39 citations · 39 across the 1 of their papers we have counts for
2 papers
math.ST2016
New results on mixture and exponential models by Orlicz spaces
Marina Santacroce, Paola Siri, Barbara Trivellato
New results and improvements in the study of nonparametric exponential and mixture models are proposed. In particular, different equivalent characterizations of maximal exponential…
math.PR2012★ 39 cited
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Monique Jeanblanc, Michael Mania, Marina Santacroce +1
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic co…