6 papers
Lévy processes as weak limits of rough Heston models
Alessandro Bondi, Martin Forde
We show weak convergence of the time- marginals for the integrated variance in a re-scaled rough Heston model to an Inverse Gaussian Lévy process. This shows we can obtain such…
Mild solutions of HJB equations associated with cylindrical stable Lévy noise in infinite dimensions
Alessandro Bondi, Fausto Gozzi, Enrico Priola +1
We study the optimal control of an infinite-dimensional stochastic system governed by an SDE in a separable Hilbert space driven by cylindrical stable noise. We establish the exist…
Fredholm Approach to Nonlinear Propagator Models
Eduardo Abi Jaber, Alessandro Bondi, Nathan De Carvalho +2
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, includin…
Stochastic internal habit formation and optimality
Michele Aleandri, Alessandro Bondi, Fausto Gozzi
Growth models with internal habit formation have been studied in various settings under the assumption of deterministic dynamics. The purpose of this paper is to explore a stochast…
Feller's test for explosions of stochastic Volterra equations
Alessandro Bondi, Sergio Pulido
This paper provides a Feller's test for explosions of one-dimensional continuous stochastic Volterra processes of convolution type. The study focuses on dynamics governed by nonsin…
Regular stochastic flow and Dynamic Programming Principle for jump diffusions
Alessandro Bondi, Enrico Priola
Given a Brownian motion and a stationary Poisson point process with values in , we prove a Dynamic Programming Principle (DPP) in a strong formulation for a…