Research

PhD Students

Mateo Rodriguez Polo (co-directed with Johannes Muhle-Karbe), 2023–2027.
Chiara Rossato, 2021–2025.
Daniel Kršek (co-directed with Beatrice Acciaio), 2021–2025.
Marco Rodrigues (co-directed with Beatrice Acciaio), 2020–2024.
Bastien Baldacci (co-directed with Mathieu Rosenbaum), 2018–2021. Bastien received the 2021 rising star in quant finance award for his doctoral work. Currently advisor for buy/sell side and reinsurance companies.
Camilo Hernández, 2017–2021. Currently Presidential Postdoctoral Research Fellow at the department of Operations Research and Financial Engineering, Princeton University.
Mao Fabrice Djete (co-directed with Xiaolu Tan), 2017–2020. Thesis awarded the Prix de la Chancellerie 2021 and the Prix Jeune Chercheur 2021. Currently Maître de Conférence at the CMAP, École Polytechnique.
Emma Hubert (co-directed with Romuald Élie), 2017–2020. Thesis awarded the Prix de thèse Paris-Est Sup 2021, the Prix de thèse SMAI–GAMNI 2021, and the Prix Paul Caseau 2021. Currently tenure-track Assistant Professor at the department of Operations Research and Financial Engineering, Princeton University.
Nicolás Hernández Santibáñez (co-directed with Alejandro Jofré), 2014–2017. Currently Academic Instructor at the department of Mathematics, Universidad Técnica Federico Santa María.
Thibaut Mastrolia (co-directed with Anthony Réveillac), 2013–2015. Currently tenure-track Assistant Professor at the department of Industrial Engineering and Operations Research, University of California Berkeley.

Postdocs

Alexandros Saplaouras, 2025–.
Joshué Heli Ricalde Guerrero, 2024–.
Mehdi Talbi, 2022–2023. Currently Maître de Conférence at the LPSM, Université Paris Cité.

Publications

Recent Papers

[59] C. Rossato and D. Possamaï (2023). Golden parachutes under the threat of accidents. ArXiv preprint arXiv:2312.02101.

[58] D. Kršek and D. Possamaï (2023). Randomisation with moral hazard: a path to existence of optimal contracts. ArXiv preprint arXiv:2311.13278.

[57] D. Possamaï and M. Talbi (2023). Mean-field games of optimal stopping: master equation and weak equilibria. ArXiv preprint arXiv:2307.09278.

[56] G. Guo, S.D. Howison, D. Possamaï, and C. Reisinger (2023). Randomness and early termination: what makes a game exciting? ArXiv preprint arXiv:2306.07133.

[55] D. Possamaï and L. Tangpi (2021). Non-asymptotic convergence rates for mean-field games: weak formulation and McKean–Vlasov BSDEs. ArXiv preprint arXiv:2105.00484.

Accepted Papers

[54] D. Possamaï and M. Rodrigues (2023). Reflections on BSDEs. The Electronic Journal of Probability, to appear.

[53] D. Possamaï and N. Touzi (2020). Is there a Golden Parachute in Sannikov's principal–agent problem? Mathematics of Operations Research, to appear.

[52] C. Hernández and D. Possamaï (2023). Time-inconsistent contract theory. Mathematical Finance, to appear.

[51] D. Possamaï and L. Tangpi (2024). On the population size in differential games. Notices of the American Mathematical Society, 71(4):454–462.

[50] B. Baldacci, P. Bergault, and D. Possamaï (2023). A mean-field game of market-making against strategic traders. SIAM Journal on Financial Mathematics, 14(4):1080–1112.

[49] N. Hernández Santibáñez, A, Jofré, and D. Possamaï (2023). Pollution regulation for electricity generators in a transmission network. SIAM Journal on Control and Optimization, 61(2):788–819.

[48] A. Papapantoleon, D. Possamaï, and A. Saplaouras (2023). Stability of backward stochastic differential equations: the general Lipschitz case. Electronic Journal of Probability, 28(51):1–56

[47] C. Hernández and D. Possamaï (2023). Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents. The Annals of Applied Probability, 33(2):1196–1258.

[46] M.F. Djete, D. Possamaï, and X. Tan (2022). McKean–Vlasov optimal control: limit theory and equivalence between different formulations. Mathematics of Operations Research, 47(4):2891–2930.

