| Publication | Date of Publication | Type |
|---|
Reflections on BSDEs
(available as arXiv preprint) | N/A | Paper |
Randomisation with moral hazard: a path to existence of optimal contracts
The Annals of Applied Probability | 2026-08-28 | Paper |
Closed-loop equilibria for Stackelberg games: a story about stochastic targets
The Annals of Applied Probability | 2026-03-10 | Paper |
Mean-field games of optimal stopping: master equation and weak equilibria
Applied Mathematics and Optimization | 2025-11-17 | Paper |
Randomness and early termination: what makes a game exciting?
Probability Theory and Related Fields | 2025-06-26 | Paper |
Is there a golden parachute in Sannikov's principal-agent problem?
Mathematics of Operations Research | 2025-06-02 | Paper |
Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs
Applied Mathematics and Optimization | 2025-04-21 | Paper |
Golden parachutes under the threat of accidents
Mathematical Finance | 2025-04-02 | Paper |
Time-inconsistent contract theory
Mathematical Finance | 2024-11-20 | Paper |
On the population size in stochastic differential games
Notices of the American Mathematical Society | 2024-09-26 | Paper |
Reflections on BSDEs
Electronic Journal of Probability | 2024-05-29 | Paper |
A Mean-Field Game of Market-Making against Strategic Traders
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
Mean–field moral hazard for optimal energy demand response management
Mathematical Finance | 2023-09-27 | Paper |
| Mean-field games of optimal stopping: master equation and weak equilibria | 2023-07-18 | Paper |
Stability of backward stochastic differential equations: the general Lipschitz case
Electronic Journal of Probability | 2023-07-04 | Paper |
Stability of backward stochastic differential equations: the general Lipschitz case
Electronic Journal of Probability | 2023-07-04 | Paper |
| Randomness and early termination: what makes a game exciting? | 2023-06-12 | Paper |
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
The Annals of Applied Probability | 2023-06-05 | Paper |
Pollution Regulation for Electricity Generators in a Transmission Network
SIAM Journal on Control and Optimization | 2023-05-04 | Paper |
McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
Mathematics of Operations Research | 2023-01-09 | Paper |
Optimal electricity demand response contracting with responsiveness incentives
Mathematics of Operations Research | 2022-09-26 | Paper |
Governmental incentives for Green bonds investment
Mathematics and Financial Economics | 2022-07-15 | Paper |
Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic
Journal of Mathematical Biology | 2022-05-05 | Paper |
McKean-Vlasov optimal control: the dynamic programming principle
The Annals of Probability | 2022-04-22 | Paper |
McKean-Vlasov optimal control: the dynamic programming principle
The Annals of Probability | 2022-04-22 | Paper |
Corrigendum to: ``Second-order reflected backward stochastic differential equations'' and ``Second-order BSDEs with general reflection and game options under uncertainty''
The Annals of Applied Probability | 2021-11-04 | Paper |
Corrigendum to: ``Second-order reflected backward stochastic differential equations'' and ``Second-order BSDEs with general reflection and game options under uncertainty''
The Annals of Applied Probability | 2021-11-04 | Paper |
A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
Electronic Journal of Probability | 2021-07-21 | Paper |
Optimal make-take fees in a multi market-maker environment
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
| Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs | 2021-05-02 | Paper |
Equilibrium asset pricing with transaction costs
Finance and Stochastics | 2021-04-29 | Paper |
Zero-sum path-dependent stochastic differential games in weak formulation
The Annals of Applied Probability | 2021-03-18 | Paper |
Zero-sum path-dependent stochastic differential games in weak formulation
The Annals of Applied Probability | 2021-03-18 | Paper |
A Tale of a Principal and Many, Many Agents
Mathematics of Operations Research | 2020-03-12 | Paper |
An adverse selection approach to power pricing
SIAM Journal on Control and Optimization | 2020-03-11 | Paper |
Bank monitoring incentives under moral hazard and adverse selection
Journal of Optimization Theory and Applications | 2020-02-26 | Paper |
Stability results for martingale representations: the general case
Transactions of the American Mathematical Society | 2019-10-24 | Paper |
Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2019-05-23 | Paper |
Contracting theory with competitive interacting agents
SIAM Journal on Control and Optimization | 2019-03-29 | Paper |
Existence and uniqueness results for BSDE with jumps: the whole nine yards
Electronic Journal of Probability | 2019-02-14 | Paper |
Existence and uniqueness results for BSDE with jumps: the whole nine yards
Electronic Journal of Probability | 2019-02-14 | Paper |
Moral hazard under ambiguity
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
On a Class of Path-Dependent Singular Stochastic Control Problems
SIAM Journal on Control and Optimization | 2018-09-25 | Paper |
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-01 | Paper |
Stochastic control for a class of nonlinear kernels and applications
The Annals of Probability | 2018-04-27 | Paper |
Dynamic programming approach to principal-agent problems
Finance and Stochastics | 2018-01-16 | Paper |
General indifference pricing with small transaction costs
Asymptotic Analysis | 2017-07-13 | Paper |
On the Malliavin differentiability of BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-04-06 | Paper |
On the Malliavin differentiability of BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-04-06 | Paper |
Density analysis of BSDEs
The Annals of Probability | 2016-09-30 | Paper |
Density analysis of BSDEs
The Annals of Probability | 2016-09-30 | Paper |
Quadratic BSDEs with jumps: related nonlinear expectations
Stochastics and Dynamics | 2016-06-03 | Paper |
A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
Electronic Journal of Probability | 2016-05-23 | Paper |
A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
Electronic Journal of Probability | 2016-05-23 | Paper |
Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
Communications in Partial Differential Equations | 2016-02-03 | Paper |
Utility maximization with random horizon: a BSDE approach
International Journal of Theoretical and Applied Finance | 2016-01-08 | Paper |
A note on the Malliavin-Sobolev spaces
Statistics & Probability Letters | 2015-12-30 | Paper |
Weak approximation of second-order BSDEs
The Annals of Applied Probability | 2015-10-20 | Paper |
Weak approximation of second-order BSDEs
The Annals of Applied Probability | 2015-10-20 | Paper |
Second-order BSDEs with jumps: formulation and uniqueness
The Annals of Applied Probability | 2015-10-20 | Paper |
Second-order BSDEs with jumps: formulation and uniqueness
The Annals of Applied Probability | 2015-10-20 | Paper |
Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs
Electronic Journal of Probability | 2015-08-07 | Paper |
Quadratic BSDEs with jumps: a fixed-point approach
Electronic Journal of Probability | 2015-08-07 | Paper |
Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
Mathematical Finance | 2015-04-24 | Paper |
Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
Mathematical Finance | 2015-04-24 | Paper |
A mathematical treatment of bank monitoring incentives
Finance and Stochastics | 2014-11-14 | Paper |
On the robust superhedging of measurable claims
Electronic Communications in Probability | 2014-09-22 | Paper |
Second-order BSDEs with general reflection and game options under uncertainty
Stochastic Processes and their Applications | 2014-08-28 | Paper |
Second order backward stochastic differential equations with quadratic growth
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Second order reflected backward stochastic differential equations
The Annals of Applied Probability | 2014-01-17 | Paper |
Second-order backward stochastic differential equations under a monotonicity condition
Stochastic Processes and their Applications | 2013-04-22 | Paper |
Large liquidity expansion of super-hedging costs
Asymptotic Analysis | 2012-10-29 | Paper |
