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math.OC2019
Viscosity solutions for controlled McKean--Vlasov jump-diffusions
Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen +1
We study a class of non linear integro-differential equations on the Wasserstein space related to the optimal control of McKean--Vlasov jump-diffusions. We develop an intrinsic not…
q-fin.MF2019
Arbitrage-free modeling under Knightian Uncertainty
Matteo Burzoni, Marco Maggis
We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which require neither specific…