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researcher

Aurélien Alfonsi

5 papers here

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author2
  • first author3

Across the 5 of 5 papers where every author was matched, so the position is known.

fields
  • math.PR2
  • q-fin.TR2
  • math.FA1
ORCID 0000-0003-3816-6105

identity via Semantic Scholar / OpenAlex

activity
20122015
most citedDynamic optimal execution in a mixed-market-impact Hawkes price model

5 citations · 9 across the 5 of their papers we have counts for

collaborators
Showing math.FAShow all

1 paper · 1 filter

math.FA2015

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.

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.