52 citations · 321 across the 18 of their papers we have counts for
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math.DS2021★ 2 cited
Identifiability and observability of the SIR model with quarantine
Frédéric Hamelin, Abderrahman Iggidr, Alain Rapaport +2
We analyze the identifiability and observability of the well-known SIR epidemic model with an additional compartment Q of the sub-population of infected individuals that are placed…
q-fin.MF2021
On regularized optimal execution problems and their singular limits
Max O. Souza, Yuri Thamsten
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian sto…