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2020 – today
- 2024
[j35]Jussi Keppo
, Nizar Touzi, Ruiting Zuo:
Dynamic Contracting in Asset Management Under the Investor-Partner-Manager Relationship. Oper. Res. 72(3): 903-915 (2024)- 2023
- [j34]Zhenjie Ren, Xiaolu Tan, Nizar Touzi, Junjian Yang:
Entropic Optimal Planning for Path-Dependent Mean Field Games. SIAM J. Control. Optim. 61(3): 1415-1437 (2023) - [j33]Mehdi Talbi, Nizar Touzi, Jianfeng Zhang:
Viscosity Solutions for Obstacle Problems on Wasserstein Space. SIAM J. Control. Optim. 61(3): 1712-1736 (2023) - [j32]Mehdi Talbi, Nizar Touzi, Jianfeng Zhang:
Dynamic Programming Equation for the Mean Field Optimal Stopping Problem. SIAM J. Control. Optim. 61(4): 2140-2164 (2023) - 2022
- [j31]René Aïd, Dylan Possamaï, Nizar Touzi:
Optimal Electricity Demand Response Contracting with Responsiveness Incentives. Math. Oper. Res. 47(3): 2112-2137 (2022) - [j30]Yiqing Lin, Zhenjie Ren, Nizar Touzi, Junjian Yang:
Random Horizon Principal-Agent Problems. SIAM J. Control. Optim. 60(1): 355-384 (2022) - 2020
- [j29]Zhenjie Ren, Nizar Touzi, Jianfeng Zhang:
Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs. SIAM J. Control. Optim. 58(1): 277-302 (2020) - [j28]Alexandre Richard, Xiaolu Tan, Nizar Touzi:
On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals. SIAM J. Control. Optim. 58(4): 1874-1892 (2020)
2010 – 2019
- 2018
- [j27]Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi:
Dynamic programming approach to principal-agent problems. Finance Stochastics 22(1): 1-37 (2018) - [j26]Bruno Bouchard, H. Mete Soner, Nizar Touzi:
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications. J. Optim. Theory Appl. 179(2): 363-365 (2018) - 2017
- [j25]Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi:
Moral Hazard in Dynamic Risk Management. Manag. Sci. 63(10): 3328-3346 (2017) - [j24]Zhenjie Ren, Nizar Touzi, Jianfeng Zhang:
Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs. SIAM J. Math. Anal. 49(5): 4093-4116 (2017) - 2016
- [j23]Pierre Henry-Labordère, Nizar Touzi:
An explicit martingale version of the one-dimensional Brenier theorem. Finance Stochastics 20(3): 635-668 (2016) - [j22]Gaoyue Guo, Xiaolu Tan, Nizar Touzi:
Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints. SIAM J. Control. Optim. 54(4): 2174-2201 (2016) - [j21]Gaoyue Guo, Xiaolu Tan, Nizar Touzi:
On the Monotonicity Principle of Optimal Skorokhod Embedding Problem. SIAM J. Control. Optim. 54(5): 2478-2489 (2016) - 2013
- [j20]H. Mete Soner, Nizar Touzi:
Homogenization and Asymptotics for Small Transaction Costs. SIAM J. Control. Optim. 51(4): 2893-2921 (2013) - 2012
- [j19]Dylan Possamaï, H. Mete Soner, Nizar Touzi:
Large liquidity expansion of super-hedging costs. Asymptot. Anal. 79(1-2): 45-64 (2012) - [j18]Gilles-Edouard Espinosa, Nizar Touzi:
Detecting the Maximum of a Scalar Diffusion with Negative Drift. SIAM J. Control. Optim. 50(5): 2543-2572 (2012) - 2011
- [j17]René Aïd, Gilles Chemla, Arnaud Porchet, Nizar Touzi:
Hedging and Vertical Integration in Electricity Markets. Manag. Sci. 57(8): 1438-1452 (2011) - [j16]Bruno Bouchard, Nizar Touzi:
Weak Dynamic Programming Principle for Viscosity Solutions. SIAM J. Control. Optim. 49(3): 948-962 (2011) - 2010
- [j15]Umut Çetin, H. Mete Soner, Nizar Touzi:
Option hedging for small investors under liquidity costs. Finance Stochastics 14(3): 317-341 (2010) - [j14]Imen Ben Tahar, H. Mete Soner, Nizar Touzi:
Merton Problem with Taxes: Characterization, Computation, and Approximation. SIAM J. Financial Math. 1(1): 366-395 (2010)
2000 – 2009
- 2009
- [j13]Arnaud Porchet, Nizar Touzi, Xavier Warin:
Valuation of power plants by utility indifference and numerical computation. Math. Methods Oper. Res. 70(1): 47-75 (2009) - [j12]H. Mete Soner, Nizar Touzi:
The Dynamic Programming Equation for Second Order Stochastic Target Problems. SIAM J. Control. Optim. 48(4): 2344-2365 (2009) - [j11]Bruno Bouchard, Romuald Elie, Nizar Touzi:
Stochastic Target Problems with Controlled Loss. SIAM J. Control. Optim. 48(5): 3123-3150 (2009) - 2008
- [j10]Romuald Elie, Nizar Touzi:
Optimal lifetime consumption and investment under a drawdown constraint. Finance Stochastics 12(3): 299-330 (2008) - 2007
- [j9]Imen Ben Tahar, H. Mete Soner, Nizar Touzi:
The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes. SIAM J. Control. Optim. 46(5): 1779-1801 (2007) - 2004
- [j8]Bruno Bouchard, Ivar Ekeland, Nizar Touzi:
On the Malliavin approach to Monte Carlo approximation of conditional expectations. Finance Stochastics 8(1): 45-71 (2004) - [j7]Elyès Jouini, Moncef Meddeb, Nizar Touzi:
Vector-valued coherent risk measures. Finance Stochastics 8(4): 531-552 (2004) - 2002
- [j6]H. Mete Soner, Nizar Touzi:
Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions. SIAM J. Control. Optim. 41(2): 404-424 (2002) - [j5]Nizar Touzi, Nicolas Vieille:
Continuous-Time Dynkin Games with Mixed Strategies. SIAM J. Control. Optim. 41(4): 1073-1088 (2002) - 2000
- [j4]H. Mete Soner, Nizar Touzi:
Superreplication Under Gamma Constraints. SIAM J. Control. Optim. 39(1): 73-96 (2000)
1990 – 1999
- 1999
- [j3]Jaksa Cvitanic, Huyên Pham, Nizar Touzi:
A closed-form solution to the problem of super-replication under transaction costs. Finance Stochastics 3(1): 35-54 (1999) - [j2]Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, Nizar Touzi:
Applications of Malliavin calculus to Monte Carlo methods in finance. Finance Stochastics 3(4): 391-412 (1999) - [j1]Nizar Touzi:
Super-replication under proportional transaction costs: From discrete to continuous-time models. Math. Methods Oper. Res. 50(2): 297-320 (1999)
Coauthor Index
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