13 citations · 32 across the 13 of their papers we have counts for
8 papers · 1 filter
Dynamic capital allocation rules via BSDEs: an axiomatic approach
Elisa Matrogiacomo, Emanuela Rosazza Gianin
In this paper, we study capital allocation for dynamic risk measures, with an axiomatic approach but also by exploiting the relation between risk measures and BSDEs. Although there…
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
Sergio Albeverio, Carlo Marinelli, Elisa Mastrogiacomo
We study the dependence of mild solutions to linear stochastic evolution equations on Hilbert space driven by Wiener noise, with drift having linear part of the type $A+\varepsilon…
A class of Lévy driven SDEs and their explicit invariant measures
Sergio Albeverio, Luca Di Persio, Elisa Mastrogiacomo +1
We describe a class of explicit invariant measures for both finite and infinite dimensional Stochastic Differential Equations (SDE) driven by Lévy noise. We first discuss in detail…
Explicit invariant measures for infinite dimensional SDE driven by Lévy noise with dissipative nonlinear drift I
Sergio Albeverio, Luca Di Persio, Elisa Mastrogiacomo +1
We stu\dd y a class of nonlinear stochastic partial differential equations with dissipative nonlinear drift, driven by Lévy noise. Our work is divided in two parts. In the present…
Small noise asymptotic expansions for stochastic PDE's driven by dissipative nonlinearity and Lévy noise
Sergio Albeverio, Elisa Mastrogiacomo, Boubaker Smii
We study a reaction-diffusion evolution equation perturbed by a space-time Lévy noise. The associated Kolmogorov operator is the sum of the infinitesimal generator of a -semig…
Feedback Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels
Fulvia Confortola, Elisa Mastrogiacomo
In this paper we are concerned with a class of stochastic Volterra integro-differential problems with completely monotone kernels, where we assume that the noise enters the system…
Analysis of the stochastic FitzHugh-Nagumo system
Stefano Bonaccorsi, Elisa Mastrogiacomo
In this paper we study a system of stochastic differential equations with dissipative nonlinearity which arise in certain neurobiology models. Besides proving existence, uniqueness…
Optimal control of stochastic differential equations with dynamical boundary conditions
S. Bonaccorsi, F. Confortola, E. Mastrogiacomo
In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problem with non standard boundary dynamic and control. The model is composed by…