[45] R. Aïd, D. Possamaï, and N. Touzi (2022). Optimal electricity demand response contracting with responsiveness incentives. Mathematics of Operations Research, 47(3):2112–2137 (vulgarisation video, vulgarisation summary, associated patent).

[44] B. Baldacci and D. Possamaï (2022). Governmental incentives for green bonds investment. Mathematics and Financial Economics, 16:539–585.

[43] E. Hubert, T. Mastrolia, D. Possamaï, and X. Warin (2022). Incentives, lockdown, and testing: from Thucydides's analysis to the COVID-19 pandemic. Journal of Mathematical Biology, 84(37):1–48.

[42] M.F. Djete, D. Possamaï, and X. Tan (2022). McKean–Vlasov optimal control: the dynamic programming principle. The Annals of Probability, 50(2):791–833.

[41] C. Hernández and D. Possamaï (2021). A unified approach to well-posedness of type-I backward stochastic Volterra integral equations. Electronic Journal of Probability, 26(89):1–35.

[40] B. Baldacci, D. Possamaï, and M. Rosenbaum (2021). Optimal make–take fees in a multi market maker environment. SIAM Journal on Financial Mathematics, 12(1):446–486.

[39] M. Herdegen, J. Muhle-Karbe, and D. Possamaï (2021). Equilibrium asset pricing with transaction costs. Finance and Stochastics, 25:231–275.

[38] R. Élie, E. Hubert, T. Mastrolia, and D. Possamaï (2021). Mean-field moral hazard for optimal energy demand response management. Mathematical Finance, 31(1):399–473.

[37] D. Possamaï, N. Touzi, and J. Zhang (2020). Zero-sum path-dependent stochastic differential games in weak formulation. The Annals of Applied Probability, 30(3):1415–1457.

[36] C. Alasseur, I. Ekeland, R. Élie, N. Hernández Santibáñez, and D. Possamaï (2020). An adverse selection approach to power pricing. SIAM Journal on Control and Optimization, 58(2):686–713.

[35] N. Hernández Santibáñez, D. Possamaï, and C. Zhou (2020). Bank monitoring incentives under moral hazard and adverse selection. Journal of Optimization Theory and Applications, 184(3):988–1035.

[34] A. Papapantoleon, D. Possamaï, and A. Saplaouras (2019). Stability results for martingale representations: the general case. Transactions of the American Mathematical Society, 372(8):5891–5946.

[33] R. Élie, T. Mastrolia, and D. Possamaï (2019). A tale of a principal and many many agents. Mathematics of Operations Research, 44(2):440–467.

[32] A. Matoussi, D. Possamaï, and W. Sabbagh (2019). Probabilistic interpretation for solutions of fully nonlinear stochastic PDEs. Probability Theory and Related Fields, 174(1–2):177–233.

[31] R. Élie and D. Possamaï (2019). Contracting theory with competitive interacting agents. SIAM Journal on Control and Optimization, 57(2):1157–1188.

[30] A. Papapantoleon, D. Possamaï, and A. Saplaouras (2018). Existence and uniqueness results for BSDEs with jumps: the whole nine yards. Electronic Journal of Probability, 23(121):1–68.

[29] R. Élie, L. Moreau, and D. Possamaï (2018). On a class of path-dependent singular stochastic control problems. SIAM Journal on Control and Optimization, 56(5):3260–3295.

[28] T. Mastrolia and D. Possamaï (2018). Moral hazard under ambiguity. Journal of Optimization Theory and Applications, 179(2):452–500.

[27] D. Possamaï, X. Tan, and C. Zhou (2018). Stochastic control for a class of nonlinear kernels and applications. The Annals of Probability, 46(1):551–603.

[26] B. Bouchard, D. Possamaï, X. Tan, and C. Zhou (2018). A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations. Annales de l'institut Henri Poincaré (B), Probabilités et Statistiques, 54(1):154–172.

[25] J. Cvitanić, D. Possamaï, and N. Touzi (2018). Dynamic programming approach to principal–agent problems. Finance and Stochastics, 22(1):1–37.

[24] J. Cvitanić, D. Possamaï, and N. Touzi (2017). Moral hazard in dynamic risk management. Management Science, 63(10):3328–3346.

[23] D. Possamaï and G. Royer (2017). General indifference pricing with small transaction costs. Asymptotic Analysis, 102(3–4):177–226.

[22] T. Mastrolia, D. Possamaï, and A. Réveillac (2017). On the Malliavin differentiability of BSDEs. Annales de l'institut Henri Poincaré (B), Probabilités et Statistiques, 53(1):464–492.

