L. Di Persio

activity

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

collaborators

Showing 2017 · math.PRShow all

2 papers · 2 filters

math.PR2017★ 2 cited

$ε$ -Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps

Chiara Benazzoli, Luciano Campi, Luca Di Persio

We consider a symmetric $n$ -player nonzero-sum stochastic differential game with controlled jumps and mean-field type interaction among the players. Each player minimizes some expe…

math.PR2017

Mean field games with controlled jump-diffusion dynamics: Existence results and an illiquid interbank market model

Chiara Benazzoli, Luciano Campi, Luca Di Persio

We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-depende…

ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps

Mean field games with controlled jump-diffusion dynamics: Existence results and an illiquid interbank market model

$ε$ -Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps