Thibaut Mastrolia
Thibaut Mastrolia
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A tale of a principal and many, many agents
R Elie, T Mastrolia, D Possamaï
Mathematics of Operations Research 44 (2), 440-467, 2019
Optimal make–take fees for market making regulation
OE Euch, T Mastrolia, M Rosenbaum, N Touzi
Mathematical Finance 31 (1), 109-148, 2021
Utility maximization with random horizon: a BSDE approach
M Jeanblanc, T Mastrolia, D Possamaï, A Réveillac
International Journal of Theoretical and Applied Finance 18 (07), 1550045, 2015
Mean–field moral hazard for optimal energy demand response management
R Elie, E Hubert, T Mastrolia, D Possamaï
Mathematical Finance 31 (1), 399-473, 2021
Principal-agent problem with common agency without communication
T Mastrolia, Z Ren
SIAM Journal on Financial Mathematics 9 (2), 775-799, 2018
On the Malliavin differentiability of BSDEs
T Mastrolia, D Possamaï, A Réveillac
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 53 (1 …, 2017
Moral hazard under ambiguity
T Mastrolia, D Possamaï
Journal of Optimization Theory and Applications 179 (2), 452-500, 2018
Contract theory in a VUCA world
N Hernandez-Santibanez, T Mastrolia
SIAM Journal on Control and Optimization 57 (4), 3072-3100, 2019
Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach
B Baldacci, I Manziuk, T Mastrolia, M Rosenbaum
arXiv preprint arXiv:1912.01129, 2019
Density analysis of BSDEs
T Mastrolia, D Possamaï, A Réveillac
The Annals of Probability 44 (4), 2817-2857, 2016
Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic
E Hubert, T Mastrolia, D Possamaï, X Warin
Journal of mathematical biology 84 (5), 1-48, 2022
Regulation of renewable resource exploitation
I Kharroubi, T Lim, T Mastrolia
SIAM Journal on Control and Optimization 58 (1), 551-579, 2020
Density analysis of non-Markovian BSDEs and applications to biology and finance
T Mastrolia
Stochastic Processes and their Applications 128 (3), 897-938, 2018
Optimal auction duration: A price formation viewpoint
J Paul, M Thibaut, R Mathieu
Operations Research 69 (6), 1734-1745, 2021
A note on the Malliavin–Sobolev spaces
P Imkeller, T Mastrolia, D Possamaï, A Réveillac
Statistics & Probability Letters 109, 45-53, 2016
Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions
T Mastrolia
arXiv preprint arXiv:1706.01254, 2017
Indifference pricing of pure endowments via BSDEs under partial information
C Ceci, K Colaneri, A Cretarola
Scandinavian Actuarial Journal 2020 (10), 904-933, 2020
AHEAD: Ad-Hoc Electronic Auction Design
J Derchu, P Guillot, T Mastrolia, M Rosenbaum
arXiv preprint arXiv:2010.02827, 2020
Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents
T Mastrolia, J Zhang
arXiv preprint arXiv:2207.11087, 2022
On Z-mean reflected BSDEs
J Derchu, T Mastrolia
arXiv preprint arXiv:2108.10631, 2021
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