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.

collaborating institutions
Showing 2013Show all

4 papers · 1 filter

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.FA2013★ 3 cited

Bounds for alpha-Optimal Partitioning of a Measurable Space Based on Several Efficient Partitions

Marco Dall'Aglio, Camilla Di Luca

We provide a two-sided inequality for the alpha-optimal partition value of a measurable space according to n nonatomic finite measures. The result extends and often improves Legut…

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…

q-fin.PM2013★ 1 cited

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation

Salvatore Federico, Paul Gassiat, Fausto Gozzi

We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., i…