138 citations
- Universidade Federal de Santa CatarinaBR10 papers
- Northern Illinois UniversityUS9 papers
- Institut national de recherche en sciences et technologies du numériqueFR7 papers
- Instituto Nacional de Matemática Pura e AplicadaBR6 papers
- Universidade de São PauloBR6 papers
- Centre de Mathématiques Appliquées de l'École polytechniqueFR4 papers
- Centre National de la Recherche ScientifiqueFR4 papers
- École PolytechniqueFR4 papers
- Imperial College LondonGB4 papers
- Brazilian Society of Computational and Applied MathematicsBR3 papers
- Georgia Institute of TechnologyUS3 papers
- Institute of Science and Technology AustriaAT3 papers
6 papers · 1 filter
Stochastic Control with Delayed Information and Related Nonlinear Master Equation
Yuri F. Saporito, Jianfeng Zhang
In this paper we study stochastic control problems with delayed information, that is, the control at time can depend only on the information observed before time for some…
Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost
Yuri F. Saporito
In this paper, we consider the functional Itô calculus framework to find a path-dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems that featu…
Shock fluctuations for the Hammersley process
Leandro P. R. Pimentel, Marcio W. A. de Souza
We consider the Hammersley interacting particle system starting from a shock initial profile with densities (). The microscopic shock is taken as the posit…
Functional Meyer-Tanaka Formula
Yuri F. Saporito
The functional Ito formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process an…
Exact computation of the CDF of the Euclidean distance between a point and a random variable uniformly distributed in disks, balls, or polyhedrons and application to PSHA
Vincent Guigues
We consider a random variable expressed as the Euclidean distance between an arbitrary point and a random variable uniformly distributed in a closed and bounded set of a three-dime…
Skewness Premium with Lévy Processes
José Fajardo, Ernesto Mordecki
We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is gi…