5 citations · 9 across the 5 of their papers we have counts for
5 papers
A simple proof for the convexity of the Choquet integral
Aurélien Alfonsi
This note presents an elementary and direct proof for the convexity of the Choquet integral when the corresponding set function is submodular.
Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme
Aurélien Alfonsi, Benjamin Jourdain, Arturo Kohatsu-Higa
In this paper, we prove that the time supremum of the Wasserstein distance between the time-marginals of a uniformly elliptic multidimensional diffusion with coefficients bounded t…
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Aurélien Alfonsi, Pierre Blanc
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved ex…
Strong convergence of some drift implicit Euler scheme. Application to the CIR process
Aurélien Alfonsi
We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we o…
Optimal execution and price manipulations in time-varying limit order books
Aurélien Alfonsi, José Infante Acevedo
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varyin…