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, game-theoretic tools and contract theory to design resilient financial and cyber systems under risk and model uncertainty. It focuses on backward stochastic differential equations, high-frequency trading and market design with model and volatility uncertainty, principal–agent problems, mean-field games, Hawkes processes and dynamic cyber-risk management.

I have been awarded by the France-Berkeley Fund 2023 on “Mathematical modeling for cyber-risk insurance”

I am currently mostly interested in problems related to cyber-risk management, control of Hawkes and self-excited point diffusions, reinforcement learning for cybersecurity and AI risk modeling. 

 

Work related on cyber security, risk modeling and AI risk

• Tomasz Bielecki, Thibaut Mastrolia, Haoze Yan. Continuous-Time Reinforcement Learning for Controlled Hawkes Jump-Diffusions.
• Alberto Gennaro, Thibaut Mastrolia
  2BSDE with uncertain horizon and application to stochastic control in erratic environments.
• Isabel Agostino and Thibaut Mastrolia
  Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPs
• Thibaut Mastrolia, Haoze Yan
  Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats.
  Accepted for publication in SIAM Control and Optimization in July 2026.
• Caroline Hillairet, Thibaut Mastrolia, Wissal Sabbagh.
  Optimal Impulse Control for Cyber Risk Management.
  Accepted for publication in Applied Mathematics and Optimization (2026).
• 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).
• Nicolás Hernández-Santibáñez, Thibaut Mastrolia.
  Contract Theory in a VUCA World.
  SIAM J. Control Optim. Vol. 57, No. 4, pp 3072-3100 (2019).

 

Other Recent Works, Published and Accepted Articles

Works on contract theory, incentives, stochastic analysis and fintech.

• Alberto Gennaro, Thibaut Mastrolia, Francesca Primavera. Signature Methods for Optimal Market Making.
• Yan Leng, Thibaut Mastrolia, Hao Wang.
  Deep ZakaiJ: structured filtering for jump-diffusion time series forecasting.
• Julius Graf and Thibaut Mastrolia
  Learning Market Making with Closing Auctions.
• Thibaut Mastrolia, Hao Wang
  Regulation or Competition: Major-Minor Optimal Liquidation across Dark and Lit Pools.
• Thibaut Mastrolia, Tianrui Xu
  Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets.
• Alberto Gennaro, Thibaut Mastrolia
  Delegated portfolio management with random default.
  Accepted for publication in Mathematical Finance (2026).
• Thibaut Mastrolia, Tianrui Xu.
  Clearing time randomization and transaction fees for auction market design. 
  Accepted for publication in Quantitative Finance (2026).
• Joffrey Derchu, Philippe Guillot, Thibaut Mastrolia, Mathieu Rosenbaum.
  AHEAD: Ad Hoc Electronic Auction Design.
  Frontiers of Mathematical Finance, 3(2): 163-216 (2024).
• Joffrey Derchu, Dimitrios Kavvanthas, Thibaut Mastrolia, Mathieu Rosenbaum.
  Equilibria and incentives for illiquid auction markets.
  To appear in Market Microstructure and Liquidity (2024).
• Joffrey Derchu, Thibaut Mastrolia.
  On Z-mean reflected BSDEs.
  Bernoulli, 30(2), 1502–1524 (2024).
• Paul Jusselin, Thibaut Mastrolia.
  Scaling limit for stochastic control problems in population dynamics.
  Applied Mathematics & Optimization. Vol 88, No 14 (2023).
• 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).
• 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).
• Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum.
  Optimal auction duration: A price formation viewpoint.
  Operations Research, Vol 69 No 6. (2021).
• 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).
• 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).
• Idris Kharroubi, Thomas Lim, Thibaut Mastrolia.
  Regulation of Renewable Resource Exploitation.
  SIAM J. Control Optim. Vol. 58, No. 1, pp 551-579 (2019).
• 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).
• 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).
• Thibaut Mastrolia., Dylan Possamaï.
  Moral Hazard Under Ambiguity.
  Journal of Optimization Theory and Applications. Vol. 179, No. 2, pp 452-500 (2018).
• 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).
• 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).
• Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac.
  Density analysis of BSDEs.
  Annals of Probability. Vol. 44, No. 4, pp 2817-2857 (2016).
• 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).
• 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).