13 citations · 20 across the 12 of their papers we have counts for
17 papers
Sensitivity analysis of Stochastic Fluid Models: Stationary and transient quantities with applications
Anna Aksamit, Małgorzata M. O'Reilly, Zbigniew Palmowski
We establish results for the first sensitivity analysis of the stochastic fluid models (SFMs). We derive expressions for the sensitivity analysis of the key stationary and transien…
Entropy and additional utility of a discrete information disclosed progressively in time
Anna Aksamit
The additional information carried by an enlarged filtration and its measurement was studied by several authors. Already Meyer (Sur un theoreme de J. Jacod, 1978) and Yor (Entropie…
Switching to a Green and sustainable finance setting: a mean field game approach
Anna Aksamit, Kaustav Das, Ivan Guo +2
We consider a continuum of carbon-emitting firms who seek to maximise their stock price, and a regulator (e.g., Government) who wishes for the economy to flourish, whilst simultane…
Sensitivity analysis of Quasi-Birth-and-Death processes
Anna Aksamit, Małgorzata M. O'Reilly, Zbigniew Palmowski
We perform the sensitivity analysis of a level-dependent QBD with a particular focus on applications in modelling healthcare systems.
Random walk on a quadrant: mapping to a one-dimensional level-dependent Quasi-Birth-and-Death process (LD-QBD)
Małgorzata M. O'Reilly, Zbigniew Palmowski, Anna Aksamit
We consider a neighbourhood random walk on a quadrant, , with state space \begin{eqnarray*} \mathcal{S}&=&\{(n,m,i):n,m=0,1,2,\ldots;i=1,2,\ldots,…
Superhedging duality for multi-action options under model uncertainty with information delay
Anna Aksamit, Ivan Guo, Shidan Liu +1
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) act…