Nizar Touzi

About

Nizar Touzi holds a PhD from the University Paris Dauphine obtained in January 1994. He was appointed Assistant Professor there and has held academic positions at University Pantheon Sorbonne, ENSAE as head of the finance and actuarial sciences lab, and Imperial College London. From 2006 to 2023, he served as Professor of applied mathematics and head of the financial mathematics group at Ecole Polytechnique, where he also took on various responsibilities including chair of his department and head of the doctoral school in Mathematics from 2021 to 2023. His research focuses on financial mathematics, applied probability, and control theory. Nizar Touzi has been recognized for his contributions with invitations such as being a session speaker at the International Congress of Mathematicians in Hyderabad in 2010, and receiving awards including the Louis Bachelier prize of the French Academy of Sciences in 2012 and the Paris Europlace prize of Best Young Researcher in Finance in 2007. He has obtained numerous research grants, including the prestigious ERC Advanced Grant, and serves as co-editor and associate editor for various international journals in his fields of expertise.

Research topics

• Computer Science
• Mathematical economics
• Applied mathematics
• Mathematics
• Statistical physics
• Mathematical analysis
• Mathematical optimization
• Physics

Selected publications

• From finite population optimal stopping to mean field optimal stopping

  The Annals of Applied Probability · 2024-09-27 · 7 citations

  article

  This paper analyzes the convergence of the finite population optimal stopping problem towards the corresponding mean field limit. Building on the viscosity solution characterization of the mean field optimal stopping problem of our previous papers (SIAM J. Control Optim. 61 (2023) 1712–1736, 2140–2164), we prove the convergence of the value functions by adapting the Barles–Souganidis (Asymptot. Anal. 4 (1991) 271–283) monotone scheme method to our context. We next characterize the optimal stoppi…

  PublisherDOI

• A PRINCIPAL–AGENT MODEL FOR OPTIMAL INCENTIVES IN RENEWABLE INVESTMENTS

  International Journal of Theoretical and Applied Finance · 2025-03-07 · 3 citations

  articleSenior author

  In this paper, we investigate the optimal regulation of energy production in alignment with the long-term goals of the Paris Climate Agreement and analyze the optimal regulatory incentives to foster the development of nonemissive electricity generation when the demand for power is met either by a single firm or by two interacting agents. The regulator aims to encourage green investments to limit carbon emissions while simultaneously reducing the intermittency of total energy production. We find…

  PublisherDOI

• Viscosity Solutions for HJB Equations on the Process Space

  arXiv (Cornell University) · 2024-01-10 · 3 citations

  preprintOpen access

  In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic value function is characterized by a fully nonlinear second order path dependent HJB equation on the process space, which is by nature infinite dimensional. In particular, our model covers mean field control problems with common noise as a special case. We shall introduce a new notion of viscosity solutions and establ…

  PublisherOA PDFDOI

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

  Operations Research · 2024-02-21 · 2 citations

  article

  Navigating the Complex Web of Incentives in Asset Management: A Study on Investor, Partner, and Manager Dynamics In a recent study titled “Dynamic Contracting in Asset Management Under the Investor-Partner-Manager Relationship,” the researchers delve into the intricate world of incentives in asset management. The focus is on the complex interplay of actions and relationships among three key players: an investor, an investment company partner, and a fund manager. This study uniquely explores the…

  PublisherDOI

• On path-dependent multidimensional forward-backward SDEs

  Numerical Algebra Control and Optimization · 2022-05-20 · 2 citations

  articleOpen access

  <p style='text-indent:20px;'>This paper extends the results of Ma, Wu, Zhang, Zhang [<xref ref-type="bibr" rid="b11">11</xref>] to the context of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the forward-backward SDE at time <inline-formula><tex-math id="M1">\begin{document}$ t $\end{document}</tex-math></inline-formula> can depend on the whole path of the forward process up to time <inline-formula><…

  PublisherDOI

Frequent coauthors

• Xiaolu Tan

  Chinese University of Hong Kong

  63 shared

• H. Meté Soner

  57 shared

• Pierre Henry‐Labordère

  55 shared

• Pierre-F. Koehl

  Centre de Recherche en Économie et Statistique

  55 shared

• Bruno Bouchard

  Centre National de la Recherche Scientifique

  51 shared

• Elyès Jouini

  47 shared

• Zhenjie Ren

  Centre de Recherche en Mathématiques de la Décision

  41 shared

• Huyên Pham

  31 shared

Labs

• Finance and Risk EngineeringPI

Awards & honors

• Louis Bachelier prize of the French Academy of Sciences (201…
• Paris Europlace prize of Best Young Researcher in Finance (2…
• ERC Advanced Grant (2012)
• The University of Toronto Dean’s Distinguished Visitor Chair…
• ICM 2010 Invited Session Speaker

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