Výsledky vyhledávání - "Santacroce, Marina"

Report

Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

Autor: Santacroce, Marina, Siri, Paola, Trivellato, Barbara

We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under suitable conditio

Externí odkaz: http://arxiv.org/abs/2302.08253

Zobrazit plný text záznamu

Akademický článek

Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.

Report

New results on mixture and exponential models by Orlicz spaces

Autor: Santacroce, Marina, Siri, Paola, Trivellato, Barbara

Publikováno v: Bernoulli 2016, Vol. 22, No. 3, 1431-1447

New results and improvements in the study of nonparametric exponential and mixture models are proposed. In particular, different equivalent characterizations of maximal exponential models, in terms of open exponential arcs and Orlicz spaces, are give

Externí odkaz: http://arxiv.org/abs/1603.05465

Zobrazit plný text záznamu

Report

Mean-variance hedging via stochastic control and BSDEs for general semimartingales

Autor: Jeanblanc, Monique, Mania, Michael, Santacroce, Marina, Schweizer, Martin

Publikováno v: Annals of Applied Probability 2012, Vol. 22, No. 6, 2388-2428

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterize its three coe

Externí odkaz: http://arxiv.org/abs/1211.6820

Zobrazit plný text záznamu