[21] T. Mastrolia, D. Possamaï, and A. Réveillac (2016). Density analysis of BSDEs. The Annals of Probability, 44(4):2817–2857.

[20] N. Kazi-Tani, D. Possamaï, and C. Zhou (2016). Quadratic BSDEs with jumps: related non-linear expectations. Stochastics and Dynamics, 16(4):1650012.

[19] B. Bouchard, D. Possamaï, and X. Tan (2016). A general Doob–Meyer–Mertens decomposition for g–supermartingale systems. Electronic Journal of Probability, 21(36):1–21.

[18] P. Imkeller, T. Mastrolia, D. Possamaï, and A. Réveillac (2016). A note on the Malliavin–Sobolev spaces. Statistics & Probability Letters, 109:45–53.

[17] M. Jeanblanc, T. Mastrolia, D. Possamaï, and A. Réveillac (2015). Utility maximization with random horizon: a BSDE approach. International Journal of Theoretical and Applied Finance, 18(7):1550045.

[16] D. Possamaï, H.M. Soner, and N. Touzi (2015). Homogenization and asymptotics for small transaction costs: the multidimensional case. Communications in Partial Differential Equations, 40(11):2005–2046.

[15] N. Kazi-Tani, D. Possamaï, and C. Zhou (2015). Second-order BSDEs with jumps: formulation and uniqueness. The Annals of Applied Probability, 25(5):2867–2908.

[14] D. Possamaï and X. Tan (2015). Weak approximation of second-order BSDEs. The Annals of Applied Probability, 25(5):2535–2562.

[13] N. Kazi-Tani, D. Possamaï, and C. Zhou (2015). Quadratic BSDEs with jumps: a fixed point approach. Electronic Journal of Probability, 20(66):1–28.

[12] N. Kazi-Tani, D. Possamaï, and C. Zhou (2015). Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs. Electronic Journal of Probability, 20(65):1–31.

[11] A. Matoussi, D. Possamaï, and C. Zhou (2015). Robust utility maximization in non-dominated models with 2BSDE: the uncertain volatility model. Mathematical Finance, 25(2):258–287.

[10] A. Matoussi, L. Piozin, and D. Possamaï (2014). Second-order BSDEs with general reflection and game options under uncertainty. Stochastic Processes and their Applications, 124(7):2281–2321 (Corrigendum).

[9] H. Pagès and D. Possamaï (2014). A mathematical treatment of bank monitoring incentives. Finance and Stochastics, 18(1):39–73.

[8] D. Possamaï, G. Royer, and N. Touzi (2013). On the robust superhedging of measurable claims. Electronic Communications in Probability, 18(95):1–13.

[7] D. Possamaï and C. Zhou (2013). Second order backward stochastic differential equations with quadratic growth. Stochastic Processes and their Applications, 123(10):3770–3799.

[6a] A. Matoussi, D. Possamaï, and C. Zhou (2021). Corrigendum for 'Second-order reflected backward stochastic differential equations' and 'Second-order BSDEs with general reflection and game options under uncertainty'. The Annals of Applied Probability, 31(3):1505–1522.

[6] A. Matoussi, D. Possamaï, and C. Zhou (2013). Second-order reflected backward stochastic differential equations. The Annals of Applied Probability, 23(6):2420–2457.

[5] D. Possamaï (2013). Second-order backward stochastic differential equations under a monotonicity condition. Stochastic Processes and their Applications, 123(5):1521–1545.

[4] D. Possamaï, H.M. Soner, and N. Touzi (2012). Large liquidity expansion of superhedging costs. Asymptotic Analysis, 79(1–2):45–64.

[3] P. Gauthier and D. Possamaï (2012). Efficient simulation of the Wishart model. The IUP Journal of Computational Mathematics, V(1):14–58.

[2] P. Gauthier and D. Possamaï (2011). Efficient simulation of the double Heston model. The IUP Journal of Computational Mathematics, IV(3):23–73.

[1] P. Gauthier and D. Possamaï (2011). Prices expansions in the Wishart model. The IUP Journal of Computational Mathematics, IV(1):44–71.

Theses

D. Possamaï (2016). Principal meets agent: a tale in the land of stochastic control and BSDEs, Habilitation thesis.

D. Possamaï (2011). A journey through second-order BSDEs and other contemporary problems of mathematical finance, PhD thesis.