2 citations · 4 across the 9 of their papers we have counts for
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Interacting particle systems with continuous spins
Viktor Bezborodov, Luca Di Persio, Martin Friesen +1
We study a general class of interacting particle systems over a countable state space where on each site the particle mass follows a stochastic differen…
Measure-valued affine and polynomial diffusions
Christa Cuchiero, Francesco Guida, Luca di Persio +1
We introduce a class of measure-valued processes, which -- in analogy to their finite dimensional counterparts -- will be called measure-valued polynomial diffusions. We show the s…
Mild solutions to the dynamic programming equation for stochastic optimal control problems
Viorel Barbu, Chiara Benazzoli, Luca Di Persio
We show via the nonlinear semigroup theory in that the -D dynamic programming equation associated with a stochastic optimal control problem with multiplicative…
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
Viktor Bezborodov, Luca Di Persio, Yuliya Mishura
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework cha…
A class of Lévy driven SDEs and their explicit invariant measures
Sergio Albeverio, Luca Di Persio, Elisa Mastrogiacomo +1
We describe a class of explicit invariant measures for both finite and infinite dimensional Stochastic Differential Equations (SDE) driven by Lévy noise. We first discuss in detail…