3 citations · 4 across the 9 of their papers we have counts for
13 papers
A class of Markov processes with resetting and applications to cybersecurity
Giorgia Callegaro, Umut Çetin, Bernardo D'Auria
We introduce a class of piecewise deterministic Markov processes with resetting, motivated by self-exciting models of cyber attacks. Under assumptions reminiscent of ruin theory, w…
A Limit Order Market with Uncertain Informed Trading Participation
Umut Çetin, Mingwei Lin
We study a one period limit order market with informed traders, noise traders, and competitive liquidity suppliers, in which the number of informed traders is random. Liquidity sup…
Schrödinger's problem with constraints
Beatrice Acciaio, Umut Çetin
Motivated by the connection between the Kyle equilibrium with static private signal and the Brownian bridge, we study a much broader class of bridges that allow one to consider mor…
Insider trading with penalties, entropy and quadratic BSDEs
Umut Çetin
Kyle model in continuous time where the insider may be subject to legal penalties is considered. In equilibrium the insider internalises this legal risk by trading less aggressivel…
Minimal subharmonic functions and related integral representations
Umut Çetin
A Choquet-type integral representation result for non-negative subharmonic functions of a one-dimensional regular diffusion is established. The representation allows in particular…
Integral representation of subharmonic functions and optimal stopping with random discounting
Umut Çetin
An integral representation result for strictly positive subharmonic functions of a one-dimensional regular diffusion is established. More precisely, any such function can be writte…