7 papers
Deep Operator BSDE: a Numerical Scheme to Approximate Solution Operators
Pere Diaz-Lozano, Giulia Di Nunno
Motivated by dynamic risk measures and conditional -expectations, in this work we propose a numerical method to approximate the solution operator given by a Backward Stochastic…
Hölder regularity for backward stochastic Volterra integral equations and applications to numerical schemes
Pere Diaz-Lozano, Giulia Di Nunno
We prove a Hölder-type regularity estimate for the martingale integrand of a backward stochastic Volterra integral equation (BSVIE). The estimate is formulated in after…
An Euler scheme for BSDEs via the Wiener chaos decomposition
Pere Diaz-Lozano, Giulia Di Nunno
The Euler scheme is a standard time discretization for BSDEs, but its implementation hinges on approximating conditional expectations and the associated martingale terms at each ti…
Capturing cash non-additivity and horizon risk via BSDEs and generalized shortfall
Giulia Di Nunno, Emanuela Rosazza Gianin
Whenever dealing with horizons of different times scales, risk evaluation of losses may incur in both interest rate uncertainty and horizon risk as introduced in [11]. With the goa…
Extinction and Persistence in a Stochastic Mpox Model with Hawkes-type Self-Excitation
Giulia Di Nunno, Nicola Giordano, Barbara Martinucci +1
We develop a stochastic human-rodent compartment model for Mpox transmission that combines diffusion noise with Hawkes self-exciting jumps in the human infection dynamics. Includin…
On a finite quasi birth-death process with catastrophes and its diffusion approximation
Giulia Di Nunno, Barbara Martinucci, Serena Spina
We study a multi-type Ehrenfest process modeled as a finite quasi-birth-death (QBD) process. We assume that the transitions are allowed only to the two adjacent levels of the same…