output
20072026
most citedMarket impact and trading profile of large trading orders in stock markets

228 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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9 papers · 1 filter

math.OC2023★ 1 cited

Stochastic optimal control in Hilbert spaces: regularity of the value function and optimal synthesis via viscosity solutions

Filippo de Feo, Andrzej Święch, Lukas Wessels

We study optimal control problems governed by abstract infinite dimensional stochastic differential equations using the dynamic programming approach. In the first part, we prove Li…

math.OC2021★ 3 cited

Nonlinear Filtering of Partially Observed Systems arising in Singular Stochastic Optimal Control

Alessandro Calvia, Giorgio Ferrari

This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process whose components have paths of bounded varia…

math.OC2017★ 13 cited

Convex duality and Orlicz spaces in expected utility maximization

Sara Biagini, Aleš Černý

In this paper we report further progress towards a complete theory of state-independent expected utility maximization with semimartingale price processes for arbitrary utility func…

math.OC2017

Minimum energy for linear systems with finite horizon: a non-standard Riccati equation

Paolo Acquistapace, Fausto Gozzi

This paper deals with a non-standard infinite dimensional linear-quadratic control problem arising in the physics of non-stationary states (see e.g. [6]): finding the minimum energ…

math.OC2016★ 1 cited

Characterizing and Finding the Pareto Optimal Equitable Allocation of Homogeneous Divisible Goods Among Three Players

Marco Dall'Aglio, Camilla Di Luca, Lucia Milone

We consider the division of a finite number of homogeneous divisible items among three players. Under the assumption that each player assigns a positive value to every item, we cha…

math.OC2016★ 7 cited

The Shapley Value in the Knaster Gain Game

Federica Briata, Andrea Dall'Aglio, Marco Dall'Aglio +1

In Briata, Dall'Aglio and Fragnelli (2012), the authors introduce a cooperative game with transferable utility for allocating the gain of a collusion among completely risk-averse a…

math.OC2013★ 1 cited

Optimal control of semi-Markov processes with a backward stochastic differential equations approach

Elena Bandini, Fulvia Confortola

In the present work we employ, for the first time, backward stochastic differential equations (BSDEs) to study the optimal control of semi-Markov processes on finite horizon, with…

math.OC2011★ 11 cited

Finding maxmin allocations in cooperative and competitive fair division

Marco Dall'Aglio, Camilla Di Luca

We consider upper and lower bounds for maxmin allocations of a completely divisible good in both competitive and cooperative strategic contexts. We then derive a subgradient algori…

math.OC2007

On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects

Fausto Gozzi, Carlo Marinelli, Sergei Savin

We consider a class of dynamic advertising problems under uncertainty in the presence of carryover and distributed forgetting effects, generalizing a classical model of Nerlove and…