88 citations · 137 across the 10 of their papers we have counts for
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q-fin.MF2015
Sensitivity analysis for expected utility maximization in incomplete Brownian market models
Julio Backhoff Veraguas, Francisco Silva
We examine the issue of sensitivity with respect to model parameters for the problem of utility maximization from final wealth in an incomplete Samuelson model and mainly, but not…
math.AP2015
A variational approach to second order mean field games with density constraints: the stationary case
Alpár Richárd Mészáros, Francisco J. Silva
In this paper we study second order stationary Mean Field Game systems under density constraints on a bounded domain . We show the existence of weak solution…