Nizar Touzi

40 papers Journal 40
YearRankTypeTitle / Venue / Authors
2026 J jnl
LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling.
CoRR
Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper, Othmane Mazhar, Huyên Pham, Nizar Touzi
2026 J jnl
Mean Field Game of Mutual Holding with Defaultable Agents, and Systemic Risk.
SIAM J. Control. Optim.
Mao Fabrice Djete, Gaoyue Guo, Nizar Touzi
2026 J jnl
On Approximate Nash Equilibria in Mean Field Games.
CoRR
Mao Fabrice Djete, Nizar Touzi
2025 J jnl
Is There a Golden Parachute in Sannikov's Principal-Agent Problem?
Math. Oper. Res.
Dylan Possamaï, Nizar Touzi
2025 J jnl
Mean Field Game of Mutual Holding with Common Noise.
SIAM J. Financial Math.
Leila Bassou, Mao Fabrice Djete, Nizar Touzi
2024 J jnl
Dynamic Contracting in Asset Management Under the Investor-Partner-Manager Relationship.
Oper. Res.
Jussi Keppo, Nizar Touzi, Ruiting Zuo
2023 J jnl
Dynamic Programming Equation for the Mean Field Optimal Stopping Problem.
SIAM J. Control. Optim.
Mehdi Talbi, Nizar Touzi, Jianfeng Zhang
2023 J jnl
Entropic Optimal Planning for Path-Dependent Mean Field Games.
SIAM J. Control. Optim.
Zhenjie Ren, Xiaolu Tan, Nizar Touzi, Junjian Yang
2023 J jnl
Viscosity Solutions for Obstacle Problems on Wasserstein Space.
SIAM J. Control. Optim.
Mehdi Talbi, Nizar Touzi, Jianfeng Zhang
2022 J jnl
Optimal Electricity Demand Response Contracting with Responsiveness Incentives.
Math. Oper. Res.
René Aïd, Dylan Possamaï, Nizar Touzi
2022 J jnl
Random Horizon Principal-Agent Problems.
SIAM J. Control. Optim.
Yiqing Lin, Zhenjie Ren, Nizar Touzi, Junjian Yang
2020 J jnl
Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs.
SIAM J. Control. Optim.
Zhenjie Ren, Nizar Touzi, Jianfeng Zhang
2020 J jnl
On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals.
SIAM J. Control. Optim.
Alexandre Richard, Xiaolu Tan, Nizar Touzi
2018 J jnl
Dynamic programming approach to principal-agent problems.
Finance Stochastics
Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi
2018 J jnl
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications.
J. Optim. Theory Appl.
Bruno Bouchard, H. Mete Soner, Nizar Touzi
2017 J jnl
Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs.
SIAM J. Math. Anal.
Zhenjie Ren, Nizar Touzi, Jianfeng Zhang
2017 J jnl
Moral Hazard in Dynamic Risk Management.
Manag. Sci.
Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi
2016 J jnl
An explicit martingale version of the one-dimensional Brenier theorem.
Finance Stochastics
Pierre Henry-Labordère, Nizar Touzi
2016 J jnl
On the Monotonicity Principle of Optimal Skorokhod Embedding Problem.
SIAM J. Control. Optim.
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
2016 J jnl
Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints.
SIAM J. Control. Optim.
Gaoyue Guo, Xiaolu Tan, Nizar Touzi
2013 J jnl
Homogenization and Asymptotics for Small Transaction Costs.
SIAM J. Control. Optim.
H. Mete Soner, Nizar Touzi
2012 J jnl
Detecting the Maximum of a Scalar Diffusion with Negative Drift.
SIAM J. Control. Optim.
Gilles-Edouard Espinosa, Nizar Touzi
2012 J jnl
Large liquidity expansion of super-hedging costs.
Asymptot. Anal.
Dylan Possamaï, H. Mete Soner, Nizar Touzi
2011 J jnl
Hedging and Vertical Integration in Electricity Markets.
Manag. Sci.
René Aïd, Gilles Chemla, Arnaud Porchet, Nizar Touzi
2011 J jnl
Weak Dynamic Programming Principle for Viscosity Solutions.
SIAM J. Control. Optim.
Bruno Bouchard, Nizar Touzi
2010 J jnl
Merton Problem with Taxes: Characterization, Computation, and Approximation.
SIAM J. Financial Math.
Imen Ben Tahar, H. Mete Soner, Nizar Touzi
2010 J jnl
Option hedging for small investors under liquidity costs.
Finance Stochastics
Umut Çetin, H. Mete Soner, Nizar Touzi
2009 J jnl
Stochastic Target Problems with Controlled Loss.
SIAM J. Control. Optim.
Bruno Bouchard, Romuald Elie, Nizar Touzi
2009 J jnl
The Dynamic Programming Equation for Second Order Stochastic Target Problems.
SIAM J. Control. Optim.
H. Mete Soner, Nizar Touzi
2009 J jnl
Valuation of power plants by utility indifference and numerical computation.
Math. Methods Oper. Res.
Arnaud Porchet, Nizar Touzi, Xavier Warin
2008 J jnl
Optimal lifetime consumption and investment under a drawdown constraint.
Finance Stochastics
Romuald Elie, Nizar Touzi
2007 J jnl
The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes.
SIAM J. Control. Optim.
Imen Ben Tahar, H. Mete Soner, Nizar Touzi
2004 J jnl
On the Malliavin approach to Monte Carlo approximation of conditional expectations.
Finance Stochastics
Bruno Bouchard, Ivar Ekeland, Nizar Touzi
2004 J jnl
Vector-valued coherent risk measures.
Finance Stochastics
Elyès Jouini, Moncef Meddeb, Nizar Touzi
2002 J jnl
Continuous-Time Dynkin Games with Mixed Strategies.
SIAM J. Control. Optim.
Nizar Touzi, Nicolas Vieille
2002 J jnl
Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions.
SIAM J. Control. Optim.
H. Mete Soner, Nizar Touzi
2000 J jnl
Superreplication Under Gamma Constraints.
SIAM J. Control. Optim.
H. Mete Soner, Nizar Touzi
1999 J jnl
A closed-form solution to the problem of super-replication under transaction costs.
Finance Stochastics
Jaksa Cvitanic, Huyên Pham, Nizar Touzi
1999 J jnl
Applications of Malliavin calculus to Monte Carlo methods in finance.
Finance Stochastics
Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, Nizar Touzi
1999 J jnl
Super-replication under proportional transaction costs: From discrete to continuous-time models.
Math. Methods Oper. Res.
Nizar Touzi