D
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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Contracting theory with competitive interacting Agents
Romuald Elie,Dylan Possamaï +1 more
TL;DR: Considering economic Agents in competition with relative performance concerns, this model derives the optimal contracts in both first best and moral hazard settings and relies heavily on the connection between Nash equilibria and multidimensional quadratic BSDEs.
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Utility maximization with random horizon: a BSDE approach
TL;DR: In this paper, the authors study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which they call BSDE with singular coefficients, when the support of the default time is assumed to be bounded.
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Mean–field moral hazard for optimal energy demand response management
TL;DR: In this paper, the authors study the problem of demand response contracts in electricity markets by quantifying the impact of considering a continuum of consumers with mean-field interaction, whose consumption is impacted by a common noise.
Posted Content
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
TL;DR: In this article, a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous, is presented.
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Efficient Simulation of the Double Heston Model
Pierre Gauthier,Dylan Possamaï +1 more
TL;DR: The Double-Heston model provides a more flexible approach to model the stochastic variance and is compared numerically the discretization schemes of Andersen, Zhu and Alfonsi to the Euler scheme.