L. Campi

activity

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

collaborators

Showing 2017Show all

2 papers · 1 filter

math.PR2017★ 2 cited

$ε$ -Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps

Chiara Benazzoli, Luciano Campi, Luca Di Persio

We consider a symmetric $n$ -player nonzero-sum stochastic differential game with controlled jumps and mean-field type interaction among the players. Each player minimizes some expe…

math.PR2017

Mean field games with controlled jump-diffusion dynamics: Existence results and an illiquid interbank market model

Chiara Benazzoli, Luciano Campi, Luca Di Persio

We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-depende…

ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps

Mean field games with controlled jump-diffusion dynamics: Existence results and an illiquid interbank market model

$ε$ -Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps