Dylan Possamaï

Publication Activity (10 Years)

Years Active: 2012-2023
Publications (10 Years): 14

Top Topics

Infinite Horizon

Dynamic Programming

Stochastic Control

Top Venues

SIAM J. Control. Optim.

Math. Oper. Res.

Finance Stochastics

J. Optim. Theory Appl.

Publications

Bastien Baldacci, Philippe Bergault, Dylan Possamaï
A Mean-Field Game of Market-Making against Strategic Traders. SIAM J. Financial Math. 14 (4) (2023)
Nicolás Hernández-Santibánez, Alejandro Jofré, Dylan Possamaï
Pollution Regulation for Electricity Generators in a Transmission Network. SIAM J. Control. Optim. 61 (2) (2023)
René Aïd, Dylan Possamaï, Nizar Touzi
Optimal Electricity Demand Response Contracting with Responsiveness Incentives. Math. Oper. Res. 47 (3) (2022)
Mao Fabrice Djete, Dylan Possamaï, Xiaolu Tan
McKean-Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations. Math. Oper. Res. 47 (4) (2022)
Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Optimal Make-Take Fees in a Multi Market-Maker Environment. SIAM J. Financial Math. 12 (1) (2021)
Nicolás Hernández-Santibánez, Dylan Possamaï, Chao Zhou
Bank Monitoring Incentives Under Moral Hazard and Adverse Selection. J. Optim. Theory Appl. 184 (3) (2020)
Clémence Alasseur, Ivar Ekeland, Romuald Elie, Nicolás Hernández-Santibánez, Dylan Possamaï
An Adverse Selection Approach to Power Pricing. SIAM J. Control. Optim. 58 (2) (2020)
Romuald Elie, Thibaut Mastrolia, Dylan Possamaï
A Tale of a Principal and Many, Many Agents. Math. Oper. Res. 44 (2) (2019)
Romuald Elie, Dylan Possamaï
Contracting Theory with Competitive Interacting Agents. SIAM J. Control. Optim. 57 (2) (2019)
Romuald Elie, Ludovic Moreau, Dylan Possamaï
On a Class of Path-Dependent Singular Stochastic Control Problems. SIAM J. Control. Optim. 56 (5) (2018)
Thibaut Mastrolia, Dylan Possamaï
Moral Hazard Under Ambiguity. J. Optim. Theory Appl. 179 (2) (2018)
Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi
Dynamic programming approach to principal-agent problems. Finance Stochastics 22 (1) (2018)
Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi
Moral Hazard in Dynamic Risk Management. Manag. Sci. 63 (10) (2017)
Dylan Possamaï, Guillaume Royer
General indifference pricing with small transaction costs. Asymptot. Anal. 102 (3-4) (2017)
Henri Pagès, Dylan Possamaï
A mathematical treatment of bank monitoring incentives. Finance Stochastics 18 (1) (2014)
Dylan Possamaï, H. Mete Soner, Nizar Touzi
Large liquidity expansion of super-hedging costs. Asymptot. Anal. 79 (1-2) (2012)