4 papers
Product formulas for multiple stochastic integrals associated with Lévy processes
Paolo Di Tella, Christel Geiss, Alexander Steinicke
In the present paper, we obtain an explicit product formula for products of multiple integrals w.r.t. a random measure associated with a Lévy process. As a building block, we use a…
On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
Anita Behme, Paolo Di Tella, Apostolos Sideris
We establish sufficient conditions for the existence, and derive explicit formulas for the 'th moments, , of Markov modulated generalized Ornstein-Uhlenbeck processes a…
Progressively Enlargement of Filtrations and Control Problems for Step Processes
Elena Bandini, Fulvia Confortola, Paolo Di Tella
In the present paper we address stochastic optimal control problems for a step process under a progressive enlargement of the filtration. The global information is…
The Chaotic Representation Property of Compensated-Covariation Stable Families of Martingales
Paolo Di Tella, Hans-Jürgen Engelbert
In the present paper, we study the chaotic representation property for certain families of square integrable martingales. For this purpose, we introduce the notion of compensated-c…