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20122026
most citedA stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

14 citations · 44 across the 33 of their papers we have counts for

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math.AP2022

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,…

math.AP2012

Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps

Carlo Marinelli, Luca Di Persio, Giacomo Ziglio

We prove that the mild solution to a semilinear stochastic evolution equation on a Hilbert space, driven by either a square integrable martingale or a Poisson random measure, is (j…