8 papers
Hölder regularity for backward stochastic Volterra integral equations and applications to numerical schemes
Pere Diaz-Lozano, Giulia Di Nunno
We prove a Hölder-type regularity estimate for the martingale integrand of a backward stochastic Volterra integral equation (BSVIE). The estimate is formulated in after av…
An Euler scheme for BSDEs via the Wiener chaos decomposition
Pere Diaz-Lozano, Giulia Di Nunno
The Euler scheme is a standard time discretization for BSDEs, but its implementation hinges on approximating conditional expectations and the associated martingale terms at each ti…
Deep Operator BSDE: a Numerical Scheme to Approximate Solution Operators
Pere Diaz-Lozano, Giulia Di Nunno
Motivated by dynamic risk measures and conditional -expectations, in this work we propose a numerical method to approximate the solution operator given by a Backward Stochastic…
Insights on Stochastic Dynamics for Transmission of Monkeypox: Biological and Probabilistic Behaviour
Ghaus ur Rahman, Olena Tymoshenko, Giulia Di Nunno
The transmission of monkeypox is studied using a stochastic model taking into account the biological aspects, the contact mechanisms and the demographic factors together with the i…
Utility maximisation and change of variable formulas for time-changed dynamics
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasin…
Cash non-additive risk measures: horizon risk and generalized entropy
Giulia Di Nunno, Emanuela Rosazza Gianin
Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on g…