10 citations · 20 across the 13 of their papers we have counts for
18 papers
A class of Markov processes with resetting and applications to cybersecurity
Giorgia Callegaro, Umut Çetin, Bernardo D'Auria
We introduce a class of piecewise deterministic Markov processes with resetting, motivated by self-exciting models of cyber attacks. Under assumptions reminiscent of ruin theory, w…
A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks
Giorgia Callegaro, Claudio Fontana, Caroline Hillairet +1
We develop a continuous-time stochastic model for optimal cybersecurity investment under the threat of cyberattacks. The arrival of attacks is modeled using a Hawkes process, captu…
Continuous-time persuasion by filtering
René Aïd, Ofelia Bonesini, Giorgia Callegaro +1
We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional uno…
Efficient simulation of a new class of Volterra-type SDEs
Ofelia Bonesini, Giorgia Callegaro, Martino Grasselli +1
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra-type path-dependent (non-Markovian) stochastic process into a standard (Markovian)…
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Matteo Brachetta, Giorgia Callegaro, Claudia Ceci +1
We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process.…
A McKean-Vlasov game of commodity production, consumption and trading
René Aïd, Ofelia Bonesini, Giorgia Callegaro +1
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the co…