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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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math.PR2026

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…

math.PR2026

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…