5 citations · 5 across the 5 of their papers we have counts for
6 papers
Exit problems for additive-increase and multiplicative-decrease Markov-modulated processes
Bernardo D'Auria, Zbigniew Palmowski
We study one-sided, two-sided and reflected exit problems for a finite-state Markov-modulated additive-increase and multiplicative-decrease process. For upward passage, a first-jum…
A class of Markov processes with resetting and applications to cybersecurity
Giorgia Callegaro, Umut Çetin, Bernardo D'Auria
We introduce a class of piecewise deterministic Markov processes with resetting, motivated by self-exciting models of cyber attacks. Under assumptions reminiscent of ruin theory, w…
Mean field games with option to buy information
Bernardo D'Auria, Markus Fischer
We introduce a class of continuous time finite horizon mean field games where the objective function of the representative player depends on a hidden state, in addition to position…
Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
Abel Azze, Bernardo D'Auria, Giorgio Ferrari
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both t…
Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach
Abel Azze, Guglielmo D'Amico, Bernardo D'Auria +1
We propose a new methodology to simulate the discounted penalty applied to a wind-farm operator by violating ramp-rate limitation policies. It is assumed that the operator manages…
Insider information and its relation with the arbitrage condition and the utility maximization problem
Bernardo D'Auria, José Antonio Salmerón
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presen…