Dylan Possamaï

Cited by

	All	Since 2019
Citations	1994	1451
h-index	27	22
i10-index	46	38

360

180

270

201120122013201420152016201720182019202020212022202320247 35 34 37 52 76 135 130 123 202 256 242 352 262

Public access

View all

21 articles

0 articles

available

not available

Based on funding mandates

Co-authors

TOUZI NizarEcole PolytechniqueVerified email at polytechnique.edu
Chao ZhouAssistant Professor at Department of Mathematics, National University of SingaporeVerified email at nus.edu.sg
Thibaut MastroliaUC BerkeleyVerified email at berkeley.edu
Tan XiaoluThe Chinese University of Hong KongVerified email at cuhk.edu.hk
Anis MatoussiProfesseur de Mathématiques Appliquées, Université du MansVerified email at univ-lemans.fr
Romuald ElieDeepmind & Université Gustave EiffelVerified email at u-pem.fr
Jaksa CvitanicCaltechVerified email at hss.caltech.edu
Camilo HernándezUniversity of Southern CaliforniaVerified email at usc.edu
Emma HubertAssistant Professor, Princeton UniversityVerified email at princeton.edu
Antonis PapapantoleonTU DelftVerified email at tudelft.nl
Alexandros SaplaourasPostdoctoral researcher at National Technical University of AthensVerified email at mail.ntua.gr
bruno bouchardUniversité Paris Dauphine - PSLVerified email at ceremade.dauphine.fr
Nicolás Hernández SantibáñezUniversidad Técnica Federico Santa MaríaVerified email at usm.cl
Halil Mete SonerDepartment of Operations Research and Financial Engineering, Princeton UniversityVerified email at princeton.edu
Ludovic TangpiPrinceton UniversityVerified email at princeton.edu
Ivar EkelandProfessorVerified email at math.ubc.ca
Monique JEANBLANCProfesseur émérite mathématiques, université d' EvryVerified email at univ-evry.fr
Henri PagèsScientific Advisor, Banque de FranceVerified email at banque-france.fr
Mathieu RosenbaumEcole PolytechniqueVerified email at polytechnique.edu
Jianfeng ZhangDepartment of Mathematics, University of Southern CaliforniaVerified email at usc.edu

Dylan Possamaï

Full Professor, ETH Zürich, Mathematics

Verified email at math.ethz.ch - Homepage

Probability theory stochastic calculus mathematical finance contract theory stochastic control and BSDEs


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Dynamic programming approach to principal–agent problems J Cvitanić, D Possamaï, N Touzi Finance and Stochastics 22 (1), 1–37, 2018	150	2018
Moral hazard in dynamic risk management J Cvitanić, D Possamaï, N Touzi Management Science 63 (10), 3328–3346, 2017	114	2017
Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model A Matoussi, D Possamaï, C Zhou Mathematical Finance 25 (2), 258–287, 2015	113	2015
A tale of a principal and many, many agents R Élie, T Mastrolia, D Possamaï Mathematics of Operations Research 44 (2), 440–467, 2019	98	2019
McKean–Vlasov optimal control: the dynamic programming principle MF Djete, D Possamaï, X Tan The Annals of Probability 50 (2), 791–833, 2022	88	2022
Stochastic control for a class of nonlinear kernels and applications D Possamaï, X Tan, C Zhou The Annals of Probability 46 (1), 551–603, 2018	83	2018
Contracting theory with competitive interacting agents R Élie, D Possamaï SIAM Journal on Control and Optimization 57 (2), 1157–1188, 2019	72	2019
McKean–Vlasov optimal control: limit theory and equivalence between different formulations MF Djete, D Possamaï, X Tan Mathematics of Operations Research 47 (4), 2891–2930, 2022	62	2022
Homogenization and asymptotics for small transaction costs: the multidimensional case D Possamaï, HM Soner, N Touzi Communications in Partial Differential Equations 40 (11), 2005–2046, 2015	61	2015
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations B Bouchard, D Possamaï, X Tan, C Zhou Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54 (1 …, 2018	58	2018
On the robust superhedging of measurable claims D Possamaï, G Royer, N Touzi Electronic Communications in Probability 18 (95), 1–13, 2013	58	2013
Optimal electricity demand response contracting with responsiveness incentives R Aïd, D Possamaï, N Touzi Mathematics of Operations Research 47 (3), 2112–2137, 2022	52*	2022
Mean-field moral hazard for optimal energy demand response management R Élie, E Hubert, T Mastrolia, D Possamaï Mathematical Finance 31 (1), 399–473, 2021	52	2021
Existence and uniqueness results for BSDE with jumps: the whole nine yards A Papapantoleon, D Possamaï, A Saplaouras Electronic Journal of Probability 23 (121), 1–68, 2018	52	2018
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents C Hernández, D Possamaï The Annals of Applied Probability 33 (2), 1396–1458, 2023	49	2023
Second order reflected backward stochastic differential equations A Matoussi, D Possamaï, C Zhou The Annals of Applied Probability 23 (6), 2420–2457, 2013	45	2013
Second order backward stochastic differential equations with quadratic growth D Possamaï, C Zhou Stochastic Processes and their Applications 123 (10), 3770–3799, 2013	41	2013
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	39	2015
Quadratic BSDEs with jumps: a fixed-point approach D Possamaï, N Kazi-Tani, C Zhou Electronic Journal of Probability 20 (66), 1–28, 2015	37	2015
Efficient simulation of the double Heston model P Gauthier, D Possamaï The IUP Journal of Computational Mathematics 4 (3), 23–73, 2011	37	2011

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors