2 citations · 2 across the 4 of their papers we have counts for
4 papers
Time changed spherical Brownian motions with longitudinal drifts
Giacomo Ascione, Anna Vidotto
In this paper, we consider the time change of the diffusion process on the 2-dimensional unit sphere generated by the Laplace-Beltrami operator, perturbed by means of a longitudina…
Modeling Volatility of Disaster-Affected Populations: A Non-Homogeneous Geometric-Skew Brownian Motion Approach
Giacomo Ascione, Michele Bufalo, Giuseppe Orlando
This paper delves into the impact of natural disasters on affected populations and underscores the imperative of reducing disaster-related fatalities through proactive strategies.…
Foreign exchange options on Heston-CIR model under Lévy process framework
Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando +1
In this paper, we consider the Heston-CIR model with Lévy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of pr…
A sojourn-based approach to semi-Markov Reinforcement Learning
Giacomo Ascione, Salvatore Cuomo
In this paper we introduce a new approach to discrete-time semi-Markov decision processes based on the sojourn time process. Different characterizations of discrete-time semi-Marko…