 pandemic

 Emma Hubert , Thibaut Mastrolia , Dylan Possamaï , Xavier Warin
2022
Pré-publication, Document de travail hal-03522260v1

Quadratic BSDEs with jumps: a fixed-point approach

 Mohamed Nabil Kazi-Tani , Dylan Possamaï , Chao Zhou
Electronic Journal of Probability, 2015, 20 (66), pp.1-28. ⟨10.1214/EJP.v20-3363⟩
Article dans une revue hal-01245360v1

Large liquidity expansion of super-hedging costs

 Dylan Possamaï , Mete H. Soner , Nizar Touzi
Asymptotic Analysis, 2012, 79 (1-2), pp.45-64. ⟨10.3233/ASY-2011-1089⟩
Article dans une revue hal-00919306v1
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Quadratic BSDEs with jumps: Related nonlinear expectations

 Mohamed Nabil Kazi-Tani , Dylan Possamaï , Chao Zhou
Stochastics and Dynamics, 2016, 16 (4), pp.1650012. ⟨10.1142/S021949371650012X⟩
Article dans une revue hal-01432974v1
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Corrigendum for "Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty

 Anis Matoussi , Dylan Possamaï , Chao Zhou
The Annals of Applied Probability, 2021, 31 (3), pp.1505-1522. ⟨10.1214/20-AAP1622⟩
Article dans une revue hal-01546734v1

Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model

 Anis Matoussi , Dylan Possamaï , Chao Zhou
Mathematical Finance, 2015, 25 (2), pp.258-287. ⟨10.1111/mafi.12031⟩
Article dans une revue hal-00919124v1

Second order backward stochastic differential equations under a monotonicity condition

 Dylan Possamaï
Stochastic Processes and their Applications, 2013, 123 (5), pp.1521-1545. ⟨10.1016/j.spa.2013.01.002⟩
Article dans une revue hal-00919144v1
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Stochastic control for a class of nonlinear kernels and applications

 Dylan Possamaï , Xiaolu Tan , Chao Zhou
Annals of Probability, 2018, 46 (1), pp.551-603. ⟨10.1214/17-AOP1191⟩
Article dans une revue hal-01247006v1

Dynamic programming approach to principal-agent problems

 Jakša Cvitanić , Dylan Possamaï , Nizar Touzi
Finance and Stochastics, 2018, 22, pp.1-37. ⟨10.1007/s00780-017-0344-4⟩
Article dans une revue hal-01481374v1

Second order backward stochastic differential equations with quadratic growth

 Dylan Possamaï , Chao Zhou
Stochastic Processes and their Applications, 2013, 123 (10), pp.3770-3799. ⟨10.1016/j.spa.2013.05.007⟩
Article dans une revue hal-00919127v1

Optimal make-take fees in a multi market-maker environment

 Bastien Baldacci , Dylan Possamaï , Mathieu Rosenbaum
SIAM Journal on Financial Mathematics, 2021, 12 (1), pp.446-486. ⟨10.1137/19M1277412⟩
Article dans une revue hal-03522247v1

Zero-sum path-dependent stochastic differential games in weak formulation

 Dylan Possamaï , Nizar Touzi , Jianfeng Zhang
The Annals of Applied Probability, 2020, 30 (3), pp.1415-1457. ⟨10.1214/19-AAP1533⟩
Article dans une revue hal-03522242v1
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