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Author

Dylan Possamaï

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2 papers indexed here

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Preprint Sep 2026

Aggregation of value processes for semi-martingale BSDEs with jumps

We construct a measurable aggregator for the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale backward stochastic differential equations (BSDEs) with jumps. The results can be applied to control problems where the triplet of semi-marti...

Dylan Possamaï, Marco Rodrigues, Alexandros N. Saplaouras · 0 citations
Preprint Sep 2026

Equilibrium prices under hidden Markov fundamentals

We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift. We allow the price-dividend ratio to contain an additional positive, absolutely continuous valuation factor and, within the class $\mathfrak C$ defined below and under the regularity, admissibility, and...

H. Pagès, Dylan Possamaï, M. Polo · 0 citations

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