2 papers
math.DS2023
Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems
F. Lillo, G. Livieri, S. Marmi +2
We investigate and prove the mathematical properties of a general class of one-dimensional unimodal smooth maps perturbed with a heteroscedastic noise. Specifically, we investigate…
math.OC2021
-player games and mean field games of moderate interactions
Franco Flandoli, Maddalena Ghio, Giulia Livieri
We study the asymptotic organization among many optimizing individuals interacting in a suitable "moderate" way. We justify this limiting game by proving that its solution provides…