3 papers
math.OC2026
Nash equilibrium in a singular stochastic game between two renewable power producers with price impact
Stefano Pagliarani, Antonello Pesce, Tiziano Vargiolu
We study the singular stochastic game, formulated in Awerkin and Vargiolu (Decis. Econ. Finance 44(2), 2021), between two agents aiming at maximizing their profits by installing ph…
math.NA2026
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent
Ankush Agarwal, Andrea Amato, Goncalo dos Reis +1
We propose a novel approach to numerically approximate McKean-Vlasov stochastic differential equations (MV-SDE) using stochastic gradient descent (SGD) while avoiding the use of in…
math.PR2025
Strong regularization by noise for a class of kinetic SDEs driven by symmetric α-stable processes
Giacomo Lucertini, Stéphane Menozzi, Stefano Pagliarani
We establish strong well-posedness for a class of degenerate SDEs of kinetic type with autonomous diffusion driven by a symmetric -stable process under Hölder regularity condi…