2 citations · 2 across the 4 of their papers we have counts for
5 papers
Utility maximisation and change of variable formulas for time-changed dynamics
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasin…
Utility maximisation and time-change
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian mot…
Strong Uniqueness of Singular Stochastic Delay Equations
D. Baños, H. H. Haferkorn, F. Proske
In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector fie…
Stochastic functional differential equations and sensitivity to their initial path
David R. Baños, Giulia Di Nunno, Hannes Haferkorn +1
We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending…
A Maximum Principle for Mean-Field SDEs with time change
Giulia Di Nunno, Hannes Haferkorn
Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existenc…