47 citations · 47 across the 8 of their papers we have counts for
3 papers · 2 filters
Sensitivity of functionals of McKean-Vlasov SDE's with respect to the initial distribution
Filippo de Feo, Salvatore Federico, Fausto Gozzi +1
We examine the sensitivity at the origin of the distributional robust optimization problem in the context of a model generated by a mean field stochastic differential equation. We…
Itō and Itō-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach
Assil Fadle, Mehdi Talbi, Nizar Touzi
We provide a general Itō\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along…
Mean Field Game of Mutual Holding with common noise
Leila Bassou, Mao Fabrice Djete, Nizar Touzi
We consider the mean field game of cross--holding introduced in \citeauthor*{DjeteTouzi} \cite{DjeteTouzi} in the context where the equity value dynamics are affected by a common n…