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20082026
most citedA probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

39 citations · 62 across the 18 of their papers we have counts for

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Showing 2016 · math.PRShow all

2 papers · 2 filters

math.PR2016★ 2 cited

-player games and mean field games with absorption

Luciano Campi, Markus Fischer

We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding -player games, the evolution of players' states is descr…

math.PR2016

On the support of extremal martingale measures with given marginals: the countable case

Luciano Campi, Claude Martini

We investigate the supports of extremal martingale measures with pre-specified marginals in a two-period setting. First, we establish in full generality the equivalence between the…