5 citations · 5 across the 5 of their papers we have counts for
4 papers · 1 filter
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…