24 citations · 26 across the 29 of their papers we have counts for
17 papers · 1 filter
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…
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…
Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs
Giulia Di Nunno, Emanuela Rosazza Gianin
In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the p…
The heat modulated infinite dimensional Heston model and its numerical approximation
Fred Espen Benth, Gabriel Lord, Giulia Di Nunno +1
The HEat modulated Infinite DImensional Heston (HEIDIH) model and its numerical approximation are introduced and analyzed. This model falls into the general framework of infinite d…
Sandwiched SDEs with unbounded drift driven by Hölder noises
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko
We study a stochastic differential equation with an unbounded drift and general Hölder continuous noise of an arbitrary order. The corresponding equation turns out to have a unique…
Maximum principles for stochastic time-changed Volterra games
Giulia Di Nunno, Michele Giordano
We study a stochastic differential game between two players, controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance fu…
Stochastic Volterra equations with time-changed Lévy noise and maximum principles
Giulia di Nunno, Michele Giordano
Motivated by a problem of optimal harvesting of natural resources, we study a control problem for Volterra type dynamics driven by time-changed Lévy noises, which are in general no…
Utility maximisation and time-change
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian mot…
Fully-dynamic risk-indifference pricing and no-good-deal bounds
Jocelyne Bion-Nadal, Giulia Di Nunno
The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criteria derived from a fully-dynamic family of risk measures on the $L_p…
Stochastic functional differential equations and sensitivity to their initial path
David R. Baños, Giulia Di Nunno, Hannes Haferkorn +1
We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending…
Fractional calculus and path-wise integration for Volterra processes driven by Lévy and martingale noise
Giulia Di Nunno, Yuliya Mishura, Konstiantyn Ralchenko
We introduce a pathwise integration for Volterra processes driven by Lévy noise or martingale noise. These processes are widely used in applications to turbulence, signal processes…
A Maximum Principle for Mean-Field SDEs with time change
Giulia Di Nunno, Hannes Haferkorn
Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existenc…
A Malliavin-Skorohod calculus in and for additive and Volterra-type processes
Giulia Di Nunno, Josep Vives
In this paper we develop a Malliavin-Skorohod type calculus for additive processes in the and settings, extending the probabilistic interpretation of the Malliavin-Skor…
Approximations of Stochastic Partial Differential Equations
Giulia Di Nunno, Tusheng Zhang
In this paper we show that solutions of stochastic partial differential equations driven by Brownian motion can be approximated by stochastic partial differential equations forced…
BSDEs driven by time-changed Lévy noises and optimal control
Giulia Di Nunno, Steffen Sjursen
We study backward stochastic differential equations (BSDEs) for time-changed Lévy noises when the time-change is independent of the Lévy process. We prove existence and uniqueness…
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
Giulia Di Nunno, Asma Khedher, Michele Vanmaele
We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximation…
Sensitivity analysis in a market with memory
David R. Banos, Giulia Di Nunno, Frank Proske
A general market model with memory is considered in terms of stochastic functional differential equations. We aim at representation formulae for the sensitivity analysis of the dep…