4 papers
Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures
Matteo Ferrari, Roger J. A. Laeven, Emanuela Rosazza Gianin +1
Financial resilience concerns the rate at which a position recovers, or further deteriorates, in response to adverse conditions. As a first step, Laeven, Ferrari, Rosazza Gianin, a…
Measuring Financial Resilience Using Backward Stochastic Differential Equations
Roger J. A. Laeven, Matteo Ferrari, Emanuela Rosazza Gianin +1
We introduce the resilience rate as a measure of financial resilience. It captures the expected rate at which a dynamic risk measure recovers, i.e., bounces back, when the risk-acc…
Inviscid Limit of the Stochastic Hyperviscous Navier-Stokes Equations and Invariant Measures for the Euler Equations in
Zdzisław Brzeźniak, Matteo Ferrari
We prove the existence and some moment estimates for an invariant measure for the two-dimensional (D) deterministic Euler equations on the unbounded domain and…
New a priori estimate for stochastic 2D Navier-Stokes equation with applications to invariant measure
Matteo Ferrari
The paper deals with the stochastic two-dimensional Navier-Stokes equation for incompressible fluids, set in a bounded domain with Dirichlet boundary conditions. We consider additi…