5 citations · 5 across the 4 of their papers we have counts for
4 papers
Large deviations for infectious diseases models
Peter Kratz, Etienne Pardoux
We establish large deviation estimates for Poisson driven models of infectious disease, and apply those estimates to the time of exit from the basin of attraction of an endemic equ…
Numerical methods in the context of compartmental models in epidemiology
Peter Kratz, Etienne Pardoux, Brice Samegni Kepgnou
We consider compartmental models in epidemiology. For the study of the divergence of the stochastic model from its corresponding deterministic limit (i.e., the solution of an ODE)…
An explicit solution of a non-linear quadratic constrained stochastic control problem with an application to optimal liquidation in dark pools with adverse selection
Peter Kratz
We study a constrained stochastic control problem with jumps; the jump times of the controlled process are given by a Poisson process. The cost functional comprises quadratic compo…
Portfolio liquidation in dark pools in continuous time
Peter Kratz, Torsten Schöneborn
We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0,T] and can trade continuously at a traditional ex…