17 citations · 86 across the 22 of their papers we have counts for
5 papers · 1 filter
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
Elena Bandini, Alessandro Calvia, Katia Colaneri
The objective of this paper is to study the filtering problem for a system of partially observable processes , where is a non-Markovian pure-jump process representing t…
Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds
Katia Colaneri, Rüdiger Frey
The objective of this paper is to give conditions ensuring that the backward partial integro differential equation associated with a multidimensional jump-diffusion with a pure jum…
The Föllmer-Schweizer decomposition under incomplete information
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we study the Föllmer-Schweizer decomposition of a square integrable random variable with respect to a given semimartingale under restricted information. Thank…
Local risk-minimization under restricted information to asset prices
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the local risk-minimization approach for a semimartingale financial market where there are restrictions on the available information to agents who can…
The Zakai equation of nonlinear filtering for jump-diffusion observation: existence and uniqueness
Claudia Ceci, Katia Colaneri
This paper is concerned with the nonlinear filtering problem for a general Markovian partially observed system (X,Y), whose dynamics is modeled by correlated jump-diffusions having…