22 citations · 51 across the 20 of their papers we have counts for
28 papers
Time-changed Markov processes and space-time coupled non-local equations
Giacomo Ascione, Enrico Scalas, Bruno Toaldo +1
In this paper we study coupled fully non-local equations, where a linear non-local operator jointly acts on the time and space variables. We establish existence and uniqueness of t…
Time changed spherical Brownian motions with longitudinal drifts
Giacomo Ascione, Anna Vidotto
In this paper, we consider the time change of the diffusion process on the 2-dimensional unit sphere generated by the Laplace-Beltrami operator, perturbed by means of a longitudina…
On the ergodicity of a three-factor CIR model
Giacomo Ascione, Michele Bufalo, Giuseppe Orlando
This study introduces the CIR3 model, a three-factor model characterized by stochastic and correlated trends and volatilities. The paper focuses on establishing the Wasserstein erg…
Regularity and asymptotics of densities of inverse subordinators
Giacomo Ascione, Mladen Savov, Bruno Toaldo
In this article densities (and their derivatives) of subordinators and inverse subordinators are considered. Under minor restrictions, generally milder than the existing in the lit…
Stability of ground state eigenvalues of non-local Schrödinger operators with respect to potentials and applications
Giacomo Ascione, József Lőrinczi
In a first part of this paper we investigate the continuity (stability) of the spectrum of a class of non-local Schrödinger operators on varying the potentials. By imposing conditi…
Foreign exchange options on Heston-CIR model under Lévy process framework
Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando +1
In this paper, we consider the Heston-CIR model with Lévy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of pr…
Mean field sparse optimal control of systems with additive white noise
Giacomo Ascione, Daniele Castorina, Francesco Solombrino
We analyze the problem of controlling a multi-agent system with additive white noise through parsimonious interventions on a selected subset of the agents (leaders). For such a con…
Non-local heat equations with moving boundary
Giacomo Ascione, Pierre Patie, Bruno Toaldo
In this paper we consider non-local (in time) heat equations on time-increasing parabolic sets whose boundary is determined by a suitable curve. We provide a notion of solution for…
A sojourn-based approach to semi-Markov Reinforcement Learning
Giacomo Ascione, Salvatore Cuomo
In this paper we introduce a new approach to discrete-time semi-Markov decision processes based on the sojourn time process. Different characterizations of discrete-time semi-Marko…
Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach
Giacomo Ascione, Giuseppe D'Onofrio
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solve…
A matrix Harnack inequality for semilinear heat equations
Giacomo Ascione, Daniele Castorina, Giovanni Catino +1
We derive a matrix version of Li \& Yau--type estimates for positive solutions of semilinear heat equations on Riemannian manifolds with nonnegative sectional curvatures and parall…
Bulk behaviour of ground states for relativistic Schrödinger operators with compactly supported potentials
Giacomo Ascione, József Lőrinczi
We propose a probabilistic representation of the ground states of massive and massless Schrödinger operators with a potential well in which the behaviour inside the well is describ…
A spherical rearrangement proof of the stability of a Riesz-type inequality and an application to an isoperimetric type problem
Giacomo Ascione
We prove the stability of the ball as global minimizer of an attractive shape functional under volume constraint, by means of mass transportation arguments. The stability exponent…
Convergence results for the Time-Changed fractional Ornstein-Uhlenbeck processes
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
In this paper we study some convergence results concerning the one-dimensional distribution of a time-changed fractional Ornstein-Uhlenbeck process. In particular, we establish tha…
Fractional Ornstein-Uhlenbeck process with stochastic forcing and its applications
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractio…
Non-Local Pearson diffusions
Giacomo Ascione, Nikolai Leonenko, Enrica Pirozzi
In this paper we focus on strong solutions of some heat-like problems with a non-local derivative in time induced by a Bernstein function and an elliptic operator given by the gene…
The orthotropic -Laplace eigenvalue problem of Steklov type as
Giacomo Ascione, Gloria Paoli
We study the Steklov eigenvalue problem for the orthotropic Laplace operator defined on convex sets of , with , considering the limit for $p\to+\inft…
Non-Local Solvable Birth-Death Processes
Giacomo Ascione, Nikolai Leonenko, Enrica Pirozzi
In this paper we study strong solutions of some non-local difference-differential equations linked to a class of birth-death processes arising as discrete approximations of Pearson…
Potentials for non-local Schrödinger operators with zero eigenvalues
Giacomo Ascione, József Lőrinczi
The purpose of this paper is to give a systematic description of potentials decaying to zero at infinity, which generate eigenvalues at the edge of the absolutely continuous spectr…
Abstract Cauchy problems for the generalized fractional calculus
Giacomo Ascione
We focus on eventually non-linear abstract Cauchy problems with a generalized fractional derivative in time. First we prove a local existence and uniqueness result, then we focus o…
The Fokker-Planck equation for the time-changed fractional Ornstein-Uhlenbeck process
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
In this paper we study some properties of the generalized Fokker-Planck equation induced by the time-changed fractional Ornstein-Uhlenbeck process. First of all, we exploit some su…
Atomic decomposition of finite signed measures on compacts of
Francesca Angrisani, Giacomo Ascione, Gianluigi Manzo
Recently there has been interest in pairs of Banach spaces in an relation and with . It is known that this can be done for Lipschitz spaces on suitable…
Duality and distance formulas in Lipschitz-Hölder spaces
Francesca Angrisani, Giacomo Ascione, Luigi D'Onofrio +1
For a compact metric space , the predual of can be identified with the normed space of finite (signed) Borel measures on equipped with the Kantorovic…
Fractional Immigration-Death Processes
Giacomo Ascione, Nikolai Leonenko, Enrica Pirozzi
In this paper we study explicit strong solutions for two difference-differential fractional equations, defined via the generator of an immigration-death process, by using spectral…