7 citations · 12 across the 16 of their papers we have counts for
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math.OC2020
Optimal Dividend Payout under Stochastic Discounting
Elena Bandini, Tiziano De Angelis, Giorgio Ferrari +1
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flo…
math.PR2020
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…
math.PR2020
The identification problem for BSDEs driven by possibly non quasi-left-continuous random measures
Elena Bandini, Francesco Russo
In this paper we focus on the so called identification problem for a backward SDE driven by a continuous local martingale and a possibly non quasi-left-continuous random measure. S…