14 citations · 44 across the 33 of their papers we have counts for
39 papers
A Nonlocal Stochastic Optimal Control with Elliptic-Type Smoothing
Stefana-Lucia Anita, Luca Di Persio
We study a nonlocal stochastic optimal control problem in which the control acts through the elliptic smoothing operator on . The state is de…
Trembling-Hand Perfection in Mean Field Games
Luciano Campi, Luca Di Persio, Lucrezia Zorzi
We introduce an admissible trembling-hand refinement for stochastic mean field games formulated through relaxed controlled martingale problems. A relaxed MFG equilibrium is perfect…
A uniqueness result for finite-state mean field games with non-separable Hamiltonian
Alekos Cecchin, Luca Di Persio, Nicola Fraccarolo
We study a class of continuous-time mean field games on a finite state space with transition rates depending on the population distribution, leading to a non-separable Hamiltonian.…
Weibull-Stationary Stochastic Differential Equations for Conditional Long-Horizon Wind Power Forecasting
Luca Di Persio, Mehrdad Ghadiri
We present a one-month-ahead conditional probabilistic framework for wind-power forecasting at ten-minute resolution. Monthly Weibull shape and scale parameters are estimated from…
Mean field games with terminal state constraints
Luciano Campi, Luca Di Persio, Viktorya Vardanyan
We study a mean field game (MFG) of state and control with state dynamics described by stochastic differential equations driven by both idiosyncratic and common noise, and subject…
Gibbs measure over the cone of vector-valued discrete measures
Luca Di Persio, Yuri Kondratiev, Viktorya Vardanyan
We consider a gas whose each particle is characterised by a pair with the position and the velocity .…
Enhancing Multi-Step Brent Oil Price Forecasting with Ensemble Multi-Scenario Bi-GRU Networks
Mohammed Alruqimi, Luca Di Persio
Despite numerous research efforts in applying deep learning to time series forecasting, achieving high accuracy in multi-step predictions for volatile time series like crude oil pr…
Multistep Brent Oil Price Forecasting with a Multi-Aspect Meta-heuristic Optimization and Ensemble Deep Learning Model
Mohammed Alruqimi, Luca Di Persio
Accurate crude oil price forecasting is crucial for various economic activities, including energy trading, risk management, and investment planning. Although deep learning models h…
Integrating Port-Hamiltonian Systems with Neural Networks: From Deterministic to Stochastic Frameworks
Luca Di Persio, Matthias Ehrhardt, Sofia Rizzotto
This article presents an innovative approach to integrating port-Hamiltonian systems with neural network architectures, transitioning from deterministic to stochastic models. The s…
Interacting particle systems with continuous spins
Viktor Bezborodov, Luca Di Persio, Martin Friesen +1
We study a general class of interacting particle systems over a countable state space where on each site the particle mass follows a stochastic differen…
Classical gases with singular densities
Luca Di Persio, Yuri Kondratiev, Viktorya Vardanyan
We study classical continuous systems with singular distributions of velocities. Radon measures with the infinite mass give these distributions. Positions of particles in such syst…
Diffusion Approximation for Transport Equations with Dissipative Drifts for Time Dependent Coefficients
Luca Di Persio, Yuri Kondratiev, Viktorya Vardanyan
We consider a generalization of classical results of Freidlin and Wentzell to the case of time dependent dissipative drifts. We show the convergence of diffusions with multiplicati…
Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations
Luca Di Persio, Matteo Garbelli, Adrian Zălinescu
We consider a system of Forward Backward Stochastic Differential Equations (FBSDEs), with time delayed generator and driven by Lèvy-type noise. We establish a non linear Feynman Ka…
The Master Equation in a Bounded Domain with Absorption
Luca Di Persio, Matteo Garbelli, Michele Ricciardi
We analyze the Master Equation within Mean Field Games (MFG) theory considering a bounded domain with homogeneous Dirichlet conditions. Concerning the N-players differential game,…
Explosion and non-explosion for the continuous-time frog model
Viktor Bezborodov, Luca Di Persio, Peter Kuchling
We consider the continuous-time frog model on . At time , there are particles at , each of which is represented by a random variable. In…
A change of measure formula for recursive conditional expectations
Luca Di Persio, Alessandro Gnoatto, Marco Patacca
In this paper, we derive a representation for the value process associated to the solutions of FBSDEs in a jump-diffusion setting under multiple probability measures. Motivated by…
Minimal controllability time for systems with nonlinear drift under a compact convex state constraint
Viktor Bezborodov, Luca Di Persio, Riccardo Muradore
In this paper we estimate the minimal controllability time for a class of non-linear control systems with a bounded convex state constraint. An explicit expression is given for the…
Time-Delayed Generalized BSDEs
Luca Di Persio, Matteo Garbelli, Lucian Maticiuc +1
We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs th…
The continuous-time frog model can spread arbitrarily fast
Viktor Bezborodov, Luca Di Persio, Tyll Krueger
The aim of this work is to demonstrate that the continuous-time frog model can spread arbitrary fast. The set of sites visited by an active particle can become infinite in a finite…
Shape theorem for a one-dimensional growing particle system with a bounded number of occupants per site
Viktor Bezborodov, Luca Di Persio, Tyll Krueger
We consider a one-dimensional discrete-space birth process with a bounded number of particle per site. Under the assumptions of the finite range of interaction, translation invaria…
A bank salvage model by impulse stochastic controls
Francesco Cordoni, Luca Di Persio, Yilun Jiang
The present paper is devoted to the study of a bank salvage model with finite time horizon and subjected to stochastic impulse controls. In our model, the bank's default time is a…
Stochastic port--Hamiltonian systems
Francesco Cordoni, Luca Di Persio, Riccardo Muradore
In the present work we formally extend the theory of port-Hamiltonian systems to include random perturbations. In particular, suitably choosing the space of flow and effort variabl…
Spatial growth processes with long range dispersion: microscopics, mesoscopics, and discrepancy in spread rate
Viktor Bezborodov, Luca Di Persio, Tyll Krueger +1
We consider the speed of propagation of a {continuous-time continuous-space} branching random walk with the additional restriction that the birth rate at any spatial point cannot e…
A maximum principle for a stochastic control problem with multiple random terminal times
Francesco Cordoni, Luca Di Persio
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we ap…