Research Bio

Thibaut Mastrolia is an applied mathematician and operations researcher whose research develops mathematical models for stochastic control, finance, cyber risk and optimization. He is best known for contributions to backward stochastic differential equations (BSDEs) and their applications in financial mathematics, including portfolio optimization and risk management. Mastrolia’s work integrates probability theory, stochastic processes, and applied mathematics to design models for decision-making under uncertainty, stochastic games and cyber risk management. His scholarship advances both theoretical probability and practical tools for operations research and quantitative finance.

He is a Professor of Industrial Engineering and Operations Research at UC Berkeley. His research has been published in among others Annals of Probability, Mathematical Finance, Operations Research, and SIAM Journal on Control and Optimization. Mastrolia has received recognition from the France-Berkeley fund 2023 for his project on cyber risk management. At Berkeley, he teaches optimization and stochastic processes, mentoring students in applied probability and financial engineering.

Research Expertise and Interest

stochastic control, game theory, finance, optimization