14 citations · 44 across the 33 of their papers we have counts for
4 papers · 1 filter
-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps
Chiara Benazzoli, Luciano Campi, Luca Di Persio
We consider a symmetric -player nonzero-sum stochastic differential game with controlled jumps and mean-field type interaction among the players. Each player minimizes some expe…
Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time
Michele Bonollo, Luca Di Persio, Luca Mammi +1
In recent years, the counterparty credit risk measure, namely the default risk in \emph{Over The Counter} (OTC) derivatives contracts, has received great attention by banking regul…
Feedback optimal controllers for the Heston model
Viorel Barbu, Chiara Benazzoli, Luca Di Persio
We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is a…
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…