14 citations · 17 across the 8 of their papers we have counts for
8 papers
Inflation, ECB and short-term interest rates: A new model, with calibration to market data
F. Antonacci, C. Costantini, F. D'Ippoliti +1
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, c…
An all-leader agent-based model for turning and flocking birds
Emiliano Cristiani, Marta Menci, Marco Papi +1
Starting from recent experimental observations of starlings and jackdaws, we propose a minimal agent-based mathematical model for bird flocks based on a system of second-order dela…
Risk Neutral Valuation of Inflation-Linked Interest Rate Derivatives
Flavia Antonacci, Cristina Costantini, Fernanda D'Ippoliti +1
We propose a model for the joint evolution of European inflation, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous tim…
Existence and Uniqueness of Solutions for Coupled Hybrid Systems of Differential Equations
Marta Menci, Marco Papi
In this paper we propose local and global existence results for the solution of systems characterized by the coupling of ODEs and PDEs. The coexistence of distinct mathematical for…
Regularity Properties of Constrained Set-Valued Mappings
M. Papi, S. Sbaraglia
In these notes, we present a general result concerning the Lipschitz regularity of a certain type of set-valued maps often found in constrained optimization and control problems. T…
Lipschitzian Estimates in Discrete-Time Constrained Stochastic Optimal Control
M. Papi, S. Sbaraglia
This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value functio…