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Dylan Possamaï
Researcher at ETH Zurich
Publications - 104
Citations - 1898
Dylan Possamaï is an academic researcher from ETH Zurich. The author has contributed to research in topics: Uniqueness & Stochastic differential equation. The author has an hindex of 23, co-authored 104 publications receiving 1554 citations. Previous affiliations of Dylan Possamaï include CEREMADE & École Polytechnique.
Papers
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Robust utility maximization in nondominated models with 2bsde: the uncertain volatility model
TL;DR: In this article, the problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds.
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Dynamic Programming Approach to Principal-Agent Problems
TL;DR: This work considers a general formulation of the principal–agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems, and relies on the backward stochastic differential equations approach to non-Markovian Stochastic control.
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Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
TL;DR: In this paper, the authors prove an asymptotic expansion of the first order optimal control problem in the context of the multi-dimensional infinite horizon optimal consumption investment problem with small proportional transaction costs.
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On the Robust superhedging of measurable claims
TL;DR: In this article, the dual formulation of robust hedging is shown to be valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.
Posted Content
Moral Hazard in Dynamic Risk Management
TL;DR: A contracting problem in which a principal hires an agent to manage a risky project is considered, and it is shown that the optimal contract is linear in these factors: the contractible sources of risk, including the output, the quadratic variation of the output and the cross-variations between theoutput and the contractable risk sources.