4 papers · 1 filter
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…
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…
Utility maximisation and change of variable formulas for time-changed dynamics
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasin…
Utility maximisation and time-change
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian mot…