2 papers
q-fin.MF2023
Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
Marina Santacroce, Paola Siri, Barbara Trivellato
We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst e…
math.ST2016
New results on mixture and exponential models by Orlicz spaces
Marina Santacroce, Paola Siri, Barbara Trivellato
New results and improvements in the study of nonparametric exponential and mixture models are proposed. In particular, different equivalent characterizations of maximal exponential…