T
Thibaut Mastrolia
Researcher at École Polytechnique
Publications - 41
Citations - 398
Thibaut Mastrolia is an academic researcher from École Polytechnique. The author has contributed to research in topics: Market maker & Contract theory. The author has an hindex of 9, co-authored 37 publications receiving 289 citations. Previous affiliations of Thibaut Mastrolia include CEREMADE & Chicago Metropolitan Agency for Planning.
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A Tale of a Principal and Many, Many Agents
TL;DR: This paper reinterprets the mean$-$field game faced by each Agent in terms of a mean field forward backward stochastic differential equation (FBSDE for short), and is able to rewrite the Principal's problem as a control problem of McKean$-$Vlasov SDEs.
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A tale of a Principal and many many Agents
TL;DR: In this paper, a mean field forward backward stochastic differential equation (FBSDE) is used to solve the moral hazard problem in finite time with lump$-$sum and continuous payments, involving infinitely many agents with mean field type interactions.
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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.
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On the Malliavin differentiability of BSDEs
TL;DR: In this article, the authors provided new conditions for the Malliavin differentiability of solutions of Lipschitz or quadratic BSDEs based on the Gâteaux derivative in the directions of the Cameron-Martin space.