8 citations
- Laboratoire Analyse, Géométrie et ApplicationsFR2 papers
- Aix-Marseille Sciences EconomiquesFR1 paper
- Centre de Recherche en Économie et StatistiqueFR1 paper
- Centre for Research in Engineering Surface TechnologyIE1 paper
- Chief Dull Knife CollegeUS1 paper
- Laboratoire de Probabilités et Modèles AléatoiresFR1 paper
- Laboratoire de Statistique Théorique et AppliquéeFR1 paper
- Maastricht UniversityNL1 paper
- Psychiatric Medicine AssociatesUS1 paper
- Sogei (Italy)IT1 paper
- University of SouthamptonGB1 paper
6 papers
Repeated Games with Switching Costs: Stationary vs History Independent Strategies
Yevgeny Tsodikovich, Xavier Venel, Anna Zseleva
We study zero-sum repeated games where the minimizing player has to pay a certain cost each time he changes his action. Our contribution is twofold. First, we show that the value o…
FaaS: Federation-as-a-Service
Francesco Paolo Schiavo, Vladimiro Sassone, Luca Nicoletti +1
This document is the main high-level architecture specification of the SUNFISH cloud federation solution. Its main objective is to introduce the concept of Federation-as-a-Service…
An estimation method for the chi-square divergence with application to test of hypotheses
Michel Broniatowski, Samantha Leorato
We propose a new definition of the chi-square divergence between distributions. Based on convexity properties and duality, this version of the χ^2 is well suited both for the class…
Optimal consumption policies in illiquid markets
Alessandra Cretarola, Fausto Gozzi, Huyên Pham +1
We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value function…
Verification Theorems for Stochastic Optimal Control Problems via a Time Dependent Fukushima - Dirichlet Decomposition
Fausto Gozzi, Francesco Russo
This paper is devoted to present a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion…
Weak Dirichlet processes with a stochastic control perspective
Fausto Gozzi, Francesco Russo
The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in th…