38 citations · 176 across the 19 of their papers we have counts for
5 papers · 1 filter
Existence of nonnegative mild solutions of stochastic evolution inclusions via weak topology
Lucia Angelini, Irene Benedetti, Alessandra Cretarola
This paper addresses the existence of nonnegative mild solutions for stochastic evolution inclusions through a weak topology approach. Precisely, the study focuses on stochastic ev…
The Föllmer-Schweizer decomposition under incomplete information
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we study the Föllmer-Schweizer decomposition of a square integrable random variable with respect to a given semimartingale under restricted information. Thank…
Local risk-minimization under restricted information to asset prices
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the local risk-minimization approach for a semimartingale financial market where there are restrictions on the available information to agents who can…
BSDEs under partial information and financial applications
Claudia Ceci, Alessandra Cretarola, Francesco Russo
In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square integrable martingale under partial information. We discuss some spec…
Optimal consumption policies in illiquid markets
Alessandra Cretarola, Fausto Gozzi, Huyên Pham +1
We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value function…