Since July 2021, I have been an Assistant Professor in the Department of Industrial Engineering and Operations Research (IEOR) at the University of California, Berkeley.

e-mail: mastrolia(AT)berkeley(DOT)edu
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My research develops stochastic control and game-theoretic tools and contract theory to design resilient financial and cyber systems under risk and uncertainty.

It lies at the intersection of stochastic control, financial engineering, and game theory, with applications to market design and regulation, energy systems, and cyber risk. I focus in particular on backward stochastic differential equations, high-frequency trading and market design with model and volatility uncertainty, principal–agent problems, mean field games, and dynamic cyber-risk management.

I have been awarded by the France-Berkeley Fund 2023.

Cyber risk [Cyber]; Fintech and market microstructure [Fintech]; Contract theory and games [Contract]; Stochastic Analysis and Control [Sto]

Recent works/ArXiv preprints 

• [Sto] [Cyber] Isabel Agostino and Thibaut Mastrolia
  Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPs
• [Fintech] Julius Graf and Thibaut Mastrolia
  Learning Market Making with Closing Auctions.
• [Fintech][Contract] Thibaut Mastrolia, Hao Wang
  Regulation or Competition: Major-Minor Optimal Liquidation across Dark and Lit Pools.
• [Sto] Alberto Gennaro, Thibaut Mastrolia
  2BSDE with uncertain horizon and application to stochastic control in erratic environments.
• [Cyber][Contract] Thibaut Mastrolia, William Yan
  Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats.
• [Fintech][Contract] Thibaut Mastrolia, Tianrui Xu
  Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets.
  
• [Fintech][Contract] Alberto Gennaro, Thibaut Mastrolia
  Delegated portfolio management with random default.

Published and Accepted Articles

• [Cyber] Caroline Hillairet, Thibaut Mastrolia, Wissal Sabbagh.
  Optimal Impulse Control for Cyber Risk Management.
  Accepted for publication in Applied Mathematics and Optimization (2026)
• [Fintech] Thibaut Mastrolia, Tianrui Xu.
  Clearing time randomization and transaction fees for auction market design. 
  Accepted for publication in Quantitative Finance (2026)
• [Contract] Thibaut Mastrolia, Jiacheng Zhang.
  Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents.
  Journal of Optimization Theory and Applications, 205(47) (2025)
• [Fintech] Joffrey Derchu, Philippe Guillot, Thibaut Mastrolia, Mathieu Rosenbaum.
  AHEAD: Ad Hoc Electronic Auction Design.
  Frontiers of Mathematical Finance, 3(2): 163-216 (2024)
• [Fintech] [Contract] Joffrey Derchu, Dimitrios Kavvanthas, Thibaut Mastrolia, Mathieu Rosenbaum.
  Equilibria and incentives for illiquid auction markets.
  To appear in Market Microstructure and Liquidity (2024).
• [Sto] Joffrey Derchu, Thibaut Mastrolia.
  On Z-mean reflected BSDEs.
  Bernoulli, 30(2), 1502–1524 (2024).
• [Sto] Paul Jusselin, Thibaut Mastrolia.
  Scaling limit for stochastic control problems in population dynamics.
  Applied Mathematics & Optimization. Vol 88, No 14 (2023).
• [Fintech] [Contract] Bastien Baldacci, Iuliia Manziuk, Thibaut Mastrolia, Mathieu Rosenbaum.
  Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach.
  Operations Research, Vol. 71 No 2 (2022).
• [Contract] Emma Hubert, Thibaut Mastrolia, Dylan Possamaï, Xavier Warin.
  Incentives, lockdown, and testing: from Thucydides’s analysis to the COVID-19 pandemic.
  Journal of Mathematical Biology. 84, No. 37 (2022).
• [Fintech] Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum.
  Optimal auction duration: A price formation viewpoint.
  Operations Research, Vol 69 No 6. (2021).
• [Fintech] Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum, Nizar Touzi,
  Optimal make-take fees for market making regulation.
  Mathematical Finance, 31, pp109-148 (2021) and its corrigendum (pdf).
• [Contract] Romuald Elie, Emma Hubert, Thibaut Mastrolia, Dylan Possamaï.
  Mean-field moral hazard for optimal energy demand response management.
  Mathematical Finance, Vol 31, Issue 1 (2020).
• [Contract] Idris Kharroubi, Thomas Lim, Thibaut Mastrolia.
  Regulation of Renewable Resource Exploitation.
  SIAM J. Control Optim. Vol. 58, No. 1, pp 551-579 (2019).
• [Contract] Nicolás Hernández-Santibáñez, Thibaut Mastrolia.
  Contract Theory in a VUCA World.
  SIAM J. Control Optim. Vol. 57, No. 4, pp 3072-3100 (2019).
• [Contract] Romuald Elie, Thibaut Mastrolia, Dylan Possamaï.
  A tale of a Principal and many many Agents.
  Mathematics of Operations Research. Vol. 2, No. 3, pp 377-766 (2019).
• [Contract] Thibaut Mastrolia, Zhenjie Ren.
  Principal-Agent Problem with Common Agency Without Communication.
  SIAM Journal on Financial Mathematics. Vol. 9, No. 2, pp 775-799 (2018).
• [Contract] Thibaut Mastrolia., Dylan Possamaï.
  Moral Hazard Under Ambiguity.
  Journal of Optimization Theory and Applications. Vol. 179, No. 2, pp 452-500 (2018).
• [Sto] Thibaut Mastrolia.
  Density analysis of non-Markovian BSDEs and applications to biology and finance.
  Stochastic Processes and their Applications. Vol. 128, No. 3, pp 397-938 (2018).
• [Sto] Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac.
  On the Malliavin differentiability of BSDEs.
  Annales de l’Institut Henri Poincaré série Probabilités et Statistique. Vol. 53, No. 1, pp 464-492 (2017).
• [Sto] Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac.
  Density analysis of BSDEs.
  Annals of Probability. Vol. 44, No. 4, pp 2817-2857 (2016).
• [Sto] Peter Imkeller, Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac.
  A note on the Malliavin-Sobolev spaces.
  Statistics and Probability Letters. Vol. 109, pp 45-53 (2016).
• [Sto] Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac.
  Utility maximization with random horizon: a BSDE approach.
  International Journal of Theoretical and Applied Finance. Vol. 18, paper no. 15, 1550045 (2015).