Thibaut Mastrolia

Home Conferences Teaching CV 

Preprint

Common agency dilemma with information asymmetry in continuous time, (arXiv:1706.02936)
with Z. Ren.

Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions, (hal-01504473).

A tale of a Principal and many many Agents, (arXiv:1608.05226)
with R. Elie and D. Possamaï.

Moral Hazard under Ambiguity, (hal-01220331)
with D. Possamaï.

Accepted papers

Density analysis of non-Markovian BSDEs and applications to biology and finance, (2017). To appear in Stochastic Processes and their Applications , (hal-01220331)

On the Malliavin differentiability of BSDEs, (2017). Annales de l’Institut Henri Poincaré série Probabilités et Statistiques, Vol. 53, No. 1, 464–492,
with D. Possamaï and A. Réveillac.

Density analysis of BSDEs, (2016). Annals of Probability, Vol. 44, No. 4, 2817-2857 ,
with D. Possamaï and A. Réveillac.

A note on the Malliavin-Sobolev spaces, (2016). Statistics and Probability Letters, 109:45-53.(arXiv:1501.01777).
with P. Imkeller, D. Possamaï and A. Réveillac.

Utility maximization with random horizon: a BSDE approach, (2015). International Journal of Theoretical and Applied Finance, 18(07)1550045. (arXiv:1503.02062)
with M. Jeanblanc, D. Possamaï and A. Réveillac.



PhD thesis

On the regularity of solutions to Backward SDE and applications to finance, (pdf) defended December 14th, 2015 at Paris-Dauphine University.



Technical reports

Exponential Utility Maximisation under Risk Constraints, (pdf), (in french)
with B. Bartoli and E. Pillin.

Dynamic risk measure, and quadratic BSDEs, (pdf), (in french)
with C. Guillaumie.