5 papers · 1 filter
Anticipative information in a Brownian-Poissonmarket: the binary information
Bernardo D'Auria, José A. Salmerón
The binary information collects all those events that may or may not occur. With this kind of variables, a large amount of information can be captured, in particular, about financi…
Optimal stopping times for a class of Ito diffusion bridges
Bernardo D'Auria, Alessandro Ferriero
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the fi…
Stability and Instability of the MaxWeight Policy
Maury Bramson, Bernardo D'Auria, Neil Walton
Consider a switched queueing network with general routing among its queues. The MaxWeight policy assigns available service by maximizing the objective function amo…
A short note on "Anticipative portfolio optimization"
Bernardo D'Auria, José Antonio Salmerón
In 1996, Pikovsky and Karatzas did one of the earliest studies on portfolio optimization problems in presence of insider information. They were able to successfully show that the k…
Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts
Bernardo D'Auria, Offer Kella
In this paper we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modul…