39 citations · 66 across the 3 of their papers we have counts for
3 papers
Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
Marina Santacroce, Paola Siri, Barbara Trivellato
We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst e…
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…
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…