Zobrazeno 1 - 10
of 69
pro vyhledávání: '"Burzoni, Matteo"'
We provide a new version of the Tikhonov theorem for both two-scale forward systems and also two-scale forward-backward systems of stochastic differential equations, which also covers the McKean-Vlasov case. Differently from what is usually done in t
Externí odkaz:
http://arxiv.org/abs/2212.12293
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of the risk metrics and finding the so-called optimal al
Externí odkaz:
http://arxiv.org/abs/2212.11752
Autor:
Burzoni, Matteo, Campi, Luciano
We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state space. We p
Externí odkaz:
http://arxiv.org/abs/2107.00603
In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned. We obtain a dual representation for convex
Externí odkaz:
http://arxiv.org/abs/2103.02920
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Exp
Externí odkaz:
http://arxiv.org/abs/2007.08829
Autor:
Burzoni, Matteo, Campi, Luciano
Publikováno v:
In Stochastic Processes and their Applications October 2023 164:206-241
We study a class of non linear integro-differential equations on the Wasserstein space related to the optimal control of McKean--Vlasov jump-diffusions. We develop an intrinsic notion of viscosity solutions that does not rely on the lifting to an Hil
Externí odkaz:
http://arxiv.org/abs/1909.12337
Autor:
Burzoni, Matteo, Maggis, Marco
We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which require neither specific assumptions on the class of priors $\mathcal{P}$ nor on the structure
Externí odkaz:
http://arxiv.org/abs/1909.04602
Autor:
Bayraktar, Erhan, Burzoni, Matteo
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and liquidation under t
Externí odkaz:
http://arxiv.org/abs/1809.07516
Autor:
Burzoni, Matteo, Sikic, Mario
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no-arbitrage deliberations. We obtain versions of the Fund
Externí odkaz:
http://arxiv.org/abs/1801.03574