Research

PhD Students

Present:

• Joffrey Derchu (Ecole Polytechnique, co-supervised with Mathieu Rosenbaum).

Recent Papers

• Thibaut Mastrolia, Jiacheng Zhang. Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents.
• Joffrey Derchu, Thibaut Mastrolia. On Z-mean reflected BSDEs.
• Joffrey Derchu, P. Guillot, Thibaut Mastrolia, M. Rosenbaum. AHEAD: Ad Hoc Electronic Auction Design.
• Paul Jusselin, Thibaut Mastrolia. Scaling limit for stochastic control problems in population dynamics.

Published and Accepted Articles

• 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. To appear in Operations Research. 
• E. Hubert, T. Mastrolia, D. Possamaï, X. Warin. Incentives, lockdown, and testing: from Thucydides’s analysis to the COVID-19 pandemic. To appear in Journal of Mathematical Biology.
• P. Jusselin, T. Mastrolia, M. Rosenbaum. Optimal auction duration: A price formation viewpoint. To appear in Operations Research.
• R. Elie, E. Hubert, T. Mastrolia, D. Possamaï. Mean-field moral hazard for optimal energy demand response management. To appear in Mathematical Finance.
• O. El Euch, T. Mastrolia, M. Rosenbaum, N. Touzi, Optimal make-take fees for market making regulation. Mathematical Finance, 31, pp109-148 (2021) and its corrigendum (pdf).
• I. Kharroubi, T. Lim, T. Mastrolia. Regulation of Renewable Resource Exploitation. SIAM J. Control Optim. 2019, Vol. 58, No. 1, pp 551-579.
• N. Hernandez-Santibanez, T. Mastrolia. Contract Theory in a VUCA World. SIAM J. Control Optim. 2019, Vol. 57, No. 4, pp 3072-3100.
• R. Elie, T. Mastrolia, D. Possamaï. A tale of a Principal and many many Agents. Mathematics of Operations Research. 2019, Vol. 2, No. 3, pp 377-766.
• T. Mastrolia, Z. Ren. Principal-Agent Problem with Common Agency Without Communication. SIAM Journal on Financial Mathematics. 2018, Vol. 9, No. 2, pp 775-799.
• T. Mastrolia., D. Possamaï. Moral Hazard Under Ambiguity. Journal of Optimization Theory and Applications. 2018, Vol. 179, No. 2, pp 452-500.
• T. Mastrolia. Density analysis of non-Markovian BSDEs and applications to biology and finance. Stochastic Processes and their Applications. 2018, Vol. 128, No. 3, pp 397-938.
• T. Mastrolia, D. Possamaï, A. Réveillac. On the Malliavin differentiability of BSDEs. Annales de l’Institut Henri Poincaré série Probabilités et Statistique. 2017, Vol. 53, No. 1, pp 464-492.
• T. Mastrolia, D. Possamaï, A. Réveillac. Density analysis of BSDEs. Annals of Probability. 2016, Vol. 44, No. 4, pp 2817-2857.
• P. Imkeller, T. Mastrolia, D. Possamaï, A. Réveillac. A note on the Malliavin-Sobolev spaces. Statistics and Probability Letters 2016, Vol. 109, pp 45-53.
• M. Jeanblanc, T. Mastrolia, D. Possamaï, A. Réveillac. Utility maximization with random horizon: a BSDE approach. International Journal of Theoretical and Applied Finance. 2015, Vol. 18, paper no. 15, 1550045.

Theses

Habilitation thesis: Analyses of models and incentive mechanisms for financial regulation and population monitoring, (pdf).
Habilitation thesis defended on January 8, 2021 at Université Paris-Saclay.

PhD Thesis: On the regularity of solutions to Backward SDE and applications to finance, (pdf).
Doctoral thesis defended on December 15, 2015 at Université Paris-Dauphine.

Doctoral Dissertation Committees

• Jessica Martin, May 2021, INSA  de Toulouse. Title: Some Principal-Agent problems under societal constraints. Referee.
• Bastien Baldacci, May 2021, Ecole Polytechnique. Title: Quantitative Finance at the microstructure scale: algorithmic trading and regulation. Examinator.