Nizar Touzi - Selected Publications#

Books:

Stochastic Control Problems, Viscosity Solutions and Application to Finance, Scuola Normale Superiore, Pisa (2002).

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDEs, Springer Fields monograph series.

Papers:

H. De March, N. Touzi, Irreducible convex paving for decomposition of multi-dimensional martingale transport plans. The Annals of Proability 47, Number 3 (2019), 1726-1774.

A.M.G. Cox, J. Obloj and N. Touzi, The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach, to appear in Probability Theory and Related Fields, Volume 173, Issue 1–2, pp 211–259.

Z. Ren, N. Touzi, and J. Zhang, Comparison of viscosity solutions of fully nonlinear degenerate parabolic Path-dependent PDEs. SIAM Journal on Mathematical Analysis, 49(5), 409–4116.

J. Cvitanic, D. Possama ̈ı and N. Touzi, Dynamic programming approach to Principal-Agent problems. Finance and Stochastics, Volume 22, Issue 1, pp 137.

G. Guo, X. Tan and N. Touzi, Tightness and duality of martingale transport on the Skorokhod space. Stochastic Processes and their Applications, 127(3):927-956, 2017.

G. Guo, X. Tan and N. Touzi, On the monotonicity principle of optimal Skorokhod embedding problem. SIAM Journal on Control and Optimization, 54(5):2478–2489, 2016.

M. Beiglb ̈ock, M. Nutz and N. Touzi, Complete duality for martingale optimal transport. Annals of Applied Probability, Volume 45, Number 5 (2017), 3038–3074.

MathSciNet: 115 papers, 3 567 citations in 1 931 publications. Google Scholar: cited by 12424, h-index 57.