12 citations · 19 across the 29 of their papers we have counts for
36 papers
Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
Eduardo Abi Jaber, Florian Gutekunst, Martin Herdegen +1
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreas…
Affine Structure of the Brownian Signature
Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov
We establish an infinite-dimensional affine transform theory for the time-augmented Brownian signature. Our first main result shows that, for a suitable class of linear functions o…
Stochastic control with signatures via Riccati equations on the tensor algebra
Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov
We solve in semi-explicit form a class of non-Markovian stochastic optimal control problems with path-dependent rewards, using path signatures. We reformulate the control problem a…
Volterra clocks and their pure-jump limits: hitting times of curved boundaries
Eduardo Abi Jaber, Elie Attal, Andreas Sojmark
We introduce a class of continuous Volterra processes, called Volterra clocks, and study their singular limit as the memory kernel collapses to a Dirac mass at zero. The dynamics a…
Malliavin calculus for signatures with applications to finance
Eduardo Abi Jaber, Clément Rey, Dimitri Sotnikov
Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit represe…
Stochastic invariance in infinite dimension beyond Lipschitz coefficients
Eduardo Abi Jaber, Stefan Tappe
We establish necessary and sufficient conditions for stochastic invariance of closed subsets in Hilbert spaces for solutions to infinite-dimensional stochastic differential equatio…