3 papers
q-fin.MF2025
Optimal Execution under Liquidity Uncertainty
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath +1
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually d…
math.PR2024
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…
math.PR2024
Polynomial Volterra processes
Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari +2
We study the class of continuous polynomial Volterra processes, which we define as solutions to stochastic Volterra equations driven by a continuous semimartingale with affine drif…