Nizar Touzi

According to our database, Nizar Touzi authored at least 35 papers between 1999 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Dynamic Contracting in Asset Management Under the Investor-Partner-Manager Relationship.

Jussi Keppo, Nizar Touzi, Ruiting Zuo

Oper. Res., 2024

2023

Dynamic Programming Equation for the Mean Field Optimal Stopping Problem.

Mehdi Talbi, Nizar Touzi, Jianfeng Zhang

SIAM J. Control. Optim., August, 2023

Viscosity Solutions for Obstacle Problems on Wasserstein Space.

Mehdi Talbi, Nizar Touzi, Jianfeng Zhang

SIAM J. Control. Optim., June, 2023

Entropic Optimal Planning for Path-Dependent Mean Field Games.

Zhenjie Ren, Xiaolu Tan, Nizar Touzi, Junjian Yang

SIAM J. Control. Optim., June, 2023

2022

Random Horizon Principal-Agent Problems.

Yiqing Lin, Zhenjie Ren, Nizar Touzi, Junjian Yang

SIAM J. Control. Optim., 2022

Optimal Electricity Demand Response Contracting with Responsiveness Incentives.

René Aïd, Dylan Possamaï, Nizar Touzi

Math. Oper. Res., 2022

2020

On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals.

Alexandre Richard, Xiaolu Tan, Nizar Touzi

SIAM J. Control. Optim., 2020

Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs.

Zhenjie Ren, Nizar Touzi, Jianfeng Zhang

SIAM J. Control. Optim., 2020

2018

Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications.

Bruno Bouchard, H. Mete Soner, Nizar Touzi

J. Optim. Theory Appl., 2018

Dynamic programming approach to principal-agent problems.

Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi

Finance Stochastics, 2018

2017

Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs.

Zhenjie Ren, Nizar Touzi, Jianfeng Zhang

SIAM J. Math. Anal., 2017

Moral Hazard in Dynamic Risk Management.

Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi

Manag. Sci., 2017

2016

On the Monotonicity Principle of Optimal Skorokhod Embedding Problem.

Gaoyue Guo, Xiaolu Tan, Nizar Touzi

SIAM J. Control. Optim., 2016

Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints.

Gaoyue Guo, Xiaolu Tan, Nizar Touzi

SIAM J. Control. Optim., 2016

An explicit martingale version of the one-dimensional Brenier theorem.

Pierre Henry-Labordère, Nizar Touzi

Finance Stochastics, 2016

2013

Homogenization and Asymptotics for Small Transaction Costs.

H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2013

2012

Detecting the Maximum of a Scalar Diffusion with Negative Drift.

Gilles-Edouard Espinosa, Nizar Touzi

SIAM J. Control. Optim., 2012

Large liquidity expansion of super-hedging costs.

Dylan Possamaï, H. Mete Soner, Nizar Touzi

Asymptot. Anal., 2012

2011

Weak Dynamic Programming Principle for Viscosity Solutions.

Bruno Bouchard, Nizar Touzi

SIAM J. Control. Optim., 2011

Hedging and Vertical Integration in Electricity Markets.

René Aïd, Gilles Chemla, Arnaud Porchet, Nizar Touzi

Manag. Sci., 2011

2010

Merton Problem with Taxes: Characterization, Computation, and Approximation.

Imen Ben Tahar, H. Mete Soner, Nizar Touzi

SIAM J. Financial Math., 2010

Option hedging for small investors under liquidity costs.

Umut Çetin, H. Mete Soner, Nizar Touzi

Finance Stochastics, 2010

2009

The Dynamic Programming Equation for Second Order Stochastic Target Problems.

H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2009

Stochastic Target Problems with Controlled Loss.

Bruno Bouchard, Romuald Elie, Nizar Touzi

SIAM J. Control. Optim., 2009

Valuation of power plants by utility indifference and numerical computation.

Arnaud Porchet, Nizar Touzi, Xavier Warin

Math. Methods Oper. Res., 2009

2008

Optimal lifetime consumption and investment under a drawdown constraint.

Romuald Elie, Nizar Touzi

Finance Stochastics, 2008

2007

The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes.

Imen Ben Tahar, H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2007

2004

Vector-valued coherent risk measures.

Elyès Jouini, Moncef Meddeb, Nizar Touzi

Finance Stochastics, 2004

On the Malliavin approach to Monte Carlo approximation of conditional expectations.

Bruno Bouchard, Ivar Ekeland, Nizar Touzi

Finance Stochastics, 2004

2002

Continuous-Time Dynkin Games with Mixed Strategies.

Nizar Touzi, Nicolas Vieille

SIAM J. Control. Optim., 2002

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions.

H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2002

2000

Superreplication Under Gamma Constraints.

H. Mete Soner, Nizar Touzi

SIAM J. Control. Optim., 2000

1999

Super-replication under proportional transaction costs: From discrete to continuous-time models.

Nizar Touzi

Math. Methods Oper. Res., 1999

Applications of Malliavin calculus to Monte Carlo methods in finance.

Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, Nizar Touzi

Finance Stochastics, 1999

A closed-form solution to the problem of super-replication under transaction costs.

Jaksa Cvitanic, Huyên Pham, Nizar Touzi

Finance Stochastics, 1999