3 papers
math.PR2026
A class of Markov processes with resetting and applications to cybersecurity
Giorgia Callegaro, Umut Ãetin, 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…
q-fin.TR2026
A Limit Order Market with Uncertain Informed Trading Participation
Umut Ãetin, Mingwei Lin
We study a one period limit order market with informed traders, noise traders, and competitive liquidity suppliers, in which the number of informed traders is random. Liquidity sup…
math.PR2026
Schrödinger's problem with constraints
Beatrice Acciaio, Umut Ãetin
Motivated by the connection between the Kyle equilibrium with static private signal and the Brownian bridge, we study a much broader class of bridges that allow one to consider mor…