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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Showing math.PRShow all

7 papers · 1 filter

math.PR2021★ 5 cited

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions

Andrea Cosso, Fausto Gozzi, Mauro Rosestolato +1

We formulate a path-dependent stochastic optimal control problem under general conditions, for which weprove rigorously the dynamic programming principle and that the value functio…

math.PR2020★ 1 cited

Delay-induced periodic behavior in competitive populations

Michele Aleandri, Ida Germana Minelli

We study a model of binary decisions in a fully connected network of interacting agents. Individual decisions are determined by social influence, coming from direct interactions wi…

math.PR2016★ 37 cited

Variance Allocation and Shapley Value

Riccardo Colini-Baldeschi, Marco Scarsini, Stefano Vaccari

Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice paradigm, we propose an allocation criterion for the variance of the sum of …

math.PR2013★ 1 cited

Countable Partially Exchangeable Mixtures

Cecilia Prosdocimi, Lorenzo Finesso

Partially exchangeable sequences representable as mixtures of Markov chains are completely specified by de Finetti's mixing measure. The paper characterizes, in terms of a subclass…

math.PR2011

Generalized covariation and extended Fukushima decompositions for Banach valued processes. Application to windows of Dirichlet processes

Cristina Di Girolami, Francesco Russo

This paper concerns a class of Banach valued processes which have finite quadratic variation. The notion introduced here generalizes the classical one, of Métivier and Pellaumail w…

math.PR2011

On stochastic calculus related to financial assets without semimartingales

Rosanna Coviello, Cristina Di Girolami, Francesco Russo

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous p…

math.PR2010

Clark-Ocone type formula for non-semimartingales with finite quadratic variation

Cristina Di Girolami, Francesco Russo

We provide a suitable framework for the concept of finite quadratic variation for processes with values in a separable Banach space using the language of stochastic calculus vi…