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15 papers · 1 filter
Integral operator Riccati equations arising in stochastic Volterra control problems
Eduardo Abi Jaber, Enzo Miller, Huyen Pham
We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ( ) for certain signed matrix measures wh…
The Laplace transform of the integrated Volterra Wishart process
Eduardo Abi Jaber
We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The…
Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation
Eduardo Abi Jaber, Enzo Miller, Huyên Pham
We provide an exhaustive treatment of Linear-Quadratic control problems for a class of stochastic Volterra equations of convolution type, whose kernels are Laplace transforms of ce…
Greedy clustering of count data through a mixture of multinomial PCA
Nicolas Jouvin, Pierre Latouche, Charles Bouveyron +2
Count data is becoming more and more ubiquitous in a wide range of applications, with datasets growing both in size and in dimension. In this context, an increasing amount of work…
Political network of central power agents: case of missi dominici
Andrey Grunin
This study offers several models of social network analysis to examine the organization of central power agents, missi dominici, during the Early Middle Ages. Enriched by statistic…
Algorithmic market making for options
Bastien Baldacci, Philippe Bergault, Olivier Guéant
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of…