4 citations · 4 across the 2 of their papers we have counts for
4 papers
Cournot-Nash equilibrium and optimal transport in a dynamic setting
Beatrice Acciaio, Julio Backhoff-Veraguas, Junchao Jia
We consider a large population dynamic game in discrete time. The peculiarity of the game is that players are characterized by time-evolving types, and so reasonably their actions…
Extended Mean Field Control Problems: stochastic maximum principle and transport perspective
Beatrice Acciaio, Julio Backhoff-Veraguas, Rene Carmona
We study Mean Field stochastic control problems where the cost function and the state dynamics depend upon the joint distribution of the controlled state and the control process. W…
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
Beatrice Acciaio, Julio Backhoff Veraguas, Anastasiia Zalashko
The martingale part in the semimartingale decomposition of a Brownian motion with respect to an enlargement of its filtration, is an anticipative mapping of the given Brownian moti…
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Beatrice Acciaio, Claudio Fontana, Constantinos Kardaras
In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition…