2 citations · 4 across the 6 of their papers we have counts for
6 papers
Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
Abel Azze, Bernardo D'Auria, Giorgio Ferrari
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both t…
On the optimal stopping of Gauss-Markov bridges with random pinning points
Abel Azze, Bernardo D'Auria
We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is…
Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach
Abel Azze, Guglielmo D'Amico, Bernardo D'Auria +1
We propose a new methodology to simulate the discounted penalty applied to a wind-farm operator by violating ramp-rate limitation policies. It is assumed that the operator manages…
Optimal stopping of Gauss-Markov bridges
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov bridge by using a time-space transformation approach. The associated optimal stopping boundar…
Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein--Uhlenbeck process, a diffusion often adopted by practitioners…
Optimal stopping of an Ornstein-Uhlenbeck bridge
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We make a rigorous analysis of the existence and characterization of the free boundary related to the optimal stopping problem that maximizes the mean of an Ornstein--Uhlenbeck bri…