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20192026
most citedInsider information and its relation with the arbitrage condition and the utility maximization problem

5 citations · 5 across the 5 of their papers we have counts for

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Showing 2026 · math.OCShow all

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math.OC2026

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…

math.OC2026

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…